marketRisk: Constructing a MarketRisk

Description Usage Arguments Value See Also

View source: R/marketRisk-base.R

Description

marketRisk is the constructor for the S3 class marketRisk. It allows to build for market risk parameters.

Usage

1
marketRisk(cov.mat, mapping.table, initial.values, mapping.time, base.currency)

Arguments

cov.mat

numeric matrix. The covariance matrix of the market risk-factors. This matrix must have names, i.e. attributes colnames and rownames indicating the names of the corresponding narket risk-factors, please note that "participation" is a reserved name and should not be used. This matrix should also have an attribute named "base.currency" indicating to which currency the fx rates are mapped in the covariance matrix (use the function attr()).

mapping.table

S3 object created using the constructor mappingTable.

initial.values

list with the following elements:

  • initial.fx: a data.frame with following columns and parameters:

    • from: a character value. The starting currencies.

    • to: a character value. The arrival currencies.

    • fx: a numeric value. The exchange rates from the starting currencies to the arrival currencies.

  • initial.rate: a data.frame with following columns and parameters:

    • time: an integer value. The terms for the interests.

    • currency: a character value. The currencies for the interest rates.

    • rate: a numeric value. The interest rates.

Please note that you can directly use the constructors initialFX and initialRate to provide these parameters. to provide this parameter.

mapping.time

a data.frame with following columns and parameters:

  • time-to-maturity: an integer value. The times to maturities.

  • mapping: character value. The mapping.

  • stringsAsFactors = FALSE.

Please note that you can directly use the constructor mappingTime to provide this parameter.

base.currency

a character value of length one, the base currency of the marketRisk.

Value

S3 object, instance of the class marketRisk.

See Also

mappingTable.


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