Collection of useful models that actuaries can use to speed up their tasks.
| Algorithm | Source | Description |
|---|---|---|
| Smith&Wilson | Technical-documentation | Interpolation and extrapolation of missing interest rates |
| Stationary-bootstrap | Politis-Romano-1994 | Resampling procedure for weakly dependent stationary observations |
| 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 |
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; gregor@osmodelling.com