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 |
Description |
|---|---|
CashValue_ME_EX1 |
The example model for savings_example1.ipynb |
savings_example1.ipynb |
Jupyter notebook 1. Simple Stochastic Example |
plot_av_paths.py |
Python script for Account value paths |
plot_rand.py |
Python script for Account value distribution |
plot_option_value.py |
Python script for Monte Carlo vs Black-Scholes-Merton |
Fixes and Updates¶
The following formulas are updated.