R/Sensitivity.R
In wbreymann/FEMS: R Package for Financial Enterprise Modelling and Simulation
#*************************************************************
# Copyright (c) 2015 by ZHAW.
# Please see accompanying distribution file for license.
#*************************************************************
##############################################################
#' Derive the sensitivity of a contract's value with respect
#' to a change in risk factors
#'
#' Different sensitivity-concepts can be derived from a financial
#' instrument or its analytical value, respectively. Currentently,
#' these are Macaulay and Fisher-Weil for Maturity-contracts and
#' the Numerical sensitivity for all kinds of contracts.
#'
#' Macaulay Duration is a measure for the sensitivity of the net present
#' value of a Maturity instrument to a parallel Shift in the related
#' yield curve. This measure is based on the discounted cash flows of the
#' instrument.
#'
#' Fisher-Weil Duration is a measure for the sensitivity of the net present
#' value of a Maturity instrument to a parallel Shift in the related
#' yield curve. This measure is based on the discounted cash flows of the
#' instrument.
#'
#' Numerical Sensitivity is the percentage change in the contract's value
#' (according to a specific valuation method or 'ValuationEngine',
#' respectively) under an arbitrary alteration of the market environment
#' as represented by the 'RiskFactorConnector'.
#'
#' @param object object The \code{ContractType} or \code{EventSeries}-object for
#' which to compute sensitivity
#'
#' @param type A character representing the type of sensitivity
#' (either 'macaulay', 'fisherweil', or 'numeric')
#'
#' @param method (optional) a 'ValuationEngine' can be specified according to
#' which the value is computed
#'
#' @param scenarios For type='numeric' a list of 'RiskFactorConnector'-objects
#' where the first element represents the base scenario and all other elements alterations thereof
#'
#' @param ... Currently unused
#'
#' @return A \code{numeric} object giving the sensitivity
#'
#' @seealso \code{\link{ContractType}} and \code{\link{ValuationEngine}}
#' and \code{\link{value}} and \code{\link{RiskFactorConnector}}
#'
#' @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 = "2016-09-01T00",
#' NotionalPrincipal = 1000,
#' NominalInterestRate = 0.00,
#' PremiumDiscountAtIED = -100,
#' DayCountConvention = "30E/360",
#' BusinessDayConvention = "SCF"))
#' ad <- "2016-06-02T00"
#' yc <- YieldCurve()
#' set(yc, what=list(Nodes=list(ReferenceDate="2016-06-01T00",
#' Tenors=c("1D", "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)
#'
#' # compute events
#' evs=events(pam,ad)
#'
#' # compute sensitivity with Macaulay duration
#' sensitivity(pam, by=ad, type="macaulay", method=dcEngine)
#' sensitivity(evs, by=ad, type="macaulay", method=dcEngine)
#'
#' # compute sensitivity with Fisher-Weil duration
#' sensitivity(pam, by=ad, type="fisherweil", method=dcEngine)
#' sensitivity(evs, by=ad, type="fisherweil", method=dcEngine)
#'
#' # Default is with Fisher-Weil duration
#' sensitivity(pam, by=ad, method=dcEngine)
#' sensitivity(evs, by=ad, method=dcEngine)
#'
#' # compute numeric sensitivity
#' # only possible from object of class EventSeries
#' # define base-scenario
#' rf.base = rf
#' # define shift-scenario
#' yc.shift <- YieldCurve()
#' set(yc.shift, what=list(Nodes=list(ReferenceDate="2016-06-01T00",
#' Tenors=c("1D", "10Y"),
#' Rates=c(0.005, 0.02)+0.1),
#' MarketObjectCode = "RiskFreeCurve"))
#' rf.shift <- RFConn()
#' add(rf.shift, yc.shift)
#' # compute sensitivity
#' sensitivity(evs, by=ad, type="numeric", method=dcEngine, scenarios=c(rf.base, rf.shift))
#'
## @include
#' @export
#' @docType methods
#' @rdname sen-methods
setGeneric(name = "sensitivity",
def = function(object, by, type, method, scenarios, ...) {
standardGeneric("sensitivity")
})
