Description Usage Arguments Value Note Examples
Constructor for the
S3 class rate. It allows to define a ratetype risk factor. This risk factor refers
to 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 "FixedIncomeAssets und Versicherungsverpflichtungen" presented
in the FINMA document "SSTMarktrisiko und Aggregation Technische Beschreibung".
1 
name 
a character value. If the length is 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
"FixedIncomeAssets oder Versicherungsverpflichtungen" is valuated.
This refers to the currency corresponding to the index 
horizon 
a character value of length one. The timetomaturity (projected on the time mapping). This refers to the index i_{τ} in the FINMA document "SSTMarktrisiko und Aggregation Technische Beschreibung". 
scale 
a numeric value of length one. If not set 
An S3 object, instance of the class rate.
In the case that principal component modeling of rate curves is chosen,
all risk factors named in name
should be scaled, otherwise an error will be
triggered.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20  # constructing a nonscaled rate risk factor
# (assuming "2Y_CHF" exists in marketRisk).
r < rate(name = "2Y_CHF",
currency = "CHF",
horizon = "k")
# constructing a scaled rate risk factor
# (assuming "2Y_CHF" exists in marketRisk).
r < rate(name = "2Y_CHF",
currency = "CHF",
horizon = "k",
scale = 0.5)
# constructing a rate risk factor from principal component
r < rate(name = c("pcRate_EUR_1",
"pcRate_EUR_2",
"pcRate_EUR_3"),
currency = "EUR",
horizon = "k",
scale = c(0.3, 0.2, sqrt(1(0.3^2)((0.2)^2))))

Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.