cleanup and update for FinanceModels (#76)

Project.toml

@@ -1,20 +1,17 @@
 name = "LifeContingencies"
 uuid = "c8f0d631-89cd-4a1f-93d0-7542c3692561"
 authors = ["Alec Loudenback"]
-version = "2.3.1"
+version = "2.4.0"
 
 [deps]
-ActuaryUtilities = "bdd23359-8b1c-4f88-b89b-d11982a786f4"
-Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
+FinanceCore = "b9b1ffdd-6612-4b69-8227-7663be06e089"
 MortalityTables = "4780e19d-04b9-53dc-86c2-9e9aa59b5a12"
 Transducers = "28d57a85-8fef-5791-bfe6-a80928e7c999"
-Yields = "d7e99b2f-e7f3-4d9e-9f01-2338fc023ad3"
 
 [compat]
-ActuaryUtilities = "^2,^3"
-MortalityTables = "^0.12, ^1, ^2"
+MortalityTables = "^1, ^2"
 Transducers = "^0.4"
-Yields = "^2,^3"
+FinanceCore = "2"
 julia = "^1.6"
 
 [extras]

README.md

@@ -39,7 +39,7 @@ Calculate various items for a 30-year-old male nonsmoker using 2015 VBT base tab
 
 using LifeContingencies
 using MortalityTables
-using Yields
+using FinanceModels
 import LifeContingencies: V, ä     # pull the shortform notation into scope
 
 # load mortality rates from MortalityTables.jl
@@ -50,7 +50,7 @@ life = SingleLife(                 # The life underlying the risk
     mortality = vbt2001.select[issue_age],    # -- Mortality rates
 )
 
-yield = Yields.Constant(0.05)      # Using a flat 5% interest rate
+yield = FinanceModels.Yield.Constant(0.05)      # Using a flat 5% interest rate
 
 lc = LifeContingency(life, yield)  # LifeContingency joins the risk with interest
 
@@ -157,7 +157,7 @@ tables = [
     ]
 
 issue_ages = 30:90
-int = Yields.Constant(0.05)
+int = FinanceModels.Yield.Constant(0.05)
 
 whole_life_costs = map(tables) do t
     map(issue_ages) do ia
@@ -190,7 +190,7 @@ l2 = SingleLife(mortality = m2.ultimate, issue_age = 37)
 jl = JointLife(lives=(l1, l2), contingency=LastSurvivor(), joint_assumption=Frasier())
 
