lifelib v0.3.1 (24 October 2021)

This release adds a new example in the savings library, and updates some formulas in the savings models.

To update lifelib, execute the command:

>>> pip install lifelib --upgrade

New Example

An example is added to the savings library. This example shows how to extend CashValue_ME to a stochastic model, by going through a classic exercise of calculating the time value of options and guarantees on a plain variable annuity with GMAB by two methods, the Black-Scholes-Merton formula and Monte Carlo simulation with risk-neutral scenarios.

This example consists of an example model, a Jupyter notebook and some Python scripts. The model is developed from CashValue_ME and named CashValue_ME_EX1. The Python scripts included in savings are used to draw graphs on the Gallery page The Jupyter notebook describes the CashValue_ME_EX1 model, explains the changes from the original model, and outputs some graphs on the Gallery page.

File or Folder



The example model for savings_example1.ipynb


Jupyter notebook 1. Simple Stochastic Example

Python script for Account value paths

Python script for Account value distribution

Python script for Monte Carlo vs Black-Scholes-Merton

Fixes and Updates