newbiz-method: Simulate new (future) business on the PortfolioTree

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

Simulate new (future) business on the PortfolioTree

Description

A going-concern view on an organization (or PortfolioTree) includes the simulation of continuation of the organization's business. This method allows to compute new future business in terms of ACTUS ContractTypes according to a certain model contract and target growth on each "leaf" (or terminal account) in the PortfolioTree.

Usage

newbiz(object, by, growth, templates, rf)

## S4 method for signature 'Node,timeDate,matrix,list,RiskFactorConnector'
newbiz(object, by, growth, templates, rf)

Arguments

by	A vector of ordered timeDates providing the time-axis along which the business simulation is to be conducted.
rf	The RiskFactorConnector providing the market environment under which the business scenario is to be evaluated.
ptf	A Portfolio of ContractTypes which gives the existing business.
tree	A PortfolioTree with fields leafs, business, targets specified that drives the new business generating process.

Details

New business is generated along the time axis defined by method parameter by. At each point in time in by, the target and actual quantity in business, as measured in terms of nominal value, are compared and for the positive parts of difference target - actual new business is generated in form of new ContractType. The new business is then added to the Portfolio of existing contracts as provided with method argument ptf.

The new business generating process is defined by the following information elements provided with the PortfolioTree in method argument tree:

• leafsThe leafs, or terminal accounts, provide the structure for the simulation of new business. That is, scenarios for new business can be defined only for the leafs of a PortfolioTree.

• businessBusiness contains a model contract in terms of a list of named ACTUS Contract Attributes (as would be used in argument what used with the set-method applied to a ContractType). This model contract is used as a template for all new business contracts simulated on this particular leaf.

• targetsA (number of leafs) x (number of leafs) numeric matrix containing on the diagonal the growth rates (by-period wise) on the leafs themselves and on the outer-diagonals the spill-over rates from one leaf to another leaf.

For a demo use demo(NewBusinessSimulation).

See Also

PortfolioTree

wbreymann/FEMS documentation built on May 6, 2024, 2:19 p.m.