pcRate: Constructing a Principal Component Rate (Risk Factor)

Description Usage Arguments Value Examples

View source: R/riskFactor.R

Description

Constructor for the S3 class pcRate. It allows to define a principal component of rate curves risk factor. This risk factor refers to a principal component in the decomposition of the "stetigen Zins" change Δ R_{j}(t, i_{τ}) for a certain horizon index i_{τ} and a certain currency j in the valuation function for "Fixed-Income-Assets und Versicherungsverpflichtungen" presented in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

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Arguments

name

a character value of length one. This corresponds to the name in the covariance matrix of the marketRisk to which the principal component rate risk factor is mapped. This means that the principal component change will be assumed to be modeled by the underlying normal random variable corresponding to name in the covariance matrix (potentially scaled by scale if not NULL).

currency

a character value of length one. The currency in which the underlying rate is modelling. This refers to the currency corresponding to the index j in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

scale

a numeric value of length one. If not set NULL, this defines a scaled risk factor equal to scale times the risk factor defined by name in the covariance matrix contained in marketRisk. By default its value is scale = NULL.

Value

An S3 object, instance of the class pcRate.

Examples

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# constructing a principal component rate risk factor
# (assuming "2Y_CHF" exists in marketRisk).
p <- pcRate(name = "pcRate_EUR_1", currency = "EUR")

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