 
-Insurance(jl,Yields.Constant(0.05))      # whole life insurance
+Insurance(jl,FinanceModels.Yield.Constant(0.05))      # whole life insurance
 ...                                      # similar functions as shown in the first example above
 ```
 

src/LifeContingencies.jl

@@ -1,10 +1,9 @@
 module LifeContingencies
 
-using ActuaryUtilities
 using MortalityTables
 using Transducers
-using Dates
-using Yields
+using FinanceCore
+import FinanceCore: present_value, discount
 
 const mt = MortalityTables
 
@@ -69,11 +68,11 @@ struct SingleLife{M,D} <: Life
     fractional_assump::D
 end
 
-function SingleLife(; mortality, issue_age = nothing, alive = true, fractional_assump = mt.Uniform())
+function SingleLife(; mortality, issue_age=nothing, alive=true, fractional_assump=mt.Uniform())
     return SingleLife(mortality; issue_age, alive, fractional_assump)
 end
 
-function SingleLife(mortality; issue_age = nothing, alive = true, fractional_assump = mt.Uniform())
+function SingleLife(mortality; issue_age=nothing, alive=true, fractional_assump=mt.Uniform())
     if isnothing(issue_age)
         issue_age = firstindex(mortality)
     end
@@ -231,7 +230,7 @@ end
 
 ``l_x`` is a retrospective actuarial commutation function which is the survival up to a certain point in time. By default, will have a unitary basis (ie `1.0`), but you can specify `basis` keyword argument to use something different (e.g. `1000` is common in the literature.)
 """
-function l(lc::LifeContingency, to_time; basis = 1.0)
+function l(lc::LifeContingency, to_time; basis=1.0)
     return survival(lc.life, to_time) * basis
 end
 
@@ -307,7 +306,7 @@ Issue age is based on the `issue_age` in the LifeContingency `lc`.
 ```
 ins = Insurance(
     SingleLife(mortality = UltimateMortality([0.5,0.5]),issue_age = 0),
-    Yields.Constant(0.05),
+    FinanceModels.Yield.Constant(0.05),
     1           # 1 year term
 ) 
 ```
@@ -370,12 +369,12 @@ Annuity due with the benefit period starting at `start_time` and ending after `n
 ```
 ins = AnnuityDue(
     SingleLife(mortality = UltimateMortality([0.5,0.5]),issue_age = 0),
-    Yields.Constant(0.05),
+    FinanceModels.Yield.Constant(0.05),
     1, # term of policy
 ) 
 ```
 """
-function AnnuityDue(life, int, term; certain = nothing, start_time = 0, frequency = 1)
+function AnnuityDue(life, int, term; certain=nothing, start_time=0, frequency=1)
     term < 1 && return ZeroBenefit(life, int)
     if isnothing(certain)
         Annuity(life, int, Due(), TermAnnuity(term), start_time, frequency)
@@ -384,19 +383,19 @@ function AnnuityDue(life, int, term; certain = nothing, start_time = 0, frequenc
     end
 end
 
-function AnnuityDue(life, int; certain = nothing, start_time = 0, frequency = 1)
+function AnnuityDue(life, int; certain=nothing, start_time=0, frequency=1)
     if isnothing(certain)
         Annuity(life, int, Due(), LifeAnnuity(), start_time, frequency)
     else
         Annuity(life, int, Due(), LifeCertain(certain), start_time, frequency)
     end
 end
 
-function AnnuityDue(lc::L, term; certain = nothing, start_time = 0, frequency = 1) where {L<:LifeContingency}
+function AnnuityDue(lc::L, term; certain=nothing, start_time=0, frequency=1) where {L<:LifeContingency}
     return AnnuityDue(lc.life, lc.int, term; certain, start_time, frequency)
 end
 
-function AnnuityDue(lc::L; certain = nothing, start_time = 0, frequency = 1) where {L<:LifeContingency}
+function AnnuityDue(lc::L; certain=nothing, start_time=0, frequency=1) where {L<:LifeContingency}
