Package: AnnuityRIR 1.0-0

Fabrizio Maturo

AnnuityRIR: Annuity Random Interest Rates

Annuity Random Interest Rates proposes different techniques for the approximation of the present and final value of a unitary annuity-due or annuity-immediate considering interest rate as a random variable. Cruz Rambaud et al. (2017) <doi:10.1007/978-3-319-54819-7_16>. Cruz Rambaud et al. (2015) <doi:10.23755/rm.v28i1.25>.

Authors:Salvador Cruz Rambaud [aut], Fabrizio Maturo [aut, cre], Ana Maria Sanchez Perez [aut]

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# Install 'AnnuityRIR' in R:
install.packages('AnnuityRIR', repos = c('https://fabriziomaturo.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/fabriziomaturo/annuityrir/issues

On CRAN:

3.67 score 2 stars 47 scripts 481 downloads 47 exports 83 dependencies

Last updated 7 years agofrom:6c15c17a2b. Checks:OK: 1 NOTE: 6. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 31 2024
R-4.5-winNOTEOct 31 2024
R-4.5-linuxNOTEOct 31 2024
R-4.4-winNOTEOct 31 2024
R-4.4-macNOTEOct 31 2024
R-4.3-winNOTEOct 31 2024
R-4.3-macNOTEOct 31 2024

Exports:beta_parametersFV_post_artanFV_post_beta_kmomFV_post_moodFV_post_norm_kmomFV_post_quadFV_pre_artanFV_pre_beta_kmomFV_pre_moodFV_pre_norm_kmomFV_pre_quadmomentnorm_momnorm_test_jbplot_FV_post_beta_kmomplot_FV_post_norm_kmomplot_FV_pre_beta_kmomplot_FV_pre_norm_kmomplot_FVs_postplot_FVs_preplot_PVs_postplot_PVs_prePV_post_artanPV_post_cubicPV_post_exactPV_post_mood_nmPV_post_mood_pmPV_post_triang_3PV_post_triang_disPV_pre_artanPV_pre_cubicPV_pre_exactPV_pre_mood_nmPV_pre_mood_pmPV_pre_triang_3PV_pre_triang_distriangular_moments_3triangular_moments_3_Utriangular_moments_distriangular_moments_dis_Utriangular_parameterstriangular_parameters_Uvariance_drvvariance_post_mood_nmvariance_post_mood_pmvariance_pre_mood_nmvariance_pre_mood_pm

Dependencies:abindactuarbackportsbootbroomcarcarDataclicolorspacecorrplotcowplotcpp11curlDerivdoBydplyrEnvStatsexpintfansifarverfitdistrplusFormulagenericsggplot2ggpubrggrepelggsciggsignifgluegridExtragtableisobandjsonlitelabelinglatticelifecyclelme4magrittrMASSMatrixMatrixModelsmc2dmgcvmicrobenchmarkminqamodelrmunsellmvtnormnlmenloptrnnetnortestnumDerivpbkrtestpillarpkgconfigpolynompurrrquadprogquantmodquantregR6RColorBrewerRcppRcppEigenrlangrstatixscalesSparseMstringistringrsurvivaltibbletidyrtidyselecttseriesTTRutf8vctrsviridisLitewithrxtszoo

