(1) Inputs: |
(1.1) the interest rate structure (that could be flat, a term structure and stochastic), |
(1.2) the rate and impulse rewards (constant or variable), |
(1.3) the time unit number of CDF, |
(1.4) the CDF. |
(2) Construction of the elementary financial data, |
(2.1) the construction of discount factors, |
(2.2) the construction of due and immediate unitary annuity present value (in the case of constant rewards). |
(3) Convolution . |
(4) Construction of and . |
(5) Calculation of |
|
(6) Calculation of other financial data, |
(6.1) equivalent interest: |
(6.1.1) , |
(6.1.2) , |
(6.1.3) . |
(6.2) Instantaneous intensity: |
(6.2.1) |
(6.2.2) |
(6.2.3) |
(6.2.4) |
(7) Calculation of and |
VY = Table[0.0,i,1,nannpYZ]; |
VZ = Table[0.0,i,1,nannpYZ]; |
For [t = 1,t <= nannpYZ,t++, |
kY = Floor[HY[[t]]]; |
hY = HY[[t]] − kY; |
If [kY > 0, |
VY[[t]] += N[aafigYZ[[kY]] EMY, 64]; |
]; |
VY[[t]] += N[hY EMY Exp[−DeEYEZ kY], 64]; |
kZ = Floor[HZ[[t]]]; |
hZ = HZ[[t]] − kZ; |
If [kZ > 0, |
VZ[[t]] += N[aafigYZY[[kZ]] EMZ, 64]; |
]; |
VZ[[t]] += N[EMZ hZ Exp[−DeEY - DeEYEZ kZ], 64]; |
]; |