# #' @include ContractType.R
# #' @export
# #' @rdname sen-methods
# setMethod(f="sensitivity",
# signature = c("ContractType", "character", "missing", "missing", "missing"),
# definition = function(object, by, type, method, scenarios) {
# # set default type
# type = "fisherweil"
#
# if (type=="macaulay") {
#
# D = sensitivity(EventSeries(object, by[1]), by, type,
# DcEngine(get(object, "ValuationEngine")))
#
# } else if (type=="fisherweil") {
#
# D = sensitivity(EventSeries(object, by[1]), by, type,
# DcEngine(get(object, "ValuationEngine")))
#
# } else if (type=="numeric") {
#
# stop("Needs a vector of scenarios in order to compute numeric sensitivity!")
#
# } else {
# stop(paste("Value type '", type, "' not recognized!", sep=""))
# }
# return(D)
# })
#' @include ContractType.R
#' @export
#' @rdname sen-methods
setMethod(f="sensitivity",
signature = c("ContractType", "character", "character", "missing", "missing"),
definition = function(object, by, type, method, scenarios) {
if (type=="macaulay") {
D = sensitivity(EventSeries(object, by[1]), by, type,
DcEngine(get(object, "ValuationEngine")))
} else if (type=="fisherweil") {
D = sensitivity(EventSeries(object, by[1]), by, type,
DcEngine(get(object, "ValuationEngine")))
} else if (type=="numeric") {
stop("Needs a vector of scenarios in order to compute numeric sensitivity!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include ContractType.R
#' @include RiskFactorConnector.R
#' @export
#' @rdname sen-methods
setMethod(f="sensitivity",
signature=c("ContractType", "character", "character", "missing", "list"),
definition=function(object, by, type, method, scenarios) {
if (type=="macaulay") {
D=sensitivity(EventSeries(object, by[1]), by, type,
DcEngine(get(object, "ValuationEngine")))
} else if (type=="fisherweil") {
D = sensitivity(EventSeries(object, by[1]), by, type,
DcEngine(get(object, "ValuationEngine")))
} else if (type=="numeric") {
D=sensitivity(EventSeries(object, by[1]), by, type,
DcEngine(get(object, "ValuationEngine")), scenarios)
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include ContractType.R
#' @include ValuationEngine.R
#' @export
#' @rdname sen-methods
setMethod(f="sensitivity",
signature=c("ContractType", "character", "missing", "ValuationEngine", "missing"),
definition=function(object, by, type, method, scenarios) {
# set default type
type = "fisherweil"
if (type=="macaulay") {
D = sensitivity(EventSeries(object, by[1]) , by, type, method)
} else if (type=="fisherweil") {
D = sensitivity(EventSeries(object, by[1]), by, type, method)
} else if (type=="numeric") {
stop("Need a vector of scenarios in order to compute numeric sensitivity!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include ContractType.R
#' @include ValuationEngine.R
#' @export
#' @rdname sen-methods
setMethod(f="sensitivity",
signature=c("ContractType", "character", "character", "ValuationEngine", "missing"),
definition=function(object, by, type, method, scenarios) {
if (type=="macaulay") {
D=sensitivity(EventSeries(object, by[1]) , by, type, method)
} else if (type=="fisherweil") {
D=sensitivity(EventSeries(object, by[1]), by, type, method)
} else if (type=="numeric") {
stop("Need a vector of scenarios in order to compute numeric sensitivity!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include ContractType.R
#' @include ValuationEngine.R
#' @include RiskFactorConnector.R
#' @export
#' @rdname sen-methods
setMethod(f = "sensitivity",
signature = c("ContractType", "character", "character", "ValuationEngine", "list"),
definition = function(object, by, type, method, scenarios) {
if (type=="macaulay") {
D = sensitivity(EventSeries(object, by[1]), by, type, method)
} else if (type=="fisherweil") {
D = sensitivity(EventSeries(object, by[1]), by, type, method)
} else if (type=="numeric") {
# Calculate value for base scenario
set(method, scenarios[[1]])
V.0 = FEMS::value(object, by[1], type="market", method=method)
# Calculating the discounted value for all other scenarios
scenarios[1] = NULL
V = unlist(lapply(scenarios, FUN=function(x) {
temp = set(method, x)
FEMS::value(object, by[1], type="market", method=temp)
}))
# compute sensitivity
D = (V - V.0)/V.0
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include EventSeries.R
#' @export
#' @rdname sen-methods
setMethod(
f = "sensitivity",
signature = c("EventSeries", "character", "character", "missing", "missing"),
definition = function(object, by, type, method, scenarios) {
if (type=="macaulay") {
stop("Need a 'ValuationEngine' in order to compute Macaulay-sensitivity for an 'EventSeries!")
