Nothing
tests/testthat/test-asset-valuation.R
In sstModel: Swiss Solvency Test (SST) Standard Models
# unit tests for S3 class asset
context("asset: valuation")
test_that("asset: valInfo method is ok", {
## false inputs
expect_error(valInfo.asset())
expect_error(valInfo(cashflow(time = 1L,
currency = "CHF",
rating = "AAA",
value = 10)))
## a first example without scaled factors
cov.mat <- diag(rep(4, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
l <- valInfo.asset(asset(type = "equity",
currency = "CHF",
value = 100),
market.risk = mr)
expect_equal(l$exposure, 100)
expect_equal(l$constant, as.numeric(-0.5 * t(c(0, 1, 0, 0) %*%
mr$cov.mat %*% c(0, 1, 0, 0))))
expect_equal(l$risk.factor$name, "equityCHF")
expect_equal(l$risk.factor$id, 2L)
expect_equal(l$risk.factor$scale, 1)
## a second example with scaled risk factors
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
currency = "EUR",
type = "equity",
scale = 2))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
l <- valInfo.asset(asset(type = "equity",
currency = "EUR",
value = 100),
market.risk = mr)
expect_equal(l$exposure, 100 * 1.05)
expect_equal(l$constant, as.numeric(-0.5 * t(c(1, 2, 0, 0) %*%
mr$cov.mat %*% c(1, 2, 0, 0))))
expect_equal(l$risk.factor$name, c("equityCHF", "EURCHF"))
expect_equal(l$risk.factor$id, c(2L,1L))
expect_equal(l$risk.factor$scale, c(2, 1))
})
test_that("asset: valExpression method is OK", {
## false inputs
expect_error(valExpression.asset())
expect_error(valExpression.asset(cashflow(time = 1L,
currency = "CHF",
rating = "AAA",
value = 10)))
## a first example without scaled factors
cov.mat <- diag(rep(4, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valExpression.asset(asset("equity", "CHF", 1000), market.risk = mr),
"1000 * (exp(`equityCHF` + -2) - 1)")
## a second example with scaled risk factors (with scale = 3)
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 3))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valExpression.asset(asset("equity", "EUR", 1000), market.risk = mr),
"1050 * (exp(3 * `equityCHF` + `EURCHF` + -20) - 1)")
# a third example with scaled risk factors (with scale=1)
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 1))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valExpression.asset(asset("equity", "EUR", 1000), market.risk = mr),
"1050 * (exp(`equityCHF` + `EURCHF` + -4) - 1)")
# a fourth example with scaled risk factors (with scale = 0)
expect_warning(mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0)))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valExpression.asset(asset("equity", "EUR", 1000), market.risk = mr),
"1050 * (exp(`EURCHF` + -2) - 1)")
})
test_that("asset: valExpression method with standalones is OK", {
cov.mat <- diag(rep(4, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0.5))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_true(is.na(valExpression(object = asset("equity", "CHF", 1000),
market.risk = mr,
standalone = standalone(name = "a name",
equity(name = "equityCHF",
type = "equity",
currency = "EUR")))))
expect_equal(valExpression(object = asset("equity", "EUR", 1000),
market.risk = mr,
standalone = standalone(name = "a name",
currency(name = "EURCHF",
from = "EUR",
to = "CHF"))),
"1050 * (exp(`EURCHF` + -2) - 1)")
vi <- valInfo(object = asset("equity", "EUR", 1000),
market.risk = mr,
standalone = standalone(name = "a name",
currency(name = "EURCHF",
from = "EUR",
to = "CHF")))
expect_equal(vi$constant, as.numeric(-0.5 * t(c(1, 0, 0, 0) %*%
mr$cov.mat %*% c(1, 0, 0, 0))))
})
test_that("asset: valFunction method is OK", {
## false inputs
expect_error(valFunction.asset())
expect_error(valFunction.asset(cashflow(time = 1L,
currency = "CHF",
rating = "AAA",
value = 10)))
expect_error(valFunction.asset(cashflow(time = 1L,
currency = "CHF",
rating = "AAA",
value = 10),
market.risk = list(1, 2, 3)))
## a first example without scaled factors
cov.mat <- diag(rep(4, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
# type checks (with constant)
simulations <- matrix(c("a", "b", "c", "d"),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr)(simulations),
"types")
simulations <- c(1,2,3)
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr)(simulations),
"dimensions")
simulations <- matrix(c(1, 2, NA, 4),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr)(simulations),
"Missing")
# type checks (without constant)
simulations <- matrix(c("a", "b", "c", "d"),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr, with.constant = F)(simulations),
"types")
simulations <- c(1,2,3)
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr, with.constant = F)(simulations),
