Scroll down below the sample video to see how to run it.
The recording above shows a Pluto.jl notebook manipulating the long-rate mean reversion parameter of the stochastic interest rate process (with the full curve interpolated via a Nelson-Siegel functional form), based on the American Academy of Actuaries’ (AAA) Economic Scenario Generator (ESG).
The linked notebook embeds an older environment with ActuaryUtilities 2.2.3 and Yields 0.5. For the current AAA example, see Academy generator scenarios and validation. For FinanceModels 7 short-rate simulation, see the package guide.
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:
- 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() - 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