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 | 维基 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 | 维基 Black&Sholes | Black&Scholes model for pricing option contracts. |
| Vasicek one factor | 维基 Vasicek | Vasicek model for modelling the evolution of interest rates. |
| Vasicek two factor | 维基 Vasicek | Vasicek model for modelling the evolution of a pair of interest rates. |
| 1F Hull White | 维基 Hull White | One factor Hull White model of short rates. |
| Dothan one factor | Quant Exchange | One factor Dothan model of short rates. |
| Singular Spectrum analysis | Paper SSA | Non-parametric technique used for time series analysis and forecasting. |
| 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 |
新建 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