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https://github.com/JuliaActuary/ActuaryUtilities.jl
Common functions in actuarial and financial routines
https://github.com/JuliaActuary/ActuaryUtilities.jl
actuarial-science cashflows finance hacktoberfest julia life-insurance
Last synced: 3 months ago
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Common functions in actuarial and financial routines
- Host: GitHub
- URL: https://github.com/JuliaActuary/ActuaryUtilities.jl
- Owner: JuliaActuary
- License: mit
- Created: 2020-03-31T02:16:43.000Z (over 4 years ago)
- Default Branch: master
- Last Pushed: 2024-04-18T04:38:46.000Z (7 months ago)
- Last Synced: 2024-07-20T23:45:43.241Z (4 months ago)
- Topics: actuarial-science, cashflows, finance, hacktoberfest, julia, life-insurance
- Language: Julia
- Homepage: https://juliaactuary.github.io/ActuaryUtilities.jl/dev/
- Size: 975 KB
- Stars: 37
- Watchers: 3
- Forks: 9
- Open Issues: 9
-
Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
- jimsghstars - JuliaActuary/ActuaryUtilities.jl - Common functions in actuarial and financial routines (Julia)
README
# ActuaryUtilities
[](https://JuliaActuary.github.io/ActuaryUtilities.jl/stable/)
[](https://JuliaActuary.github.io/ActuaryUtilities.jl/dev/)
[](https://codecov.io/gh/JuliaActuary/ActuaryUtilities.jl)
## Quickstart
```julia
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
```
## Features
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
- Calculate the `KeyRate(time)` (a.k.a. `KeyRateZero`)duration or `KeyRatePar(time)` duration
- `convexity` for price sensitivity
- Flexible interest rate models via the [`FinanceModels.jl`](https://github.com/JuliaActuary/FinanceModels.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
- `spread` will calculate the spread needed between two yield curves to equate a set of cashflows
### Risk Measures
- Calculate risk measures for a given vector of risks:
- `CTE` for the Conditional Tail Expectation
- `VaR` for the percentile/Value at Risk
- `WangTransform` for the Wang Transformation
- `ProportionalHazard` for proportional hazards
- `DualPower` for dual power measure
### Insurance mechanics
- `duration`:
- Calculate the duration given an issue date and date (a.k.a. policy duration)
### Typed Rates
- functions which return a rate/yield will return a `FinanceCore.Rate` object. E.g. `irr(cashflows)` will return a `Rate(0.05,Periodic(1))` instead of just a `0.05` (`float64`) to convey the compounding frequency. This is compatible across the JuliaActuary ecosystem and can be used anywhere you would otherwise use a simple floating point rate.
A couple of other notes:
- `rate(...)` will return the scalar rate value from a `Rate` struct:
```julia-repl
julia> r = Rate(0.05,Periodic(1));
julia> rate(r)
0.05
```
- You can still pass a simple floating point rate to various methods. E.g. these two are the same (the default compounding convention is periodic once per period):
```julia
discount(0.05,cashflows)
r = Rate(0.05,Periodic(1));
discount(r,cashflows)
```
- convert between rates with:
```julia
r = Rate(0.05,Periodic(1));
convert(Periodic(2), r) # convert to compounded twice per timestep
convert(Continuous(2),r) # convert to compounded twice per timestep
```
For more on Rates, see [FinanceCore.jl](https://github.com/JuliaActuary/FinanceCore.jl). [FinanceModels.jl](https://github.com/JuliaActuary/FinanceModels.jl) also provides a rich and flexible set of yield models to use.
## Documentation
Full documentation is [available here](https://JuliaActuary.github.io/ActuaryUtilities.jl/stable/).
## Examples
### Interactive, basic cashflow analysis
See [JuliaActuary.org for instructions](https://juliaactuary.org/tutorials/cashflowanalysis/) on running this example.
[](https://juliaactuary.org/tutorials/cashflowanalysis/)
## 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.