{"repo":"JuliaActuary/ActuaryUtilities.jl","free":true,"listed":false,"github":"https://github.com/JuliaActuary/ActuaryUtilities.jl","clone":"git clone https://github.com/JuliaActuary/ActuaryUtilities.jl.git","description":"Common functions in actuarial and financial routines","language":"Julia","stars":42,"topics":["cashflows","life-insurance","finance","actuarial-science","hacktoberfest","julia"],"license":"MIT","category":"trading","readme_excerpt":"ActuaryUtilities Quickstart 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 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 Key Rate Sensitivities via Automatic Differentiation Compute exact key rate durations, DV01s, and convexities using ForwardDiff through ZeroRateCurve from FinanceModels.jl -- machine-precision sensitivities in a single pass, no bump-and-reprice required. - sensitivities : bundled value, key rate durations, and convexity matrix in a single AD pass - Two-curve decomposition : separate IR01 (risk-free) and CS01 (credit spread) sensitivities - Do-block syntax : custom valuation functions for rate-dependent instruments (callable bonds, floaters, caps/floors) - Hull-White stochastic model : key rate sensitivities of Monte Carlo expected values, differentiating through the full simulation pipeline See the Key Rate Sensiti","default_branch":null,"files":null,"tree":[],"storefront":"/r/JuliaActuary","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/JuliaActuary/ActuaryUtilities.jl/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}