"dimensions")
simulations <- matrix(c(1, 2, NA, 4),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr, with.constant = F)(simulations),
"Missing")
## validation: battery of tests
simulations <- matrix(c(10,5,4,3), nrow=1)
colnames(simulations) <- name
expect_equal(valFunction(asset("equity", "CHF", 1000), market.risk = mr)(simulations),
1000 * (exp(5 + -2) - 1))
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 3))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valFunction(asset("equity", "EUR", 1000), market.risk = mr)(simulations),
1050 * (exp(3 * 5 + 10 + -20) - 1))
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 1))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valFunction(asset("equity", "EUR", 1000), market.risk = mr)(simulations),
1050 * (exp(5 + 10 + -4) - 1))
expect_warning(mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0)))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valFunction(asset("equity", "EUR", 1000), market.risk = mr)(simulations),
1050 * (exp(10 + -2) - 1))
# checks with vector instead of matrix
simulations.vec <- c(10,5,4,3)
expect_equal(valFunction(asset("equity", "CHF", 1000), market.risk = mr)(simulations.vec),
1000 * (exp(5 + -2) - 1))
expect_equal(valFunction(asset("equity", "CHF", 1000), market.risk = mr, with.constant = F)(simulations.vec),
1000 * (exp(5) - 1))
# checks with wrong colnames
simulations <- matrix(c(10,5,4,3), nrow=1)
colnames(simulations) <- c("a", "b", "c", "d")
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr, with.constant = T)(simulations),
"names")
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr, with.constant = F)(simulations),
"names")
expect_error(valFunction(asset("equity", "GBP", 1000), market.risk = mr, with.constant = F)(simulations),
"Invalid")
})
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# unit tests for S3 class asset
context("asset: valuation")
test_that("asset: valInfo method is ok", {
## false inputs
expect_error(valInfo.asset())
expect_error(valInfo(cashflow(time = 1L,
currency = "CHF",
rating = "AAA",
value = 10)))
## a first example without scaled factors
cov.mat <- diag(rep(4, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
l <- valInfo.asset(asset(type = "equity",
currency = "CHF",
value = 100),
market.risk = mr)
expect_equal(l$exposure, 100)
expect_equal(l$constant, as.numeric(-0.5 * t(c(0, 1, 0, 0) %*%
mr$cov.mat %*% c(0, 1, 0, 0))))
expect_equal(l$risk.factor$name, "equityCHF")
expect_equal(l$risk.factor$id, 2L)
expect_equal(l$risk.factor$scale, 1)
## a second example with scaled risk factors
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
currency = "EUR",
type = "equity",
scale = 2))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
l <- valInfo.asset(asset(type = "equity",
currency = "EUR",
value = 100),
market.risk = mr)
expect_equal(l$exposure, 100 * 1.05)
expect_equal(l$constant, as.numeric(-0.5 * t(c(1, 2, 0, 0) %*%
mr$cov.mat %*% c(1, 2, 0, 0))))
expect_equal(l$risk.factor$name, c("equityCHF", "EURCHF"))
expect_equal(l$risk.factor$id, c(2L,1L))
expect_equal(l$risk.factor$scale, c(2, 1))
})
test_that("asset: valExpression method is OK", {
## false inputs
expect_error(valExpression.asset())
expect_error(valExpression.asset(cashflow(time = 1L,
currency = "CHF",
rating = "AAA",
value = 10)))
## a first example without scaled factors
cov.mat <- diag(rep(4, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valExpression.asset(asset("equity", "CHF", 1000), market.risk = mr),
"1000 * (exp(`equityCHF` + -2) - 1)")
## a second example with scaled risk factors (with scale = 3)
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 3))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valExpression.asset(asset("equity", "EUR", 1000), market.risk = mr),
"1050 * (exp(3 * `equityCHF` + `EURCHF` + -20) - 1)")
# a third example with scaled risk factors (with scale=1)
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 1))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valExpression.asset(asset("equity", "EUR", 1000), market.risk = mr),
"1050 * (exp(`equityCHF` + `EURCHF` + -4) - 1)")
# a fourth example with scaled risk factors (with scale = 0)
expect_warning(mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0)))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valExpression.asset(asset("equity", "EUR", 1000), market.risk = mr),
"1050 * (exp(`EURCHF` + -2) - 1)")
})
test_that("asset: valExpression method with standalones is OK", {
cov.mat <- diag(rep(4, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0.5))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_true(is.na(valExpression(object = asset("equity", "CHF", 1000),
