valInfo.asset: Providing Valuation Information for Asset with Direct Market...

In sstModel: Swiss Solvency Test (SST) Standard Models

Description

valInfo is a generic S3 method for classes inheriting from item. It returns sufficient information for the creation of the valuation function of an item.

Usage

## S3 method for class 'asset'
valInfo(object, market.risk, standalone = NULL, ...)

Arguments

object	S3 object of class asset.
market.risk	S3 object of class marketRisk created using the constructor marketRisk.
standalone	S3 object of class standalone.
...	additional arguments.

Value

a list with the following elements:

• exposure: numeric value of length one representing the exposure in the underlying asset.

• constant: numeric value of length one representing the constant centering the log-normal expression.

• risk.factor: a data.frame with columns:

  • name: character value representing the names of the base risk-factors.

  • id: integer value representing the positions of the base risk-factors in the covariance matrix in marketRisk.

  • scale: numeric value representing the scaling coefficients associated to the base risk-factors.

See Also

valInfo, asset, marketRisk, standalone.

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