valInfo.fxForward: Providing Information for FX-Forward 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 'fxForward'
valInfo(object, market.risk, standalone = NULL, ...)

Arguments

object	S3 object of class fxForward.
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:

• floating.term: a liability item. The liability term containing the fx rate risk.

• fixed.term: a liability item. The liability term containing the fixed exchange rate.

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