add | R Documentation |
add
methodImplemented for various purposes.
Each element of the what
parameter is expected to be
an instance of RiskFactor
class. All elements
are added to the RiskFactorConnector
object for later
'linking' to an ACTUS CT.
Add an instance of RiskFactor
class to the
RiskFactorConnector
object for later 'linking' to an
ACTUS CT.
Add additional contracts, i.e. ContractType
-objects,
to the portfolio.
add(object, what, ...) ## S4 method for signature 'RiskFactorConnector,list' add(object, what, ...) ## S4 method for signature 'RiskFactorConnector,RiskFactor' add(object, what, ...) ## S4 method for signature 'Portfolio,ContractType' add(object, what, ...) ## S4 method for signature 'Portfolio,list' add(object, what, ...)
object |
An object of class |
what |
Either an object of class |
... |
remove
get
yc <- YieldCurve() # create a YieldCurve object tenors <- c("1W", "1M", "6M", "1Y", "2Y", "5Y") rates <- c(0.001, 0.0015, 0.002, 0.01, 0.02, 0.03) set(yc, what = list(MarketObjectCode = "YC_Prim", Nodes = list(ReferenceDate = "2015-01-01", Tenors = tenors, Rates = rates))) ind <- Index() # create a ReferenceIndex object times <- c("2015-01-01", "2016-01-01", "2017-01-01", "2018-01-01", "2019-01-01") values <- c(100, 110, 120, 130, 140) set(ind, what=list(MarketObjectCode = "CHF_SMI", Data=list(Dates=times,Values=values))) fx <- FxRate() # create an FX-Rate object times <- c("2015-01-01", "2016-01-01", "2017-01-01", "2018-01-01", "2019-01-01") values <- c(1.04, 1.05, 1.2, 1.0, 0.9) set(fx, what=list(MarketObjectCode = "CHF/USD", Data=list(Dates=times,Values=values))) rf <- RFConn() # create a RiskFactorConnector object add(rf,list(yc,ind,fx)) # add all risk factors to the RiskFactorConnector yc <- YieldCurve() # create a YieldCurve object tenors <- c("1W", "1M", "6M", "1Y", "2Y", "5Y") rates <- c(0.001, 0.0015, 0.002, 0.01, 0.02, 0.03) set(yc, what = list(MarketObjectCode = "YC_Prim", Nodes = list(ReferenceDate = "2015-01-01", Tenors = tenors, Rates = rates))) rf <- RFConn() # create a RiskFactorConnector object add(rf,yc) # add the single RiskFactor to the RiskFactorConnector # load contract demo data data(BondPortfolio) # create new portfolio ptf <- Portfolio() # define subset of ContractTerms to be used to create # new PrincipalAtMaturity contract # (we use a subset just to make the case here) attr.names=c("ContractID", "Currency", "ContractRole", "StatusDate", "ContractDealDate", "InitialExchangeDate", "MaturityDate", "NotionalPrincipal", "NominalInterestRate", "DayCountConvention") # add first contract of the demo data add(ptf, Pam(as.list(BondPortfolio[1,attr.names]))) # add second contract of the demo data add(ptf, Pam(as.list(BondPortfolio[2,attr.names])))
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