Package org.drip.portfolioconstruction.alm

Sharpe-Tint Asset Liability Manager
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    DiscountRate
    DiscountRate holds the Cash Flow Discount Rate Parameters for each Type, i.e., Discount Rates for Working Age Income, Pension Benefits, and Basic Consumption.
    ExpectedBasicConsumption
    ExpectedBasicConsumption holds the Parameters required for estimating the Investor's Basic Consumption Profile.
    ExpectedNonFinancialIncome
    ExpectedNonFinancialIncome holds the Parameters required for estimating the Investor's Non-Financial Income Profile.
    InvestorCliffSettings
    InvestorCliffSettings contains the Investor's Time Cliff Settings Parameters such as the Retirement and the Mortality Ages.
    NetLiabilityCashFlow
    NetLiabilityCashFlow holds the Investor Time Snap's Singular Liability Flow Details.
    NetLiabilityMetrics
    NetLiabilityMetrics holds the Results of the Computation of the Net Liability Cash Flows and PV Metrics.
    NetLiabilityStream
    NetLiabilityStream holds the Investor's Horizon, Consumption, and Income Settings needed to generate and value the Net Liability Cash Flow Stream.