lifelib v0.3.1 (24 October 2021)¶
To update lifelib, execute the command:
>>> pip install lifelib --upgrade
An example is added to the
This example shows how to extend
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
The Python scripts included in
savings are used to
draw graphs on the Gallery page
The Jupyter notebook describes the
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¶
The following formulas are updated.