Sensitivity of an annuity to yield curve extrapolation parameters

Today, at the JIRF (Journée Interuniversitaire de Recherche en Finance @ IAE Gustave Eiffel), I talked about the sensitivity of an annuity to Solvency II yield curve extrapolation parameters.

The slides can be found here (in English, despite the title):

http://fr.slideshare.net/thierrymoudiki/presentation-jirf-2015

You can play around with an interactive (RStudio’s Shiny) web application, by clicking on the following link (I’d suggest to read the slides first, to fully understand what it does 🙂 ):

https://thierry.shinyapps.io/ShinyApp_JIRF_2015

However, the app is “alive” for 25 hours per month (i picked the free tier on the server). For a permanent access to the app, you can also type the following commands in R:


# Loading Shiny package

library(shiny)

# Runs the app in your browser; execs code from my Gist 

runGist("ee4e7b9506a09e5d7cb8")

Capture d’écran 2015-05-22 à 00.18.59

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