standalone: Constructing a Standalone Market Risk

In sstModel: Swiss Solvency Test (SST) Standard Models

Description

standalone Constructor for the S3 class standalone. A standalone market risk corresponds to a sub-model for market risk where only a subset of all market RiskFactors in a marketRisk is considered.

Usage

standalone(name, ..., list.arg = F)

Arguments

name	character value of length one representing the name of the standalone market risk. Please refer to the note Section to see which names cannot be used because there are reserved names for the model. Using such a name would trigger an error at the standalone construction.
...	S3 objects of class riskFactor.
list.arg	logical value of length one, by default set to FALSE. It allows to use ... argument to pass a list of objects of class riskFactor.

Value

a S3 object, instance of the class standalone.

Note

The following names are reserved for the model and cannot be used to name a standalone:

• marketRisk

• lifeRisk

• healthRisk

• nonLifeRisk

• scenarioRisk

• participationRisk

• participation

• marketParticipationRisk

• asset

• cashflow

• liability

• assetForward

• fxForward

• delta

See Also

summary.standalone, print.standalone.

Examples

# Creating a new standalone.
standalone1 <- standalone(name = "CHF rates",
                          rate(name = "2YCHF", currency = "CHF", horizon = "k"),
                          rate(name = "10YCHF", currency = "CHF", horizon = "m"),
                          rate(name = "10YCHF", currency = "CHF", horizon = "l",
                          scale = 0.75))

sstModel documentation built on May 2, 2019, 12:16 p.m.