Common functions in actuarial and financial routines
Author JuliaActuary
7 Stars
Updated Last
5 Months Ago
Started In
March 2020


Stable Dev CI Codecov


A collection of common functions/manipulations used in Actuarial Calculations.

Financial Maths

  • duration:
    • Calculate the Macaulay, Modified, or DV01 durations for a set of cashflows
  • convexity for price sensitivity
  • Flexible interest rate options via the Yields.jl package.
  • internal_rate_of_return or irr to calculate the IRR given cashflows (including at timepoints like Excel's XIRR)
  • breakeven to calculate the breakeven time for a set of cashflows
  • accum_offset to calculate accumulations like survivorship from a mortality vector

Insurance mechanics

  • duration:
    • Calculate the duration given an issue date and date (a.k.a. policy duration)

Excel Utilities

You can also copy/paste to/from Excel:

Copying to and from Excel

  • xlcopy() copies and parses Excel content on the clipboard
  • xlcopy(data) will copy Julia data into your clipboard for pasting into Excel.

Also note related packages, such as XLSX.jl for working with Excel files.


Full documentation is available here.



bond_cfs = [5, 5, 105]
times    = [1, 2, 3]

discount_rate = 0.03

present_value(discount_rate, cfs, times)           # 105.65
duration(Macaulay(), discount_rate, cfs, times)    #   2.86
duration(discount_rate, cfs, times)                #   2.78
convexity(discount_rate, cfs, times)               #  10.62

Interactive, basic cashflow analysis

See for instructions on running this example.

Simple cashflow analysis with ActuaryUtilities.jl

Useful tips

Functions often use a mix of interest_rates, cashflows, and timepoints. When calling functions, the general order of the arguments is 1) interest rates, 2) cashflows, and 3) timepoints.

Used By Packages