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#' Constructing a Fixed-Income-Asset
#'
#' @description Constructor for the S3 class cashflow.
#' It allows to build for a fixed-income-asset referred under the
#' name \emph{"Fixed-Income-Assets"} in the FINMA technical document \emph{"SST-Marktrisiko und -Aggregation Technische Beschreibung"}.
#'
#' @param time stricly positive integer value of length one representing the
#' time-to-maturity. This parameter relates to the \emph{"Restlaufzeit"} cashflow variable
#' \code{tau} in the FINMA document \emph{"SST-Marktrisiko und -Aggregation Technische Beschreibung"}.
#' @param currency character value of length one representing the currency in
#' which the fixed-income-asset is labeled. This parameter relates
#' to the \emph{"Fremdwährungsrisikofaktor"} cashflow index \code{j} in the FINMA
#' document \emph{"SST-Marktrisiko und -Aggregation Technische Beschreibung"}.
#' @param rating character value of length one representing the rating associated
#' to the fixed-income-asset. This parameter relates to the \emph{"Rating"} cashflow variable
#' \code{r} in the FINMA document \emph{"SST-Marktrisiko und -Aggregation Technische Beschreibung"}.
#' @param spread a numeric value of length one representing the initial spread corresponding
#' to the fixed-income-asset. This parameter relates to the cashflow variable
#' \eqn{S(0,j,r)} in the FINMA document \emph{"SST-Marktrisiko und -Aggregation Technische Beschreibung"}.
#' A warning is triggered if \code{spread} is below -0.1 or above 0.3.
#' @param value non-zero numeric value of length one representing the expected cashflow
#' at time \code{time} for a fixed-income-asset with rating
#' \code{rating}. This must be expressed in the same currency as
#' \code{currency}. If \code{value} is negative, then the cashflow is interpreted
#' as a liability. This parameter corresponds to the cashflow quantity \deqn{CF^{A,r,j}_{\tau}}
#' in the FINMA document \emph{"SST-Marktrisiko und -Aggregation Technische Beschreibung"}.
#'
#' @return an S3 object, instance of the class cashflow.
#'
#' @examples
#' # Creating new cashflows.
#' cashflow1 <- cashflow(1L, "USD", "AAA", 0.1, 1000)
#' cashflow2 <- cashflow(2L, "EUR", "BB", 0.1, 2000)
#'
#' @seealso \code{\link{summary.cashflow}}, \code{\link{print.cashflow}}.
#'
#' @export
cashflow <- function(time, currency, rating, spread, value) {
# PUBLIC FUNCTION.
# type checks
if (is.list(time) || is.list(currency) || is.list(value) || is.list(spread) ||
is.list(rating)) {
stop("Invalid types, see ?cashflow.")
}
if (!(is.numeric(time) && is.character(currency) && is.numeric(spread) && is.numeric(value) &&
is.character(rating))) {
stop("Invalid types, see ?cashflow.")
}
# dimensions checks
if (any(sapply(list(time, currency, rating, spread, value),
function(x) length(unlist(x))) != 1)) {
stop("Invalid dimensions, see ?cashflow.")
}
# input values checks
if (any(sapply(list(time, currency, rating, spread, value),
is.na))) {
stop("Missing values, see ?cashflow.")
}
# time, value and spread checks
if (!(is.finite(time) && is.finite(value) && is.finite(spread))) {
stop("value, spread and time must be finite, see ?cashflow.")
}
if (spread > 0.3 || spread < -0.1) {
warning("spread is smaller than -0.1 or bigger than 0.3, see ?cashflow.")
}
if (time <= 0) {
stop("time must be strictly positive, see ?cashflow.")
}
if (value == 0) {
warning("value is equal to zero, please delete this item for efficiency,
see ?cashflow.")
}
if (time%%1 != 0) {
stop("time must be an integer, see ?cashflow.")
