Merge pull request #36 from JuliaActuary/Yields

Project.toml

@@ -9,12 +9,14 @@ IterTools = "c8e1da08-722c-5040-9ed9-7db0dc04731e"
 MortalityTables = "4780e19d-04b9-53dc-86c2-9e9aa59b5a12"
 QuadGK = "1fd47b50-473d-5c70-9696-f719f8f3bcdc"
 Transducers = "28d57a85-8fef-5791-bfe6-a80928e7c999"
+Yields = "d7e99b2f-e7f3-4d9e-9f01-2338fc023ad3"
 
 [compat]
 IterTools = "1.3"
 MortalityTables = "^0.12"
 QuadGK = "^2.3"
 Transducers = "^0.4"
+Yields = "^0.2"
 julia = "^1.3"
 
 [extras]

README.md

@@ -27,7 +27,7 @@ the mortality calculations
     - `ä(life,n)`: Life contingent annuity due for `n` years
 - Contains various commutation functions such as `D(x)`,`M(x)`,`C(x)`, etc.
 - `SingleLife` and `JointLife` capable
-- Various interest rate mechanics (e.g. stochastic, constant, etc.)
+- Interest rate mechanics via [`Yields.jl`](https://github.com/JuliaActuary/Yields.jl)
 - More documentation available by clicking the DOCS badges at the top of this README
 
 ## Examples
@@ -36,7 +36,10 @@ the mortality calculations
 Calculate various items for a 30-year-old male nonsmoker using 2015 VBT base table and a 5% interest rate
 
 ```julia
-using LifeContingencies, MortalityTables
+
+using LifeContingencies
+using MortalityTables
+using Yields
 
 tbls = MortalityTables.tables()
 vbt2001 = tbls["2001 VBT Residual Standard Select and Ultimate - Male Nonsmoker, ANB"]
@@ -48,7 +51,7 @@ life = SingleLife(
 
 lc = LifeContingency(
     life,
-    InterestRate(0.05)
+    Yields.Constant(0.05)
 )
 
 
@@ -76,7 +79,7 @@ vbt2001 = tbls["2001 VBT Residual Standard Select and Ultimate - Male Nonsmoker,
 σ = 0.01
 
 years = 100
-int =   InterestRate(
+int =   Yields.Constant(
             rand(
                 Normal(μ,σ),
                 years)
@@ -108,7 +111,7 @@ for i in 2:length(vec)
     vec[i] = rand(Normal(vec[i-1],σ))
 end
 
-int = InterestRate(vec)
+int = Yields.Forward(vec)
 ```
 
 ### Premium comparison across Mortality Tables
@@ -126,7 +129,7 @@ tables = [
     ]
 
 issue_ages = 30:90
-int = InterestRate(0.05)
+int = Yields.Constant(0.05)
 
 whole_life_costs = map(tables) do t
     map(issue_ages) do ia

src/LifeContingencies.jl

@@ -5,6 +5,7 @@ using Transducers
 using Dates
 using IterTools
 using QuadGK
+using Yields
 
 const mt = MortalityTables
 
@@ -25,7 +26,6 @@ export LifeContingency,
     premium_net,
     omega
 
-include("interest.jl")
 
 
 
@@ -153,7 +153,7 @@ end
 """
 struct LifeContingency
     life::Life
-    int::InterestRate
+    int
 end
 
 Base.broadcastable(lc::LifeContingency) = Ref(lc)
@@ -180,7 +180,7 @@ The last period that the interest rate is defined for. Assumed to be infinite (`
 function mt.omega(lc::LifeContingency)
     # if one of the omegas is infinity, that's a Float so we need
     # to narrow the type with Int
-    return Int(min(omega(lc.life), omega(lc.int)))
+    return Int(omega(lc.life))
 end
 
 function mt.omega(l::SingleLife)
@@ -191,13 +191,6 @@ function mt.omega(l::JointLife)
     return minimum( omega.(l.lives) )    
 end
 
-function mt.omega(i::ConstantInterestRate)
-    return Inf
-end
-
-function mt.omega(i::VectorInterestRate)
-    return lastindex(i.i)
-end
 
 ###################
 ## COMMUTATIONS ###
@@ -209,7 +202,7 @@ end
 ``D_x`` is a retrospective actuarial commutation function which is the product of the survival and discount factor.
 """
 function D(lc::LifeContingency, to_time)
-    return disc(lc.int, to_time) * survival(lc,to_time)
+    return discount(lc.int, to_time) * survival(lc,to_time)
 end
 
 
@@ -228,7 +221,7 @@ end
 ``C_x`` is a retrospective actuarial commutation function which is the product of the discount factor and the difference in `l` (``l_x``).
 """
 function C(lc::LifeContingency, to_time)
-    disc(lc.int, to_time+1) * (l(lc,to_time) - l(lc, to_time+1))
+    discount(lc.int, to_time+1) * (l(lc,to_time) - l(lc, to_time+1))
 
 end
 
@@ -239,7 +232,7 @@ end
 """
 function N(lc::LifeContingency, from_time)
     range = from_time:(omega(lc)-1)
-    return reduce(+,Map(from_time->D(lc, from_time)), range)
+    return foldxt(+,Map(from_time->D(lc, from_time)), range)
 end
 
 """
@@ -250,7 +243,7 @@ Issue age is based on the issue_age in the LifeContingency `lc`.
 """
 function M(lc::LifeContingency, from_time)
     range = from_time:omega(lc)-1
-    return reduce(+,Map(from_time->C(lc, from_time)), range)
+    return foldxt(+,Map(from_time->C(lc, from_time)), range)
 end
 