     return AnnuityDue(lc.life, lc.int; certain, start_time, frequency)
 end
 
@@ -411,13 +410,13 @@ Annuity immediate with the benefit period starting at `start_time` and ending af
 ```
 ins = AnnuityImmediate(
     SingleLife(mortality = UltimateMortality([0.5,0.5]),issue_age = 0),
-    Yields.Constant(0.05),
+    FinanceModels.Yield.Constant(0.05),
     1 # term of policy
 ) 
 ```
 
 """
-function AnnuityImmediate(life, int, term; certain = nothing, start_time = 0, frequency = 1)
+function AnnuityImmediate(life, int, term; certain=nothing, start_time=0, frequency=1)
     term < 1 && return ZeroBenefit(life, int)
     if isnothing(certain)
         Annuity(life, int, Immediate(), TermAnnuity(term), start_time, frequency)
@@ -426,19 +425,19 @@ function AnnuityImmediate(life, int, term; certain = nothing, start_time = 0, fr
     end
 end
 
-function AnnuityImmediate(life, int; certain = nothing, start_time = 0, frequency = 1)
+function AnnuityImmediate(life, int; certain=nothing, start_time=0, frequency=1)
     if isnothing(certain)
         Annuity(life, int, Immediate(), LifeAnnuity(), start_time, frequency)
     else
         Annuity(life, int, Immediate(), LifeCertain(certain), start_time, frequency)
     end
 end
 
-function AnnuityImmediate(lc::L, term; certain = nothing, start_time = 0, frequency = 1) where {L<:LifeContingency}
+function AnnuityImmediate(lc::L, term; certain=nothing, start_time=0, frequency=1) where {L<:LifeContingency}
     return AnnuityImmediate(lc.life, lc.int, term; certain, start_time, frequency)
 end
 
-function AnnuityImmediate(lc::L; certain = nothing, start_time = 0, frequency = 1) where {L<:LifeContingency}
+function AnnuityImmediate(lc::L; certain=nothing, start_time=0, frequency=1) where {L<:LifeContingency}
     return AnnuityImmediate(lc.life, lc.int; certain, start_time, frequency)
 end
 
@@ -449,7 +448,7 @@ The survivorship for the given insurance from time zero to `time`.
 
 """
 function MortalityTables.survival(ins::I, t) where {I<:Insurance}
-    survival(ins.life,t)
+    survival(ins.life, t)
 end
 
 """
@@ -475,8 +474,8 @@ The discount vector for the given insurance.
 
 To get the fully computed and allocated vector, call `collect(discount(...))`.
 """
-function Yields.discount(ins::I) where {I<:Insurance}
-    return Iterators.map(t -> Yields.discount.(ins.int, t), timepoints(ins))
+function FinanceCore.discount(ins::I) where {I<:Insurance}
+    return Iterators.map(t -> FinanceCore.discount.(ins.int, t), timepoints(ins))
 end
 
 
@@ -631,7 +630,7 @@ end
 
 The actuarial present value of the given insurance benefits.
 """
-function ActuaryUtilities.present_value(ins::T) where {T<:Insurance}
+function FinanceCore.present_value(ins::T) where {T<:Insurance}
     cfs = cashflows(ins)
     times = timepoints(ins)
     yield = ins.int
@@ -653,10 +652,10 @@ To get an undecremented present value, divide by the survivorship to that timepo
 present_value(ins,10) / survival(ins,10)
 ```
 """
-function ActuaryUtilities.present_value(ins::T,time) where {T<:Insurance}
-    ts =timepoints(ins)
+function FinanceCore.present_value(ins::T, time) where {T<:Insurance}
+    ts = timepoints(ins)
     times = (t - time for t in ts if t > time)
-    cfs = (cf for (cf,t) in zip(cashflows(ins),ts) if t > time)
+    cfs = (cf for (cf, t) in zip(cashflows(ins), ts) if t > time)
     yield = ins.int
     pv = present_value(yield, cfs, times)
     return pv
@@ -786,9 +785,9 @@ function mt.survival(l::JointLife, from_time, to_time)
 end
 
