Calculate Actuarial Present Value (APV) of a Loan — calculate_apv • abslife

Calculates the APV of a loan under competing risks (Default vs. Pre-payment) and left-truncated survival data.

Usage

calculate_apv(
  cur_age,
  orig_term,
  orig_loan_amt,
  mon_pmt,
  ref_rate,
  recov_curve,
  prbs,
  orig_apy = 0.15
)

Arguments

cur_age: Current age of the loan in months.
orig_term: Original loan term in months.
orig_loan_amt: Original loan amount.
mon_pmt: Monthly payment amount.
ref_rate: Annualized reference discount rate.
recov_curve: Recovery curve data frame (columns: Month, Recovery).
prbs: CDF and density probabilities from abslife (competing risks).
orig_apy: Internal loan APY for amortization. Defaults to 0.15.

Value

A list containing APV, second moment (APV2), standard deviation (SD).