ForeignExchangeRate-class | R Documentation |
RiskFactor
class
and representing a foreign exchange rate risk factorForeign exchange rates define a class of market risk factors that in the ACTUS model may directly affect future cash flows arising from a financial instrument, e.g. Cash-settled cross-currency-swaps, or are used to normalize cash flows in different currencies for reporting.
MarketObjectCode
character name of the risk factor
CurrencyPair
character currency pair represented by risk factor
TimeSeries
data.frame representating time series data
RiskFactor, YieldCurve, ReferenceIndex
# create an FX-Rate object
fx <- FxRate()
# define time stamps and values
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 the MarketObjectCode and TimeSeries
set(fx, what = list(MarketObjectCode = "CHF/USD",
TimeSeries = list(Dates = times,
Values = values)))
# get MarketObjectCode
get(fx, "MarketObjectCode")
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