Interactive AAA Economic Scenario Generator

modeling
scenario-generator

Scroll down below the sample video to see how to run it.

The recording above shows a Pluto.jl notebook manipulating the long term mean reversion parameter for the Nelson-Siegel functional interest rate model, based on the American Academy of Actuaries’ (AAA) Economic Scenario Generator (ESG).

Instructions to Run

Because JuliaActuary doesn’t have a beefy server to run this on and let anybody run/visualize thousands of stochastic scenarios, for this one you have to run it locally. Assuming that you already have Julia installed but still need to install Pluto notebooks:

  1. Open a Julia REPL and copy and paste the following:
# install these dependencies
import Pkg; Pkg.add(["Pluto"]) 

# use and start Pluto
using Pluto; Pluto.run()
  1. In the Pluto window that opens, enter this URL into the Open from file: box:
https://raw.githubusercontent.com/JuliaActuary/Learn/master/AAA_ESG.jl

See also

Replicating the AAA equtity generator