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#' Constructing an FX-Forward
#'
#' @description Constructor for the S3 class fxForward.
#' It allows to build for an fx-forward referred under the
#' name \emph{"FX-Forward"} in the FINMA technical document
#' \emph{"SST-Marktrisiko und -Aggregation Technische Beschreibung"}.
#'
#' @param domestic character value of length one representing the base currency, i.e. the arrival currency
#' from which foreign fx rates are hedged. This parameter relates to the index $0$ (base currency) in the FINMA document \emph{"SST-Marktrisiko und -Aggregation Technische Beschreibung"}.
#' @param foreign character value of length one representing the foreign currency, i.e. the currency on which fx rate converting \code{foreign} back to \code{domestic}
#' is hedged. This parameter relates to the fxForward index \code{j} (foreign currency) in the FINMA document \emph{"SST-Marktrisiko und -Aggregation Technische Beschreibung"}.
#' @param time stricly positive integer value of length one representing the
#' time-to-maturity from \eqn{t = 0}. This parameter relates to the fxForward variable
#' \code{tau} in the FINMA document \emph{"SST-Marktrisiko und -Aggregation Technische Beschreibung"}.
#' @param nominal strictly positive numeric value of length one representing the nominal value of the contract expressed in the
#' \code{foreign} currency. This parameter relates to the fxForward quantity \deqn{N^{j}_{\tau}} in the FINMA document \emph{"SST-Marktrisiko und -Aggregation Technische Beschreibung"}.
#' @param rate positive numeric value of length one representing the forward fx rate settled in the contract from currency \code{foreign}
#' to currency \code{domestic}. This parameter relates to the fxForward quantity \deqn{F^{~}_{\tau}} in the FINMA document \emph{"SST-Marktrisiko und -Aggregation Technische Beschreibung"}.
#' @param position character value of length one. This can be either
#' \code{"long"} or \code{"short"} according to the definition of
#' \emph{long} and \emph{short} forwards in the FINMA document \emph{"SST-Marktrisiko und -Aggregation Technische Beschreibung"}.
#'
#' @return an S3 object, instance of the class fxForward.
#'
#' @examples
#' # Creating new fxForwards.
#' fx.froward.1 <- fxForward("USD", "EUR", 1, 1000, 1.05, "long")
#' fx.forward.2 <- fxForward("CHF", "EUR", 10, 500, 1.1, "short")
#'
#' @seealso \code{\link{summary.fxForward}}, \code{\link{print.fxForward}}.
#'
#' @export
fxForward <- function(domestic, foreign, time, nominal, rate, position) {
# PUBLIC FUNCTION.
# type checks
if (is.list(time) | is.list(domestic) | is.list(foreign) |
is.list(nominal) | is.list(rate) | is.list(position)) {
stop("Invalid types, see ?fxForward.")
}
if (!(is.numeric(time) & is.character(domestic) & is.character(foreign) &
is.numeric(nominal) & is.numeric(rate) & is.character(position))) {
stop("Invalid types, see ?fxForward.")
}
# dimensions checks
if (any(sapply(list(domestic, foreign, time, nominal, rate, position),
function(x) length(unlist(x))) != 1)) {
stop("Invalid dimensions, see ?fxForward.")
}
# input values checks
if (any(sapply(list(domestic, foreign, time, nominal, rate, position),
is.na))) {
stop("Missing values, see ?fxForward.")
}
# domestic, foreign, time, nominal, rate and position checks
if (!is.finite(time) || !is.finite(nominal) || !is.finite(rate)) {
stop("Values must be finite, see ?fxForward.")
}
if (domestic == foreign) {
stop("Invalid FX forward, see ?fxForward.")
}
if (time <= 0) {
stop("time must be positive, see ?fxForward.")
}
if (rate <= 0) {
stop("rate must be positive, see ?fxForward.")
}
if (nominal < 0) {
stop("nominal must be positive, see ?fxForward.")
}
if (nominal == 0) {
warning("nomianl is equal to zero, please delete this item for efficiency,
see ?fxForward.")
}
if (time%%1 != 0) {
stop("time must be an integer, see ?fxForward.")