 E(lc::LifeContingency, t, x) = D(lc,x + t) / D(lc,x)
@@ -276,7 +269,7 @@ function insurance(::SingleLife,lc::LifeContingency,to_time)
     iss_age = lc.life.issue_age
     end_age = to_time + iss_age -1
     len = end_age - iss_age
-    v = disc.(lc.int,1:len+1)
+    v = discount.(lc.int,1:len+1)
     tpx =  [survival(mt,iss_age,att_age, lc.life.fractional_assump) for att_age in iss_age:end_age]
     qx =   mt[iss_age:end_age]
 
@@ -288,7 +281,7 @@ function insurance(::SingleLife,lc::LifeContingency,::Nothing)
     iss_age = lc.life.issue_age
     end_age = omega(lc) + iss_age - 1
     len = end_age - iss_age
-    v = disc.(lc.int,1:len+1)
+    v = discount.(lc.int,1:len+1)
     tpx =  [survival(mt,iss_age,att_age, lc.life.fractional_assump) for att_age in iss_age:end_age]
     qx =   mt[iss_age:end_age]
 
@@ -302,7 +295,7 @@ end
 
 function insurance(::LastSurvivor,::Frasier,lc::LifeContingency, to_time)
     iszero(to_time) && return 0.0 #short circuit and return 0 if there is no time elapsed
-    v = disc.(lc.int,1:to_time)
+    v = discount.(lc.int,1:to_time)
     tpx =  [survival(lc,t) for t in 0:to_time-1]
     qx =   [ survival(lc,t) - survival(lc,t+1) for t in 0:to_time-1]
 
@@ -311,7 +304,7 @@ end
 
 function insurance(::LastSurvivor,::Frasier,lc::LifeContingency, ::Nothing)
     to_time = omega(lc)
-    v = disc.(lc.int,1:to_time)
+    v = discount.(lc.int,1:to_time)
     tpx =  [survival(lc,t) for t in 0:to_time-1]
     qx =   [ survival(lc,t) - survival(lc,t+1) for t in 0:to_time-1]
 
@@ -339,7 +332,7 @@ function annuity_due(::SingleLife,lc::LifeContingency, npayments; start_time=0)
 
     end_time = npayments + start_time - 1
 
-    discount_factor = disc.(lc.int,start_time:end_time)
+    discount_factor = discount.(lc.int,start_time:end_time)
     pmts = [survival(lc,t) for t in start_time:end_time]
 
     return sum(discount_factor .* pmts)
@@ -348,7 +341,7 @@ end
 function annuity_due(::SingleLife,lc::LifeContingency; start_time=0)
     npayments = omega(lc) - start_time
     end_time = (npayments+start_time)
-    discount_factor = disc.(lc.int,start_time:end_time)
+    discount_factor = discount.(lc.int,start_time:end_time)
     pmts = [survival(lc,t) for t in start_time:end_time]
 
     return sum(discount_factor .* pmts)
@@ -367,7 +360,7 @@ function annuity_due(::LastSurvivor,::Frasier, lc::LifeContingency, npayments;st
     npayments -=  start_time
     npayments == 0 && return 0.0
     end_time = npayments + start_time -1
-    discount_factor = disc.(lc.int,start_time:end_time)
+    discount_factor = discount.(lc.int,start_time:end_time)
     pmts = [survival(lc,t) for t in start_time:end_time]
     return sum( discount_factor .* pmts )
 
@@ -376,7 +369,7 @@ end
 function annuity_due(::LastSurvivor,::Frasier, lc::LifeContingency;start_time=0)
     npayments = omega(lc) - start_time
     end_time = npayments + start_time
-    discount_factor = disc.(lc.int,start_time:end_time)
+    discount_factor = discount.(lc.int,start_time:end_time)
     pmts = [survival(lc,t) for t in start_time:end_time]
     return sum( discount_factor .* pmts )
 
@@ -397,7 +390,7 @@ annuity_immediate(lc::LifeContingency;start_time=0) = annuity_due(lc,start_time=
 # eq 5.13 ALMCR 2nd ed
 function annuity_immediate(lc::LifeContingency,npayments; start_time=0) 
     x = annuity_due(lc,npayments;start_time=start_time)
-    y = disc(lc,start_time,start_time+npayments)
+    y = discount(lc,start_time,start_time+npayments)
     z = survival(lc,npayments)
     return x - 1 + y * z
 end
@@ -432,7 +425,7 @@ end
 The **actuarial present value** which is the survival times the discount factor for the life contingency.
 """
 function APV(lc::LifeContingency,to_time)
-    return survival(lc,to_time) * disc(lc.int,to_time)
+    return survival(lc,to_time) * discount(lc.int,to_time)
 end
 
 """
@@ -470,12 +463,12 @@ function mt.survival(ins::LastSurvivor,assump::JointAssumption,l::JointLife,from
     return ₜpₓ + ₜpᵧ - ₜpₓ * ₜpᵧ
 end
 
-disc(lc::LifeContingency,t) = disc(lc.int,t)
-disc(lc::LifeContingency,t1,t2) = disc(lc.int,t1,t2)
+Yields.discount(lc::LifeContingency,t) = discount(lc.int,t)
+Yields.discount(lc::LifeContingency,t1,t2) = discount(lc.int,t1,t2)
 
 # unexported aliases
 const V = reserve_premium_net
-const v = disc
+const v = Yields.discount
 const A = insurance
 const a = annuity_immediate
 const ä = annuity_due