life: Constructing a Life Delta-Normal Remainder Term with Respect...

Description Usage Arguments Value Note See Also Examples

View source: R/life-base.R

Description

Constructor for the S3 class life. It allows to build for the sensitivities with respect to the life risk factors of the total positions not modeled by the other marketItems.

Usage

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life(name, currency, sensitivity)

Arguments

name

character value. The names of the life risk-factors (the life risk factors defined in lifeRisk) 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 portfolio base currency.

sensitivity

numeric value giving the sensitivities (understood as quantiles) for the corresponding life risk-factors provided in name. Please consult the help page of lifeRisk for more information on the meaning of these senstivities. Sensitivities must be expressed in the corresponding currencies in currency.

Value

an S3 object, instance of the class life.

Note

All parameters must be of equal length.

See Also

summary.life, print.life.

Examples

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# Creating a new health.
life1 <- life(name            = c("pandemy", "longetivity", "storno"),
              currency        = c("EUR", "CHF", "EUR"),
              sensitivity     = c(100, 150, 130))

sstModel documentation built on May 4, 2018, 1:04 a.m.