}
if (! (position %in% c("long", "short"))) {
stop("Undefined position, see ?fxForward.")
}
if (!is.integer(time)) {
time <- as.integer(time)
}
fxf <- list(domestic = domestic,
foreign = foreign,
time = time,
nominal = nominal,
rate = rate,
position = position)
class(fxf) <- c("fxForward", "marketItem", "item", class(fxf))
return(fxf)
}
#' Summarizing an FX-Forward
#'
#' @description summary method for the S3 class fxForward.
#'
#' @param object S3 object of class fxForward.
#' @param ... additional arguments affecting the summary produced.
#'
#' @return an S3 object, instance of class \code{c("summaryDefault", "table")}.
#'
#' @examples
#' # Creating an fx forward.
#' fxf <- fxForward("USD", "EUR", 1, 1000, 1.05, "long")
#' # summarizing the fx forward.
#' summary(fxf)
#'
#' @seealso \code{\link[base]{summary}}, \code{\link{fxForward}}.
#'
#' @export
summary.fxForward <- function(object, ...) {
# PUBLIC FUNCTION.
s <- object
class(s) <- c("summaryDefault", "table")
return(s)
}
#' Printing an FX-Forward
#'
#' @description print method for the S3 class fxForward.
#'
#' @param x S3 object of class fxForward.
#' @param ... additional arguments.
#'
#' @return None (invisible NULL).
#'
#' @examples
#' # Creating an fx forward.
#' fxf <- fxForward("USD", "EUR", 1, 1000, 1.05, "long")
#' # printing the fx forward.
#' print(fxf)
#'
#' @seealso \code{\link[base]{print}}, \code{\link{fxForward}}.
#'
#' @export
print.fxForward <- function(x, ...) {
# PUBLIC FUNCTION.
cat(format(x, ...), "\n")
}
#' Formating an FX-Forward
#'
#' @description format method for the S3 class fxForward.
#'
#' @param x an S3 object of class fxForward.
#' @param ... additional parameters.
#'
#' @return a character value.
#'
#' @seealso \code{\link[base]{format}}, \code{\link{fxForward}}.
#'
#' @export
format.fxForward <- function(x, ...) {
# PUBLIC FUNCTION.
paste(" fx forward", "\n",
"--------------", "\n",
"domestic: ", x$domestic, "\n",
"foreign: ", x$foreign, "\n",
"time: ", x$time, "\n",
"nominal: ", x$nominal, "\n",
"rate: ", x$rate, "\n",
"position: ", x$position, "\n")
}
#' Checking Consistency of a FX-Forward 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 fxForward.
#' @param market.risk S3 object of class marketRisk created using the constructor
#' \code{marketRisk}.
#' @param ... additional arguments.
#'
#' @return a logical value, is the fx forward consistent with the
#' marketRisk?
#'
#' @export
check.fxForward <- function(object, market.risk, ...) {
# PRIVATE FUNCTION.
if (!is.marketRisk(market.risk)) {
stop("fxForward can only be associated with a risk being a marketRisk.")
}
if (any(market.risk$mapping.table$type == "currency")) {
base.currency <- na.rm(unique(market.risk$mapping.table$to))
} else {
base.currency <- na.rm(unique(market.risk$mapping.table$currency))
}
if (object$domestic != base.currency) {
# domestic must be the base currency.
return(FALSE)
}
if (!any(market.risk$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$currency == object$domestic &
market.risk$mapping.table$horizon == mapping)) {
# rate is not defined.
return(FALSE)
}
if (!any(market.risk$mapping.table$type == "rate" &
market.risk$mapping.table$currency == object$foreign &
market.risk$mapping.table$horizon == mapping)) {
# rate is not defined.
return(FALSE)
}
if (!any(market.risk$initial.values$initial.rate$time == object$time &
market.risk$initial.values$initial.rate$currency == object$domestic)) {
# initial rate is not defined.
return(FALSE)
}
if (!any(market.risk$initial.values$initial.rate$time == object$time &
market.risk$initial.values$initial.rate$currency == object$foreign)) {
# initial rate is not defined.
return(FALSE)
}
return(TRUE)
}
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