ESGProject/sample_simulation.R at main · 22ermiller/ESGProject · GitHub

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## This Script shows how to use functions to get portfolio simulation

source("ESG_draws.R")
source("portfolio_sim_functions.R")
source("functions.R") # to use annuity pricing functions

# for annuity pricing
mortality_tbl <- readr::read_csv("data/mortality.csv") |>
  dplyr::filter(!is.na(death_pdf))

n_years <- 50
n_sims <- 500

esg_sims <- ESG_draws(n_years, n_sims)

cpi_sims <- esg_sims$cpi
med_sims <- esg_sims$med_cpi
yield_curve_sims <- esg_sims$yield_curve
equity_sims <- esg_sims$equity_returns

# how many months into future is annuity purchased
purchase_date <- 1
# how many dollars per month does annuity payout
payout <- 1
# loading factor for annuity
loading <- .1

annuity_prices <- price_annuities(
  60,
  yield_curve_sims,
  mortality_tbl,
  purchase_date,
  payout,
  loading,
  n_sims
)

annuity_prop <- .4
wr <- .04

# sample death ages
death_ages <- get_death_ages(60, mortality_tbl, n_sims)

sim_results <- portfolio_sim(
  annuity_prop,
  wr,
  annuity_prices,
  equity_sims,
  cpi_sims,
  med_sims,
  death_ages
)