valInfo.cashflow: Providing Information for Fixed-Income-Asset Valuation from a...

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 the item.

Usage

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

Arguments

object	S3 object of class cashflow.
market.risk	S3 object of class marketRisk created using marketRisk.
standalone	S3 object of class standalone.
...	additional arguments.

Value

A list with the following elements:

• exposure: a numeric value of length one representing the nominal value of the cashflow.

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

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

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

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

  • scale: a numeric value. The scales associated to the base risk factors.

See Also

valInfo, cashflow, marketRisk, standalone.

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