Readme and manuals

Help Manual

Help pageTopics
Compute the parameters of the beta distribution and plot normalized data.beta_parameters
Compute the final expected value of an n-payment annuity, with payments of 1 unit each made at the end of every year (annuity-immediate), valued at the rate X, using the tetraparametric function approach.FV_post_artan
Compute the final expected value of an n-payment annuity, with payments of 1 unit each made at the end of every year (annuity-immediate), valued at the rate X, using the estimated moments of the beta distribution.FV_post_beta_kmom
Compute the final expected value of an n-payment annuity, with payments of 1 unit each made at the end of every year (annuity-immediate), valued at the rate X, using the method of Mood _et al._FV_post_mood
Compute the final expected value of an n-payment annuity, with payments of 1 unit each made at the end of every year (annuity-immediate), valued at the rate X, using the estimated moments of the normal distribution.FV_post_norm_kmom
Compute the final expected value of an n-payment annuity, with payments of 1 unit each made at the end of every year (annuity-immediate), valued at the rate X, using the quadratic discount method.FV_post_quad
Compute the final expected value of an n-payment annuity, with payments of 1 unit each made at the beginning of every year (annuity-due), valued at the rate X, using the tetraparametric function approach.FV_pre_artan
Compute the final expected value of an n-payment annuity, with payments of 1 unit each made at the beginning of every year (annuity-due), valued at the rate X, using the estimated moments of the beta distribution.FV_pre_beta_kmom
Compute the final expected value of an n-payment annuity, with payments of 1 unit each made at the beginning of every year (annuity-due), valued at the rate X, using the method of Mood _et al._FV_pre_mood
Compute the final expected value of an n-payment annuity, with payments of 1 unit each made at the beginning of every year (annuity-due), valued at the rate X, using the estimated moments of the normal distribution.FV_pre_norm_kmom
Compute the final expected value of an n-payment annuity, with payments of 1 unit each made at the beginning of every year (annuity-due), valued at the rate X, using the quadratic discount method.FV_pre_quad
Compute the exact moments of a distribution.moment
Fit the data to a normal curve and compute the moments of the normal distribution according to the definition (as integral).norm_mom
Compute the Jarque-Bera test for checking the assumption of normality of the interest rates distribution and returns the parameters of the fitted normal distribution.norm_test_jb
Plot the final expected value of an n-payment annuity, with payments of 1 unit each made at the end of every year (annuity-immediate), valued at the rate X, using the estimated moments of the beta distribution.plot_FV_post_beta_kmom
Plot the final expected value of an n-payment annuity, with payments of 1 unit each made at the end of every year (annuity-immediate), valued at the rate X, using the estimated moments of the normal distribution.plot_FV_post_norm_kmom
Plot the final expected value of an n-payment annuity, with payments of 1 unit each made at the beginning of every year (annuity-due), valued at the rate X, using the estimated moments of the beta distribution.plot_FV_pre_beta_kmom
Plot the final expected value of an n-payment annuity, with payments of 1 unit each made at the beginning of every year (annuity-due), valued at the rate X, using the estimated moments of the normal distribution.plot_FV_pre_norm_kmom
Plot the final expected values of an n-payment annuity, with payments of 1 unit each made at the end of every year (annuity-immediate), valued at the rate X, using different approaches.plot_FVs_post
Plot the final expected values of an n-payment annuity, with payments of 1 unit each made at the beginning of every year (annuity-due), valued at the rate X, using different approaches.plot_FVs_pre
Plot the present expected values of an n-payment annuity, with payments of 1 unit each made at the end of every year (annuity-immediate), valued at the rate X, using different approaches.plot_PVs_post
Plot the present expected values of an n-payment annuity, with payments of 1 unit each made at the beginning of every year (annuity-due), valued at the rate X, using different approaches.plot_PVs_pre
Compute present expected value of an n-payment annuity, with payments of 1 unit each, made at the end of every year (annuity-immediate), valued at the rate X, using the tetraparametric function approach.PV_post_artan
Compute the present expected value of an n-payment annuity, with payments of 1 unit each made at the end of every year (annuity-due), valued at the rate X, using the cubic discount method.PV_post_cubic
Computes the present value of an annuity-immediate considering only non-central moments of negative orders.PV_post_exact
Compute the present expected value of an n-payment annuity, with payments of 1 unit each made at the end of every year (annuity-immediate), valued at the rate X, with the method of Mood _et al._ using some negative moments of the distribution.PV_post_mood_nm
Compute the present expected value of an n-payment annuity, with payments of 1 unit each made at the end of every year (annuity-immediate), valued at the rate X, with the method of Mood _et al._ using some positive moments of the distribution.PV_post_mood_pm
Compute the present value of an annuity-immediate considering only non-central moments of negative orders. The calculation is performed by using the function triangular\_moments\_3 for the moments greater than -2 (in absolute value).PV_post_triang_3
Compute the present value of an annuity-immediate considering only non-central moments of negative orders. The calculation is performed by using the moments of the fitted triangular distribution of the random variable "capitalization factor" U (which are obtained from the definition of negative moment of a continuous random variable).PV_post_triang_dis
Compute the present expected value of an n-payment annuity, with payments of 1 unit each, made at the beginning of every year (annuity-due), valued at the rate X, using the tetraparametric function approach.PV_pre_artan
Compute the present expected value of an n-payment annuity, with payments of 1 unit each made at the beginning of every year (annuity-due), valued at the rate X, using the cubic discount method.PV_pre_cubic
Compute the present value of an annuity-due considering only non-central moments of negative orders.PV_pre_exact
Compute the present expected value of an n-payment annuity, with payments of 1 unit each made at the beginning of every year (annuity-due), valued at the rate X, with the method of Mood _et al._ using some negative moments of the distribution.PV_pre_mood_nm
Compute the present expected value of an n-payment annuity, with payments of 1 unit each made at the beginning of every year (annuity-due), valued at the rate X, with the method of Mood _et al._ using some positive moments of the distribution.PV_pre_mood_pm
Compute the present value of an annuity-due considering only non-central moments of negative orders. The calculation is performed by using the function $triangular\_moments\_3$ for the moments greater than -2 (in absolute value).PV_pre_triang_3
Compute the present value of an annuity-due considering only non-central moments of negative orders. The calculation is performed by using the moments of the fitted triangular distribution of the random variable "capitalization factor" U (which are obtained from the definition of negative moment of a continuous random variable)PV_pre_triang_dis
Compute the negatives moments (different from orders 1 and 2) of the fitted triangular distribution of the random variable X.triangular_moments_3
Compute the negatives moments (different from orders 1 and 2) of the fitted triangular distribution of the random variable "capitalization factor" U.triangular_moments_3_U
Compute the negative moments of the fitted triangular distribution of the random variable X according to the definition (as integral).triangular_moments_dis
Compute the negative moments of the fitted triangular distribution of the random variable "capitalization factor" U according to the definition (as integral).triangular_moments_dis_U
Compute the parameters and plot the fitted triangular distribution of the random variable X.triangular_parameters
Return the parameters of the fitted triangular distribution of the random variable "capitalization factor" U.triangular_parameters_U
Compute the variance of the present value of an annuity using "discrete random variable" approach.variance_drv
Compute the variance of the present value of an annuity-immediate using the Mood _et al._ approximation and some non-central moments of negative order.variance_post_mood_nm
Compute the variance of the present value of an annuity-immediate using the Mood _et al._ approximation and some non-central moments of positive order.variance_post_mood_pm
Compute the variance of the present value of an annuity-due using the Mood _et al._ approximation and some non-central moments of negative order.variance_pre_mood_nm
Compute the variance of the present value of an annuity-due using the Mood _et al._ approximation and some non-central moments of positive order.variance_pre_mood_pm