VT_CURVE function

Actuarial Excel Addin

The VT_CURVE function returns a discount factor from a curve produced by CURVE_BUILD (for example from source CIA or UK sources). The spot rate at duration t is resolved from the supplied curve and converted to 1 / (1 + r)t.

See also: CURVE_BUILD SR_CURVEVT_CIAVT_UKSR_CIASR_UK

* : Required parameter

Parameters
Default
Description
curve *
--
Curve object from CURVE_BUILD as 2 rows (durations, spot rates) or 2 columns (transposed).
t *
--
Elapsed time in years. Must be greater than or equal to zero.

Example
Result
vt_curve(A2#, 12.25)
Reads a spilled curve_build result from A2# and discounts at 12.25 years.
vt_curve(A2#, 0)
Returns 1.

Notes
Description
Interpolation/extrapolation
Rate resolution follows the same curve rules used by UK spot helpers (exact node, forward interpolation, and tail extrapolation).
Validation
Returns an error if t is negative, if the curve payload cannot be parsed, or if the resolved rate is less than or equal to -100%.