assetForward: Constructing an Index-Forward
In sstModel: Swiss Solvency Test (SST) Standard Models

Description Usage Arguments Value Note See Also Examples

Constructor for the S3 class assetForward. It allows to build for an index-forward referred under the name "Index-Forward" in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

1	assetForward(type, currency, time, exposure, price, position)

`type`	character value of length one representing the type of the underlying asset position. This parameter relates to the index `i` in the valuation formula of index-forwards in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung". This parameter is the same as the "Preisrisikofaktor" index `i` for asset valuation in the same document. `type` cannot be one of the following reserved character: `"currency"` `"rate"` `"pcRate"` `"spread"`
`currency`	character value of length one representing the currency in which the underlying asset is valuated. This parameter relates to the "Fremdwährungsrisikofaktor" index `j` in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
`time`	stricly positive integer value of length one representing the time-to-maturity from t = 0. This parameter relates to the variable `tau` in valuation formula for assetForwards in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
`exposure`	strictly non-zero numeric value of length one. The exposure in the underlying asset covered by the forward contract, this must be expressed in the same currency as `currency`. This parameter corresponds to the quantity \hat{E}_{0,i,j} for assetForwards in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung". If `exposure` is set to `0`, a warning will be triggered.
`price`	numeric value of length one representing the forward price. This parameter relates to the assetForward variable \hat{F}^{j}_{τ} in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung". This must be expressed in the same currency as `currency`.
`position`	character value of length one. This can be either `"long"` or `"short"` according to the definition of long and short forwards in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

an S3 object, instance of the class fxForward.

The underlying equity shall be defined using asset.

summary.assetForward, print.assetForward.

# Creating new assetForwards.
asset.froward.1 <- assetForward("equity", "EUR", 1, 1000, 1200, "long")
asset.forward.2 <- assetForward("private real estate","CHF", 7, 100, 90,
                                "short")