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):

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 🙂 ):

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


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


Capture d’écran 2015-05-22 à 00.18.59


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