} else if (type=="fisherweil") {
stop("Need a 'ValuationEngine' in order to compute Fisher-Weil-sensitivity for an 'EventSeries!")
} else if (type=="numeric") {
stop("Need a vector of scenarios in order to compute numeric sensitivity!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include ContractType.R
#' @include ValuationEngine.R
#' @export
#' @rdname sen-methods
setMethod(f="sensitivity",
signature=c("EventSeries", "character", "missing", "ValuationEngine", "missing"),
definition=function(object, by, type, method, scenarios) {
# set default type
type = "fisherweil"
if (type=="macaulay") {
D = sensitivity(object, by, type, method)
} else if (type=="fisherweil") {
D = sensitivity(object, by, type, method)
} else if (type=="numeric") {
stop("Need a vector of scenarios in order to compute numeric sensitivity!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include EventSeries.R
#' @include ValuationEngine.R
#' @export
#' @rdname sen-methods
setMethod(
f = "sensitivity",
signature = c("EventSeries", "character", "character", "ValuationEngine", "missing"),
definition = function(object, by, type, method, scenarios) {
if (type=="macaulay") {
## cash flow data
dates <- get(object, "evs")$Date
t <- get(object, "evs")$Time
cfs <- get(object, "evs")$Value
## discount factors
ad0 <- by[1]
# yc <- get(method,"RiskFactorObject")
yc <- get(method, "dc.object")
dfs <- discountFactors(yc, to=dates, from=ad0)
## Calculating the Macauly Duration
D <- as.numeric(( t * cfs ) %*% dfs * ( 1 / cfs %*% dfs ))
} else if (type=="fisherweil") {
## cash flow data
dates <- get(object, "evs")$Date
t <- get(object, "evs")$Time
cfs <- get(object, "evs")$Value
## discount factors
ad0 <- by[1]
# yc <- get(method,"RiskFactorObject")
yc <- get(method, "dc.object")
dfs <- discountFactors(yc, to=dates, from=ad0)
s <- rates(yc, to=dates)
## Calculating the Fisher-Weil Duration
D <- as.numeric(( ( t * cfs ) %*% exp( -s*t ) ) * ( 1 / cfs %*% dfs ))
} else if (type=="numeric") {
stop("Need a vector of scenarios in order to compute numeric sensitivity!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
# We return the sensitivity
# An optional parameter should be introduced so that the user can choose
D = -D
return(D)
})
#' @include EventSeries.R
#' @include RiskFactorConnector.R
#' @export
#' @rdname sen-methods
setMethod(
f = "sensitivity",
signature = c("EventSeries", "character", "character", "missing", "list"),
definition = function(object, by, type, method, scenarios) {
if (type=="macaulay") {
stop("Need a 'ValuationEngine' in order to compute Macaulay-sensitivity for an 'EventSeries!")
} else if (type=="fisherweil") {
stop("Need a 'ValuationEngine' in order to compute Fisher-Weil-sensitivity for an 'EventSeries!")
} else if (type=="numeric") {
stop("Need a 'ValuationEngine' in order to compute numeric-sensitivity for an 'EventSeries!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
})
#' @include EventSeries.R
#' @include ValuationEngine.R
#' @include RiskFactorConnector.R
#' @export
#' @rdname sen-methods
setMethod(f = "sensitivity",
signature = c("EventSeries", "character", "character", "ValuationEngine", "list"),
definition = function(object, by, type, method, scenarios) {
if (type=="macaulay") {
D = sensitivity(object, by, type, method)
} else if (type=="fisherweil") {
D = sensitivity(object, by, type, method)
} else if (type=="numeric") {
# Calculate value for base scenario
dates <- get(object, "evs")$Date
cfs <- get(object, "evs")$Value
ad0 <- by[1]
# yc.nme = get(method,"RiskFactorObject")$label
yc.nme = get(method,"dc.object")$label
yc <- FEMS:::get(scenarios[[1]], yc.nme)
dfs <- discountFactors(yc, to=dates, from=ad0)
V.0 = as.numeric(cfs%*%dfs)
# Calculating the discounted value for all other scenarios
scenarios[1] = NULL
V = unlist(lapply(scenarios, FUN=function(x) {
yc = FEMS:::get(x, yc.nme)
dfs <- discountFactors(yc, to=dates, from=ad0)
cfs%*%dfs
}))
# compute sensitivity
D = (V-V.0)/V.0
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
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#*************************************************************
# Copyright (c) 2015 by ZHAW.
# Please see accompanying distribution file for license.
#*************************************************************
##############################################################
#' Derive the sensitivity of a contract's value with respect
#' to a change in risk factors
#'
#' Different sensitivity-concepts can be derived from a financial
#' instrument or its analytical value, respectively. Currentently,
#' these are Macaulay and Fisher-Weil for Maturity-contracts and
#' the Numerical sensitivity for all kinds of contracts.
