changeBaseCurrency: Change Covariance Matrix According to Change of Base Currency

In sstModel: Swiss Solvency Test (SST) Standard Models

Description

This function allow to change the base risk factor covariance matrix according to a change of base currency, the function also update the mapping.table and ask the user to provide new names for the new fx base risks.

Usage

changeBaseCurrency(cov.mat, mapping.table, target.currency, mapping.name)

Arguments

cov.mat	matrix value corresponding to the covariance matrix of base risk factors. This matrix should have an attribute named "base.currency" indicating the actual base currency in which the covariance matrix is expressed.
mapping.table	S3 object of class mappingTable that should be coherent with the cov.mat.
target.currency	character value of length one indicating the new base currency, this should exists in the mapping.table.
mapping.name	data.frame indicating the mapping towards new name in the covariance matrix and in the mapping.table for the new fx rate with two columns: old.name: the names of the old risk factors in the covariance matrix. new.name: the new names of these risk factors.

Value

a list with two named fields:

• cov.mat: the new covariance matrix.

• mapping.table the new mapping.table.

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