valFunction.asset: Building the Valuation Function for Asset with Direct Market...

In sstModel: Swiss Solvency Test (SST) Standard Models

Description

valFunction is a generic S3 method for classes inheriting from item. This method returns the valuation function of an asset with direct market price called "Aktiven mit direkt marktabhängigen Preisen" in the FINMA technical document "SST-Standardmodell Versicherungsmodell: Zielkapital" (version 31.1.2018).

Usage

## S3 method for class 'asset'
valFunction(object, market.risk, with.constant = T, ...)

Arguments

object	S3 object of class asset.
market.risk	S3 object of class marketRisk created using the constructor marketRisk.
with.constant	a logical value, should the expression be with constant (mean zero variation) or not?
...	additional arguments.

Value

a function with one argument:

• x: a matrix of simulations (numeric values) with named columns corresponding exactly to the name of base risk-factors in marketRisk keeping the same order, or an unnamed vector of simulations (numeric values) keeping the same ordering of base risk-factors as in marketRisk.

Note

the function returns the one-year profit variation (with mean zero or not depending on with.constant).

See Also

valFunction, asset, marketRisk.

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