 function mt.survival(ins::LastSurvivor, assump::JointAssumption, l::JointLife, from_time, to_time)
-    a = survival(ins,assump,l,from_time)
-    b = survival(ins,assump,l,to_time)
-    return b/a
+    a = survival(ins, assump, l, from_time)
+    b = survival(ins, assump, l, to_time)
+    return b / a
 end
 
 function mt.survival(ins::LastSurvivor, assump::JointAssumption, l::JointLife, to_time)
@@ -800,19 +799,19 @@ function mt.survival(ins::LastSurvivor, assump::JointAssumption, l::JointLife, t
     return ₜpₓ + ₜpᵧ - ₜpₓ * ₜpᵧ
 end
 
-Yields.discount(lc::LifeContingency, t) = discount(lc.int, t)
-Yields.discount(lc::LifeContingency, t1, t2) = discount(lc.int, t1, t2)
+FinanceCore.discount(lc::LifeContingency, t) = discount(lc.int, t)
+FinanceCore.discount(lc::LifeContingency, t1, t2) = discount(lc.int, t1, t2)
 
 
 # unexported aliases
 const V = reserve_premium_net
-const v = Yields.discount
+const v = FinanceCore.discount
 # A(args) = present_value(Insurance(args))
 # a(args, kwargs) = present_value(AnnuityImmediate(args...; kwargs...))
 # ä(args) = present_value(AnnuityDue(args))
-const A = present_value ∘ Insurance
-const a = present_value ∘ AnnuityImmediate
-const ä = present_value ∘ AnnuityDue
+const A = FinanceCore.present_value ∘ Insurance
+const a = FinanceCore.present_value ∘ AnnuityImmediate
+const ä = FinanceCore.present_value ∘ AnnuityDue
 const P = premium_net
 const ω = omega
 

test/AMLCR.jl

@@ -3,39 +3,39 @@
 
     # §5.7 payment frequency and certain (Tables 5.1 and 5.2)
     function f(age)
-        life = SingleLife(mortality = AMLCR_std, issue_age = age)
-        int = Yields.Constant(0.05)
+        life = SingleLife(mortality=AMLCR_std, issue_age=age)
+        int = 0.05
         lc = [
             AnnuityImmediate(life, int)
-            AnnuityImmediate(life, int, frequency = 4)
+            AnnuityImmediate(life, int, frequency=4)
             AnnuityDue(life, int)
-            AnnuityDue(life, int, frequency = 4)
+            AnnuityDue(life, int, frequency=4)
             AnnuityImmediate(life, int, 10)
-            AnnuityImmediate(life, int, 10, frequency = 4)
-            AnnuityDue(life, int, 10, frequency = 4)
+            AnnuityImmediate(life, int, 10, frequency=4)
+            AnnuityDue(life, int, 10, frequency=4)
         ]
 
         return present_value.(lc)
     end
 
     # atol only to two decimals b/c AMLCR uses rounded rates?
-    @test all(isapprox.(f(20), [18.966, 19.338, 19.966, 19.588, 7.711, 7.855, 7.952], atol = 0.01))
-    @test all(isapprox.(f(80), [7.548, 7.917, 8.548, 8.167, 6.128, 6.373, 6.539], atol = 0.01))
+    @test all(isapprox.(f(20), [18.966, 19.338, 19.966, 19.588, 7.711, 7.855, 7.952], atol=0.01))
+    @test all(isapprox.(f(80), [7.548, 7.917, 8.548, 8.167, 6.128, 6.373, 6.539], atol=0.01))
 
-    life = SingleLife(mortality = AMLCR_std, issue_age = 20)
-    int = Yields.Constant(0.05)
+    life = SingleLife(mortality=AMLCR_std, issue_age=20)
+    int = 0.05
 
     # property tests
 
-    @test present_value(AnnuityDue(life, int)) > present_value(AnnuityDue(life, int, start_time = 5))
+    @test present_value(AnnuityDue(life, int)) > present_value(AnnuityDue(life, int, start_time=5))
 
-    @test present_value(AnnuityDue(life, int, 5, certain = 5, start_time = 5)) == sum([1 for t = 5:9] .* [1 / 1.05^t for t = 5:9])
+    @test present_value(AnnuityDue(life, int, 5, certain=5, start_time=5)) == sum([1 for t = 5:9] .* [1 / 1.05^t for t = 5:9])
 
     # relation on pg 124
     @test issorted(present_value.([
         AnnuityImmediate(life, int)
-        AnnuityImmediate(life, int, frequency = 4)
-        AnnuityDue(life, int, frequency = 4)
+        AnnuityImmediate(life, int, frequency=4)
+        AnnuityDue(life, int, frequency=4)
         AnnuityDue(life, int)
     ]))
 

test/Project.toml

@@ -1,5 +1,5 @@
 [deps]
-ActuaryUtilities = "bdd23359-8b1c-4f88-b89b-d11982a786f4"
+FinanceCore = "b9b1ffdd-6612-4b69-8227-7663be06e089"
 MortalityTables = "4780e19d-04b9-53dc-86c2-9e9aa59b5a12"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"