generateExpression.portfolio: Generate the Market Valuation Expression for a Portfolio

In sstModel: Swiss Solvency Test (SST) Standard Models

Description

method to generate the market valuation expression for a given portfolio and a given subset of item classes.

Usage

## S3 method for class 'portfolio'
generateExpression(object, market.item.types, market.risk,
  standalone = NULL, ...)

Arguments

object	S3 object of class portfolio.
market.item.types	character value indicating the item classes for which the market expression should be computed and aggregated, this should be a subset of the following values: asset cashflow liability assetForward fxForward delta you can also provide the value "all", in this case all market item expressions in the portfolio are computed and aggregated.
market.risk	S3 object of class marketRisk.
standalone	S3 object of class standalone.
...	additional arguments.

Value

a character value, the market expression.

Note

Please consider that the expression are centered (mean zero).

See Also

portfolio.

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