VT_CIA function

Actuarial Excel Addin

The VT_CIA function returns a discount factor calculated using the spot rates developed by Fiera Capital for the CIA. It selects the curve for the requested exact date and computes discounting over t years using segment forward rates derived from adjacent spot points.

See also: VT_UKVT_CURVESR_CIASR_UKSR_CURVECURVE_BUILD

* : Required parameter

Parameters
Default
Description
date *
--
Exact valuation date used to select one row of the spot curve table.
t *
--
Elapsed time in years from date. Must be greater than or equal to zero.

Example
Result
vt_cia("2026-05-31", 10)
Returns the CIA nominal 10-year discount factor for 31-May-2026.
vt_cia("2025-12-15", 1)
Uses the exact spot-cia row for 15-December-2025 and discounts one year with the matching 1-year spot point.
vt_cia(A2, B2)
Reads date and duration from worksheet cells and uses the CIA nominal curve.
vt_cia("2026-05-31", 45)
For durations beyond the last curve point, extends using the last forward rate indefinitely.

Notes
Description
Data source
Reads worksheet spot-cia in Aubin Stat.xlsm.
Date matching
Lookup is by exact date. The function does not use month-level matching.
Interpolation rule
If t lies between two durations, discount to the previous duration using that spot rate, then discount the remainder using the forward rate implied by the adjacent spot points.
Extrapolation rule
If t is beyond the last duration, discount to the last point with the last spot rate and discount the tail using the final forward rate segment.
Validation
Returns an error if t is negative, or if the requested exact date is not found.