}
if (!is.integer(time)) {
time <- as.integer(time)
}
ca <- list(time = time,
currency = currency,
rating = rating,
spread = spread,
value = value)
class(ca) <- c("cashflow", "marketItem", "item", class(ca))
return(ca)
}
#' Summarizing a Fixed-Income-Asset
#'
#' @description summary method for the S3 class cashflow.
#'
#' @param object S3 object of class cashflow.
#' @param ... additional arguments affecting the summary produced.
#'
#' @return an S3 object, instance of class \code{c("summaryDefault", "table")}.
#'
#' @examples
#' # Creating a cashflow.
#' ca <- cashflow(1L, "USD", "AAA", 0.1, 1000)
#' # summarizing the cashflow.
#' summary(ca)
#'
#' @seealso \code{\link[base]{summary}}, \code{\link{cashflow}}
#'
#' @export
summary.cashflow <- function(object, ...) {
# PUBLIC FUNCTION.
s <- object
class(s) <- c("summaryDefault", "table")
return(s)
}
#' Printing a Fixed-Income-Asset
#'
#' @description print method for the S3 class cashflow.
#'
#' @param x S3 object of class cashflow.
#' @param ... additional arguments.
#'
#' @return None (invisible NULL).
#'
#' @examples
#' # Creating a cashflow.
#' ca <- cashflow(1L, "USD", "AAA", 0.5, 1000)
#' # printing the cashflow.
#' print(ca)
#'
#' @seealso \code{\link[base]{print}}, \code{\link{cashflow}}
#'
#' @export
print.cashflow <- function(x, ...) {
# PUBLIC FUNCTION.
cat(format(x, ...), "\n")
}
#' Formating a Fixed-Income-Asset
#'
#' @param x S3 object of class cashflow.
#' @param ... additional arguments.
#'
#' @return a character value.
#'
#' @seealso \code{\link[base]{format}}, \code{\link{cashflow}}
#'
#' @export
format.cashflow <- function(x, ...) {
# PUBLIC FUNCTION.
paste(" cashflow", "\n",
"---------", "\n",
"time: ", x$time, "\n",
"currency: ", x$currency, "\n",
"rating: ", x$rating, "\n",
"spread: ", x$spread, "\n",
"value: ", x$value, "\n")
}
#' Checking Consistency of a Fixed-Income-Asset
#' with a MarketRisk
#'
#' @description \code{check} is a generic S3 method for S3 classes inheriting
#' from item. It is a logical method checking if the item is well defined
#' with respect to a risk (i.e. that all information necessary for valuating
#' the item is available).
#'
#' @param object S3 object of class cashflow.
#' @param market.risk S3 object of class marketRisk created using
#' the constructor \code{marketRisk}.
#' @param ... additional arguments.
#'
#' @return a logical value, is the cashflow consistent with the marketRisk?
#'
#' @seealso \code{\link{check}}, \code{\link{cashflow}},
#' \code{\link{marketRisk}}
#'
#' @export
check.cashflow <- function(object, market.risk, ...) {
# PRIVATE FUNCTION.
# marketRisk checks
if (!is.marketRisk(market.risk)) {
stop("Invalid type, see ?check.cashflow.")
}
if (!any(market.risk$mapping.time$time == object$time)) {
# time is not mapped.
return(FALSE)
}
mapping <- market.risk$mapping.time$mapping[market.risk$mapping.time$time ==
object$time]
if (!any(market.risk$mapping.table$type == "rate" &
market.risk$mapping.table$currency == object$currency &
market.risk$mapping.table$horizon == mapping)) {
# rate is not defined.
return(FALSE)
}
if (!any(market.risk$mapping.table$type == "spread" &
market.risk$mapping.table$currency == object$currency &
market.risk$mapping.table$rating == object$rating)) {
# spread is not defined.
return(FALSE)
}
if (!any(market.risk$initial.values$initial.rate$time == object$time &
market.risk$initial.values$initial.rate$currency == object$currency)) {
# initial rate is not defined.
return(FALSE)
}
return(TRUE)
}
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