delta: Constructing a Delta-Normal Remainder Term with Respect to...
In sstModel: Swiss Solvency Test (SST) Standard Models

Description Usage Arguments Value Note See Also Examples

delta Constructor for the S3 class delta. It allows to build for the sensitivities with respect to the market risk-factors of the total positions not modelled by the other marketItem classes used in a delta-normal remainder term presented in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

1	delta(name, currency, sensitivity)

`name`	numeric value. The names of the market base risk factors (the base risk factors defined in `marketRisk`) with respect to which sensitivities are computed (non-zero). This vector should not contain duplicated names.
`currency`	character value representing currencies in which the sensitivities are expressed. If the currency specified does not match the base currency of the `marketRisk`, the initial fx-rates will be used to convert to the base currency. Nevertheless, it is forced at construction of a `portfolio` that the sensitivities should be provided in the the `portfolio` base currency.
`sensitivity`	numeric value giving sensitivities for the corresponding market risk-factors provided in `name`. These quantities explicitely relates to the "Sensitivität" as defined in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung", you can refer to this document for their estimation procedures. Sensitivities must be expressed in the corresponding currencies, i.e. in `currency`.

an S3 object, instance of the class delta.

All parameters must be of equal length.

summary.delta, print.delta.

# Creating a new delta.
d <- delta(name        = c("equity", "2YCHF", "EURCHF"),
           currency    = c("EUR", "CHF", "EUR"),
           sensitivity = c(100, 150, 130))