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 library(shiny) # Runs the app in your browser; execs code from my Gist runGist("ee4e7b9506a09e5d7cb8")