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#' Building the Valuation Expression for an Index-Forward
#'
#' @description \code{valExpression} is a generic S3 method for classes
#' inheriting from item. It returns the valuation expression.
#'
#' @param object S3 object of class assetForward.
#' @param market.risk S3 object of class marketRisk created using
#' \code{marketRisk}.
#' @param standalone S3 object of class standalone.
#' @param ... additional arguments.
#'
#' @return a character value. The expression representing the valuation
#' of the index-forward position.
#'
#' @seealso \code{\link{valExpression}}, \code{\link{assetForward}}.
#'
#' @export
valExpression.assetForward <- function(object, market.risk, standalone = NULL, ...) {
# PRIVATE FUNCTION.
info.assetForward <- valInfo(object = object,
market.risk = market.risk,
standalone = standalone)
asset.expr <- valExpression(object = info.assetForward$asset.term,
market.risk = market.risk,
standalone = standalone)
liability.expr <- valExpression(object = info.assetForward$liability.term,
market.risk = market.risk,
standalone = standalone)
if (is.na(asset.expr)) {
if (is.na(liability.expr)) {
return(NA)
} else {
return(liability.expr)
}
} else {
if (is.na(liability.expr)) {
return(asset.expr)
} else {
return(paste(asset.expr, liability.expr, sep = " + "))
}
}
}
#' Building the Valuation Function for an Index-Forward
#'
#' @description \code{valFunction} is a generic S3 method for classes
#' inheriting from item. It returns the valuation function.
#'
#' @param object S3 object of class assetForward.
#' @param market.risk S3 object of class marketRisk created using
#' \code{marketRisk}.
#' @param with.constant a logical value, should the expression be with constant or not?
#' @param ... additional arguments.
#'
#' @return a function with one argument:
#' \itemize{
#' \item \code{x}: a matrix of simulations (numeric values) with named columns corresponding
#' exactly to the name of base risk-factors in \code{marketRisk} keeping the
#' same order, or an unnamed vector of simulations (numeric values) keeping the same
#' ordering of base risk-factors as in \code{marketRisk}.
#' }
#'
#' @seealso \code{\link{valFunction}}, \code{\link{assetForward}}.
#'
#' @export
valFunction.assetForward <- function(object, market.risk, with.constant = T, ...) {
# PUBLIC FUNCTION.
# explicit evaluation of parameters in closure
force(object)
force(market.risk)
force(with.constant)
# assetForward checks
checks <- check(object = object, market.risk = market.risk)
if (!checks) {
stop("Invalid assetForward for marketRisk, see ?valFunction.")
}
# obtain valuation information for assetForward
assetF.info <- valInfo(object = object,
market.risk = market.risk,
standalone = NULL)
# obtain valuation information for both terms
asset.info <- valInfo(object = assetF.info$asset.term,
market.risk = market.risk,
standalone = NULL)
liability.info <- valInfo(object = assetF.info$liability.term,
market.risk = market.risk,
standalone = NULL)
if (with.constant) {
return( function(x) {
# type checks
if (!(is.matrix(x) & is.numeric(x)) && !is.numeric(x)) {
stop("Invalid types, see ?valFunction.")
}
if (!is.matrix(x) && (length(x) != length(market.risk$name))) {
stop("Invalid dimensions, see ?valFunction.")
}
if (any(!is.finite(x))) {
stop("Missing values, see ?valFunction.")
}
if (!is.matrix(x)) {
x <- matrix(x, nrow = 1)
colnames(x) <- market.risk$name
}
# name checks
if (is.null(colnames(x)) || !identical(colnames(x), market.risk$name)) {
stop("Invalid dimensions or colnames, see ?valFunction.")
}
exponent.asset <- matrix(NA,
nrow = nrow(x),
ncol = length(asset.info$risk.factor$name))
exponent.liability <- matrix(NA,
nrow = nrow(x),
ncol = length(liability.info$risk.factor$name))
for (i in 1:ncol(exponent.asset)) {
exponent.asset[,i] <- asset.info$risk.factor$scale[i] * x[,asset.info$risk.factor$name[i]]
}
for (i in 1:ncol(exponent.liability)) {
exponent.liability[,i] <- liability.info$risk.factor$scale[i] * x[,liability.info$risk.factor$name[i]]
}
return(asset.info$exposure * (exp(apply(exponent.asset, 1, sum) + asset.info$constant)-1) +
liability.info$exposure * (exp(apply(exponent.liability, 1, sum) + liability.info$constant)-1))
})
} else {
return( function(x) {
# type checks
if (!(is.matrix(x) & is.numeric(x)) && !is.numeric(x)) {
stop("Invalid types, see ?valFunction.")
}
if (!is.matrix(x) && (length(x) != length(market.risk$name))) {
stop("Invalid dimensions, see ?valFunction.")
}
if (any(!is.finite(x))) {
stop("Missing values, see ?valFunction.")
}
if (!is.matrix(x)) {
x <- matrix(x, nrow = 1)
colnames(x) <- market.risk$name
}
# name checks
if (is.null(colnames(x)) || !identical(colnames(x), market.risk$name)) {
stop("Invalid dimensions or colnames, see ?valFunction.")
}
exponent.asset <- matrix(NA,
nrow = nrow(x),
ncol = length(asset.info$risk.factor$name))
exponent.liability <- matrix(NA,
nrow = nrow(x),
ncol = length(liability.info$risk.factor$name))
for (i in 1:ncol(exponent.asset)) {
exponent.asset[,i] <- asset.info$risk.factor$scale[i] * x[,asset.info$risk.factor$name[i]]
}
for (i in 1:ncol(exponent.liability)) {
exponent.liability[,i] <- liability.info$risk.factor$scale[i] * x[,liability.info$risk.factor$name[i]]
}
return(asset.info$exposure * (exp(apply(exponent.asset, 1, sum))-1) +
liability.info$exposure * (exp(apply(exponent.liability, 1, sum))-1))
})
}
}
#' Providing Information for Index-Forward Valuation from a marketRisk
#'
#' @description \code{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.
#'
#' @param object S3 object of class assetForward.
#' @param market.risk S3 object of class marketRisk created using
#' the constructor \code{marketRisk}.
#' @param standalone S3 object of class standalone.
#' @param ... additional arguments.
#'
#' @return A list with the following elements:
#' \itemize{
#' \item \code{asset.term}: an asset item. The underlying asset term in the forward
#' contract.
#' \item \code{liability.term}: a liability item. The liability term representing
#' the forward contract cashflow.
#' }
#'
#' @seealso \code{\link{valInfo}}, \code{\link{assetForward}},
#' \code{\link{marketRisk}}.
#'
#' @export
valInfo.assetForward <- function(object, market.risk, standalone = NULL, ...) {
# PRIVATE FUNCTION.
# the asset term sign depends on the position:
# - negative for short position (outflow)
# - positive for long positions (inflow)
if (object$position == "long") {
value <- object$exposure
} else if (object$position == "short") {
value <- -object$exposure
}
asset.term <- asset(type = object$type,
currency = object$currency,
value = value)
# the liability term depends on the position
# - negative for short positions (inflow)
# - positive for long positions (outflow)
if (object$position == "long") {
price <- object$price
} else if (object$position == "short") {
price <- -object$price
}
liability.term <- liability(time = object$time,
currency = object$currency,
value = price)
# return the two terms altogether
l <- list(asset.term = asset.term,
liability.term = liability.term)
return(l)
}
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