JuliaActuary
Practical, extensible, and open-source actuarial modeling and analysis.

Interactive Economic 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.

  1. Open a Julia REPL and copy and paste the following:

import Pkg; Pkg.add(["Pluto","Plots","UnPack"]) # install these dependencies
using Pluto; Pluto.run()                        # use and start Pluto
  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