inc-methods: Derive the income-vector for 'ContractType'

In wbreymann/FEMS: R Package for Financial Enterprise Modelling and Simulation

Derive the income-vector for ContractType

Description

Income of a contract is computed over a (number of) specific time interval(s) defined by argument by. Within such a time interval, income is composed of two components: (1) nominal income as the net payments from interest and fees, and (2) income from re-valuation of the contract at beginning and end of the time interval. If at the begining of the time interval the contract's 'mark-to-model" value is higher than at the end a re-valuation gain results and vice versa. Thereby, the valuation model may be defined for each contract prior to calling this function or specified using the function parameter 'method'.

Usage

income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'ContractType,timeDate,missing,missing,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'ContractType,timeBuckets,missing,missing,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'ContractType,timeDate,character,missing,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'ContractType,timeBuckets,character,missing,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'ContractType,timeDate,missing,logical,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'ContractType,timeBuckets,missing,logical,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'ContractType,timeDate,character,logical,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'ContractType,timeBuckets,character,logical,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 
## 'ContractType,timeDate,missing,logical,ValuationEngine'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 
## 'ContractType,timeBuckets,missing,logical,ValuationEngine'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 
## 'ContractType,timeDate,character,logical,ValuationEngine'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 
## 'ContractType,timeBuckets,character,logical,ValuationEngine'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'Portfolio,timeDate,missing,missing,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'Portfolio,timeBuckets,missing,missing,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'Portfolio,timeDate,missing,missing,ValuationEngine'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 
## 'Portfolio,timeBuckets,missing,missing,ValuationEngine'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'Portfolio,timeDate,character,logical,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'Portfolio,timeBuckets,character,logical,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 
## 'Portfolio,timeDate,character,logical,ValuationEngine'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 
## 'Portfolio,timeBuckets,character,logical,ValuationEngine'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'EventSeries,timeDate,missing,missing,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'EventSeries,timeBuckets,missing,missing,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'EventSeries,timeDate,character,missing,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'EventSeries,timeBuckets,character,missing,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'EventSeries,timeDate,missing,logical,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'EventSeries,timeBuckets,missing,logical,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'EventSeries,timeDate,character,logical,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'EventSeries,timeBuckets,character,logical,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 
## 'EventSeries,timeDate,missing,logical,ValuationEngine'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 
## 'EventSeries,timeBuckets,missing,logical,ValuationEngine'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 
## 'EventSeries,timeDate,character,logical,ValuationEngine'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 
## 'EventSeries,timeBuckets,character,logical,ValuationEngine'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'eventList,timeDate,missing,ANY,ANY'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'eventList,timeDate,character,ANY,ANY'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'eventList,timeDate,character,logical,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'data.frame,timeDate,character,ANY,ANY'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'data.frame,timeDate,character,logical,missing'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'Node,timeBuckets,ANY,ANY,ANY'
income(object, by, type, revaluation.gains, method, scale = 1, digits = 2)

## S4 method for signature 'Operations,timeDate,missing,ANY,ANY'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'Operations,timeBuckets,missing,ANY,ANY'
income(object, by, type, revaluation.gains, method, ...)

## S4 method for signature 'Operations,timeBuckets,character,ANY,ANY'
income(object, by, type, revaluation.gains, method, ...)

Arguments

object	The ContractType or EventSeries-object for which to derive the income-vector
by	A sequence of 'timeDate's providing the target time-axis for the income-vector
type	A character representing the type of income (either 'marginal' or 'cumulative')
method	A 'ValuationEngine' (or list thereof) giving the valuation methods used when computing the re-valuation gains as part of income
...	(optional) Use parameter 'revaluation.gains=FALSE' in order to return income solely from interest/fee payments

Details

Different income-concepts can be derived for a financial instrument or the resulting EventSeries, respectively. Currentently, these are Marginal income and Cumulative income.

Marginal income-vector represents the aggregate income from interest and fee payments within a set of user-defined time-intervals. The time-intervals are defined as a sequence of timeDate-dates. Thereby, the marginal income-vector gives the net interest+fee cash flows within the specified time-intervals.

Cumulative income-vector is the cumulative sum over time (-intervals) of the marginal income-vector.

Value

A numeric object representing the income-vector on the target time-axis

See Also

ContractType and EventSeries

Examples

pam <- Pam()
set(pam, what=list(
                 ContractID = "001",
                 Currency = "CHF",
                 Calendar = "Weekday",
                 ContractRole = "RPA",               
                 StatusDate       = "2016-05-30T00",
                 ContractDealDate = "2016-05-30T00",
                 InitialExchangeDate = "2016-05-30T00",
                 MaturityDate = "2020-06-01T00",
                 NotionalPrincipal = 1000,
                 NominalInterestRate = 0.05,
                 CycleOfInterestPayment = "1Y-", 
                 PremiumDiscountAtIED = 0.0,
                 DayCountConvention = "30E/360",
                 BusinessDayConvention = "SCF"))
ad <- "2016-06-01T00"

# generate event series
evs=events(pam, ad)

# define target income time axis
by=timeSequence(substring(ad, 1, 10), "2020-06-01", by="1 year")

# derive marginal income from interest and fee payments for defined time axis
income(pam, by, "marginal", revaluation.gains=FALSE)

# derive cumulative income
income(pam, by, "cumulative", revaluation.gains=FALSE)

# now include revaluation gains
# therefore, define market environment and valuation method
yc=YieldCurve()
set(yc, what=list(Nodes=list(ReferenceDate=ad,
                             Tenors=c("1M", "10Y"),
                             Rates=c(0.005, 0.02)),
                  MarketObjectCode = "RiskFreeCurve"))
rf=RFConn()
add(rf, yc)
dcEngine <- DcEngine()
set(dcEngine, list(RiskFactorObjectLink="RiskFreeCurve",
                  dc.spread=0.0))
set(dcEngine, rf)

# now compute income with revaluation gains for defined time axis
income(pam, by, "marginal", dcEngine, revaluation.gains=TRUE)
income(pam, by, "cumulative", dcEngine, revaluation.gains=TRUE)

wbreymann/FEMS documentation built on Dec. 8, 2022, 9:43 a.m.