YieldCurve-class | R Documentation |
RiskFactor
class
and representing a yield curve risk factorYield curves 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. Floating- rate bonds, or are used for valuation of instruments, e.g. in discounting.
Yield curves 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. Floating- rate bonds, or are used for valuation of instruments, e.g. in discounting.
Reference indices 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. Inflation- linked bonds, or are used for valuation of instruments, e.g. a Stock market index when using CAPM.
jref
A rJava java object reference
jref
A rJava java object reference
MarketObjectCode
character name of the risk factor
TimeSeries
data.frame representating time series data
RiskFactor, ReferenceIndex, ForeignExchangeRate
RiskFactor, ReferenceIndex, ForeignExchangeRate
RiskFactor, YieldCurve, ForeignExchangeRate
yc <- YieldCurve()
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 = "2015-01-01T00", Tenors = tenors, Rates = rates)))
get(ind, "MarketObjectCode")
get(yc, "ReferenceDate")
get(yc, "Tenors")
get(yc, "Rates")
yc <- DynamicYieldCurve()
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 = "2015-01-01T00", Tenors = tenors, Rates = rates)))
get(ind, "MarketObjectCode")
get(yc, "ReferenceDate")
get(yc, "Tenors")
get(yc, "Rates")
# create an ReferenceIndex object
ind <- Index()
# define time stamps and values
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 the MarketObjectCode and Data
set(ind, what = list(MarketObjectCode = "CHF_SMI",
Data = list(Dates = times,
Values = values)))
# get MarketObjectCode
get(ind, "MarketObjectCode")
# get values of the risk factor at certain times
valueAt(ind, "2016-01-01")
valueAt(ind, c("2016-01-01", "2018-07-01", "2018-07-01"))
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