market.risk = mr,
standalone = standalone(name = "a name",
equity(name = "equityCHF",
type = "equity",
currency = "EUR")))))
expect_equal(valExpression(object = asset("equity", "EUR", 1000),
market.risk = mr,
standalone = standalone(name = "a name",
currency(name = "EURCHF",
from = "EUR",
to = "CHF"))),
"1050 * (exp(`EURCHF` + -2) - 1)")
vi <- valInfo(object = asset("equity", "EUR", 1000),
market.risk = mr,
standalone = standalone(name = "a name",
currency(name = "EURCHF",
from = "EUR",
to = "CHF")))
expect_equal(vi$constant, as.numeric(-0.5 * t(c(1, 0, 0, 0) %*%
mr$cov.mat %*% c(1, 0, 0, 0))))
})
test_that("asset: valFunction method is OK", {
## false inputs
expect_error(valFunction.asset())
expect_error(valFunction.asset(cashflow(time = 1L,
currency = "CHF",
rating = "AAA",
value = 10)))
expect_error(valFunction.asset(cashflow(time = 1L,
currency = "CHF",
rating = "AAA",
value = 10),
market.risk = list(1, 2, 3)))
## a first example without scaled factors
cov.mat <- diag(rep(4, 4))
name <- c("EURCHF", "equityCHF", "2YCHF", "AAACHF")
colnames(cov.mat) <- name
rownames(cov.mat) <- name
attr(cov.mat, "base.currency") <- "CHF"
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"))
initial.values <- list()
initial.values$initial.fx <- data.frame(from = "EUR",
to = "CHF",
fx = 1.05,
stringsAsFactors = F)
initial.values$initial.rate <- data.frame(time = 1L,
currency = "CHF",
rate = 0.01,
stringsAsFactors = F)
mapping.time <- data.frame(time = 1L, mapping = "k", stringsAsFactors = F)
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
# type checks (with constant)
simulations <- matrix(c("a", "b", "c", "d"),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr)(simulations),
"types")
simulations <- c(1,2,3)
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr)(simulations),
"dimensions")
simulations <- matrix(c(1, 2, NA, 4),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr)(simulations),
"Missing")
# type checks (without constant)
simulations <- matrix(c("a", "b", "c", "d"),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr, with.constant = F)(simulations),
"types")
simulations <- c(1,2,3)
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr, with.constant = F)(simulations),
"dimensions")
simulations <- matrix(c(1, 2, NA, 4),nrow=1)
colnames(simulations) <- name
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr, with.constant = F)(simulations),
"Missing")
## validation: battery of tests
simulations <- matrix(c(10,5,4,3), nrow=1)
colnames(simulations) <- name
expect_equal(valFunction(asset("equity", "CHF", 1000), market.risk = mr)(simulations),
1000 * (exp(5 + -2) - 1))
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 3))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valFunction(asset("equity", "EUR", 1000), market.risk = mr)(simulations),
1050 * (exp(3 * 5 + 10 + -20) - 1))
mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 1))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valFunction(asset("equity", "EUR", 1000), market.risk = mr)(simulations),
1050 * (exp(5 + 10 + -4) - 1))
expect_warning(mapping.table <- mappingTable(currency(name = "EURCHF",
from = "EUR",
to = "CHF"),
equity(name = "equityCHF",
type = "equity",
currency = "CHF"),
rate(name = "2YCHF",
currency = "CHF",
horizon = "k"),
spread(name = "AAACHF",
currency = "CHF",
rating = "AAA"),
equity(name = "equityCHF",
type = "equity",
currency = "EUR",
scale = 0)))
mr <- marketRisk(cov.mat = cov.mat,
mapping.table = mapping.table,
initial.values = initial.values,
base.currency = "CHF",
mapping.time = mapping.time)
expect_equal(valFunction(asset("equity", "EUR", 1000), market.risk = mr)(simulations),
1050 * (exp(10 + -2) - 1))
# checks with vector instead of matrix
simulations.vec <- c(10,5,4,3)
expect_equal(valFunction(asset("equity", "CHF", 1000), market.risk = mr)(simulations.vec),
1000 * (exp(5 + -2) - 1))
expect_equal(valFunction(asset("equity", "CHF", 1000), market.risk = mr, with.constant = F)(simulations.vec),
1000 * (exp(5) - 1))
# checks with wrong colnames
simulations <- matrix(c(10,5,4,3), nrow=1)
colnames(simulations) <- c("a", "b", "c", "d")
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr, with.constant = T)(simulations),
"names")
expect_error(valFunction(asset("equity", "CHF", 1000), market.risk = mr, with.constant = F)(simulations),
"names")
expect_error(valFunction(asset("equity", "GBP", 1000), market.risk = mr, with.constant = F)(simulations),
"Invalid")
})
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