cashflow: Constructing a Fixed-Income-Asset

Description Usage Arguments Value See Also Examples

View source: R/cashflow-base.R

Description

Constructor for the S3 class cashflow. It allows to build for a fixed-income-asset referred under the name "Fixed-Income-Assets" in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

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cashflow(time, currency, rating, spread, value)

Arguments

time

stricly positive integer value of length one representing the time-to-maturity. This parameter relates to the "Restlaufzeit" cashflow variable tau in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

currency

character value of length one representing the currency in which the fixed-income-asset is labeled. This parameter relates to the "Fremdwährungsrisikofaktor" cashflow index j in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

rating

character value of length one representing the rating associated to the fixed-income-asset. This parameter relates to the "Rating" cashflow variable r in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

spread

a numeric value of length one representing the initial spread corresponding to the fixed-income-asset. This parameter relates to the cashflow variable S(0,j,r) in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung". A warning is triggered if spread is below -0.1 or above 0.3.

value

non-zero numeric value of length one representing the expected cashflow at time time for a fixed-income-asset with rating rating. This must be expressed in the same currency as currency. If value is negative, then the cashflow is interpreted as a liability. This parameter corresponds to the cashflow quantity

CF^{A,r,j}_{τ}

in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Value

an S3 object, instance of the class cashflow.

See Also

summary.cashflow, print.cashflow.

Examples

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# Creating new cashflows.
cashflow1 <- cashflow(1L, "USD", "AAA", 0.1, 1000)
cashflow2 <- cashflow(2L, "EUR", "BB", 0.1, 2000)

sstModel documentation built on May 4, 2018, 1:04 a.m.