ActuaryUtilities

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

Some of the functions included:

• duration:
  • Calculate the duration given an issue date and date (a.k.a. policy duration)
  • Calculate the Macaulay, Modified, or DV01 durations for a set of cashflows
• convexity for price sensitivity
• present_value or pv to calculate the present value of a set of cashflows
• discount_rate for a given fixed rate or InterestCurve
• 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

Documentation

Click the docs badges above for more details and examples.

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.