Description Usage Arguments Value Examples

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"*.

1 |

`name` |
a character value of length one. This corresponds to the name in the covariance
matrix of the |

`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 |

`scale` |
a numeric value of length one. If not set |

An S3 object, instance of the class pcRate.

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

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