| (1) Inputs: |
| (1.1) the interest rate structure (that could be flat, a term structure and stochastic), |
| (1.2) the rate and impulse rewards (constant or variable), |
| (1.3) the time unit number of CDF, |
| (1.4) the CDF. |
| (2) Construction of the elementary financial data, |
| (2.1) the construction of discount factors, |
| (2.2) the construction of due and immediate unitary annuity present value (in the case of constant rewards). |
| (3) Convolution . |
| (4) Construction of and . |
| (5) Calculation of |
|
| (6) Calculation of other financial data, |
| (6.1) equivalent interest: |
| (6.1.1) , |
| (6.1.2) , |
| (6.1.3) . |
| (6.2) Instantaneous intensity: |
| (6.2.1) |
| (6.2.2) |
| (6.2.3) |
| (6.2.4) |
| (7) Calculation of and |
| VY = Table[0.0,i,1,nannpYZ]; |
| VZ = Table[0.0,i,1,nannpYZ]; |
| For [t = 1,t <= nannpYZ,t++, |
| kY = Floor[HY[[t]]]; |
| hY = HY[[t]] − kY; |
| If [kY > 0, |
| VY[[t]] += N[aafigYZ[[kY]] EMY, 64]; |
| ]; |
| VY[[t]] += N[hY EMY Exp[−DeEYEZ kY], 64]; |
| kZ = Floor[HZ[[t]]]; |
| hZ = HZ[[t]] − kZ; |
| If [kZ > 0, |
| VZ[[t]] += N[aafigYZY[[kZ]] EMZ, 64]; |
| ]; |
| VZ[[t]] += N[EMZ hZ Exp[−DeEY - DeEYEZ kZ], 64]; |
| ]; |
