Collection of useful models that actuaries can use to speed up their tasks.
| Algorithm | Source | Description |
|---|---|---|
| Smith_Wilson | Technical-documentation | Interpolation and extrapolation of missing interest rates. |
| Stationary_boot_calib | Whitepaper-2004 | Automatic calibration of the stationary bootstrap algorithm. |
| Stationary_bootstrap | Politis-Romano-1994 | Resampling procedure for weakly dependent stationary observations. |
| Calibration_of_alpha | Technical-documentation | Calibration of the Smith & Wilson's alpha parameter. |
| Correlated Brownian | Wiki Brownian motion | Simple function to generate correlated Brownian motion in multiple dimensions. |
| Nel_Si_Svansson | BIS whitepaper | Nelson-Siegel-Svansson model for approximating the yield curve. |
| Black_Scholes | Wiki Black&Sholes | Black&Scholes model for pricing option contracts. |
| Vasicek one factor | Wiki Vasicek | Vasicek model for modelling the evolution of interest rates. |
| Vasicek two factor | Wiki Vasicek | Vasicek model for modelling the evolution of a pair of interest rates. |
| 1F Hull White | Wiki Hull White | One factor Hull White model of short rates. |
| Dothan one factor | Quant Exchange | One factor Dothan model of short rates. |
| Algorithm | Source | Description |
|---|---|---|
| Matrix on fraction | TBD | Heuristics for calculating transition matrices on fractions of power |
| G2++ with piec cons vol | TBD | Calibration of a G2++ model with piecewise constant volatility |
| Carter-Lee model | TBD | Simple stochastic mortality model |
| Metropolis-Hastings | TBD | Sampling of probability distributions |
New suggestions for algorithms are welcome.
If anybody is interested in publishing an algorithm they implemented, or help with the project, contact us and we will make it happen.
Queries and suggestions; gregor@osmodelling.com