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

Description Usage Arguments Value Note See Also

View source: R/portfolio-base.R

Description

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

Usage

1
2
3
## 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 4, 2018, 1:04 a.m.