rename: Rename Stressed Models

In spesenti/SWIM: Scenario Weights for Importance Measurement

Description

Rename Stressed Models

Usage

rename(object, names, k = 1)

Arguments

object	A SWIM or SWIMw object
names	Character vector, the new names of k-th stressed model.
k	Numeric vector, the k-th stressed model of object to rename. (default = 1).

Details

Get a new SWIM object with desired name

Value

An renamed object of class SWIM containing:

• x, a data.frame containing the data;

• new_weights, a list, each component corresponds to a different stress and is either a vector of scenario weights or a function, that applied to a column of x, generates the vectors of scenario weights;

• type, a list, each component corresponds to a different stress and specifies the type of the stress;

• specs, a list, each component corresponds to a different stress and contains a list with the specifications of what has been stressed.

See SWIM for details.

Author(s)

Kent Wu

Examples

set.seed(0)
x <- as.data.frame(cbind(
  "normal" = rnorm(1000),
  "gamma" = rgamma(1000, shape = 2)))
res1 <- stress(type = "VaR", x = x,
  alpha = 0.9, q_ratio = 1.05)
res1 <- rename(res1, "VaR_09", 1)

spesenti/SWIM documentation built on Jan. 15, 2022, 11:19 a.m.