valFunction.assetForward: Building the Valuation Function for an Index-Forward

In sstModel: Swiss Solvency Test (SST) Standard Models

Description

valFunction is a generic S3 method for classes inheriting from item. It returns the valuation function.

Usage

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

Arguments

object	S3 object of class assetForward.
market.risk	S3 object of class marketRisk created using marketRisk.
with.constant	a logical value, should the expression be with constant 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.

See Also

valFunction, assetForward.

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