Variable annuity: lifetime withdrawal guarantee
Value of the insurer's guarantee on a variable annuity (GMWB with annual ratchet and roll-up, mortality and dynamic lapse), with delta, vega and rho from one adjoint pass.
PricingLab models
Each model returns its value and all of its sensitivities from a single calculation, and can recompute those sensitivities the slow way, by bump-and-revalue on the same scenarios, so you can check them yourself.
Value of the insurer's guarantee on a variable annuity (GMWB with annual ratchet and roll-up, mortality and dynamic lapse), with delta, vega and rho from one adjoint pass.
Best-estimate liability, risk margin, own funds, SCR by module and solvency ratio for a 1,200-member bulk-annuity book backed by a gilt/corporate ladder, with the sensitivity of the liability, assets and own funds to all 21 assumptions from one adjoint pass.
Value of a natural-gas storage facility operated by an optimised daily injection and withdrawal policy under a two-factor price model, with sensitivities to all twelve monthly forwards and the interest rate from one adjoint pass, and the intrinsic value on today's forward curve alongside.
Price of a continuously monitored barrier option (down/up, out/in, call/put) under Black-Scholes, with delta, vega and rho from one adjoint pass; Brownian-bridge Monte Carlo matches the closed-form prices.
Price of an arithmetic-average Asian call under Black-Scholes, with delta, vega and rho from one adjoint pass.
Price of a call on an equally weighted two-asset basket under correlated Black-Scholes dynamics, with both deltas, vega and rho from one adjoint pass.
From any MCP client, with no login: https://mypricinglab.com/lab/mcp
Or in Excel, or as a local install.