🐍 Actuarial models in Python 🐍

Collection of useful models that actuaries can use to speed up their tasks.

Algorithms available

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; [email protected]