cashflow: Constructing a Fixed-Income-Asset

In sstModel: Swiss Solvency Test (SST) Standard Models

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

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

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

sstModel documentation built on May 2, 2019, 12:16 p.m.