Add AAA ESG

[alecloudenback]

Interest Rates

What needs to be done for interest rate scenarios:

• [ ] Expose easier way to use constrained NelsonSiegel curves from Yields.jl
• [ ] Port logic from AAA sample notebook in Learn repository
• [ ] Should return a yield curve for each generated scenario/timestep.

Equity

What needs to be done for equity scenarios:

• [x] Get working prototype of single fund (see https://github.com/JuliaActuary/Learn/blob/master/AAA_Equity_Generator.jl)
• [x] Extend prototype of multi-fund (should be as simple as extending the Z variates for a bigger covariance matrix and using different parameters
• [ ] Implement multi-fund version into EconomicScenarioGenerators.jl

Reference: https://www.actuary.org/sites/default/files/pdf/life/c3supp_march05.pdf

[donboyd5]

Hi @alecloudenback, cc @gchen3

I just sent you a long email, but didn't check this issue first.

I don't think the 2nd equity bullet above is correct. That would use the same return shock and volatility shock for each asset class, but the AIRG model uses one set of correlated return and volatility shocks for the Diversified Fund (one pair of shocks for each month for each of 100 years for each scenario as I read it), another (different) set of correlated shocks for the International Fund, and so on.

So I don't think you would have similar results to those they published if you reused the Z variates.

[alecloudenback]

Thanks for the feedback, I edited to say more clearly what I intended.

I updated the notebook to have all four equity funds and it validates against Table 8 mean/std dev in the PDF.

https://github.com/JuliaActuary/Learn/commits/master/AAA_Equity_Generator.jl