#'
#' Macaulay Duration is a measure for the sensitivity of the net present
#' value of a Maturity instrument to a parallel Shift in the related
#' yield curve. This measure is based on the discounted cash flows of the
#' instrument.
#'
#' Fisher-Weil Duration is a measure for the sensitivity of the net present
#' value of a Maturity instrument to a parallel Shift in the related
#' yield curve. This measure is based on the discounted cash flows of the
#' instrument.
#'
#' Numerical Sensitivity is the percentage change in the contract's value
#' (according to a specific valuation method or 'ValuationEngine',
#' respectively) under an arbitrary alteration of the market environment
#' as represented by the 'RiskFactorConnector'.
#'
#' @param object object The \code{ContractType} or \code{EventSeries}-object for
#' which to compute sensitivity
#'
#' @param type A character representing the type of sensitivity
#' (either 'macaulay', 'fisherweil', or 'numeric')
#'
#' @param method (optional) a 'ValuationEngine' can be specified according to
#' which the value is computed
#'
#' @param scenarios For type='numeric' a list of 'RiskFactorConnector'-objects
#' where the first element represents the base scenario and all other elements alterations thereof
#'
#' @param ... Currently unused
#'
#' @return A \code{numeric} object giving the sensitivity
#'
#' @seealso \code{\link{ContractType}} and \code{\link{ValuationEngine}}
#' and \code{\link{value}} and \code{\link{RiskFactorConnector}}
#'
#' @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 = "2016-09-01T00",
#' NotionalPrincipal = 1000,
#' NominalInterestRate = 0.00,
#' PremiumDiscountAtIED = -100,
#' DayCountConvention = "30E/360",
#' BusinessDayConvention = "SCF"))
#' ad <- "2016-06-02T00"
#' yc <- YieldCurve()
#' set(yc, what=list(Nodes=list(ReferenceDate="2016-06-01T00",
#' Tenors=c("1D", "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)
#'
#' # compute events
#' evs=events(pam,ad)
#'
#' # compute sensitivity with Macaulay duration
#' sensitivity(pam, by=ad, type="macaulay", method=dcEngine)
#' sensitivity(evs, by=ad, type="macaulay", method=dcEngine)
#'
#' # compute sensitivity with Fisher-Weil duration
#' sensitivity(pam, by=ad, type="fisherweil", method=dcEngine)
#' sensitivity(evs, by=ad, type="fisherweil", method=dcEngine)
#'
#' # Default is with Fisher-Weil duration
#' sensitivity(pam, by=ad, method=dcEngine)
#' sensitivity(evs, by=ad, method=dcEngine)
#'
#' # compute numeric sensitivity
#' # only possible from object of class EventSeries
#' # define base-scenario
#' rf.base = rf
#' # define shift-scenario
#' yc.shift <- YieldCurve()
#' set(yc.shift, what=list(Nodes=list(ReferenceDate="2016-06-01T00",
#' Tenors=c("1D", "10Y"),
#' Rates=c(0.005, 0.02)+0.1),
#' MarketObjectCode = "RiskFreeCurve"))
#' rf.shift <- RFConn()
#' add(rf.shift, yc.shift)
#' # compute sensitivity
#' sensitivity(evs, by=ad, type="numeric", method=dcEngine, scenarios=c(rf.base, rf.shift))
#'
## @include
#' @export
#' @docType methods
#' @rdname sen-methods
setGeneric(name = "sensitivity",
def = function(object, by, type, method, scenarios, ...) {
standardGeneric("sensitivity")
})
# #' @include ContractType.R
# #' @export
# #' @rdname sen-methods
# setMethod(f="sensitivity",
# signature = c("ContractType", "character", "missing", "missing", "missing"),
# definition = function(object, by, type, method, scenarios) {
# # set default type
# type = "fisherweil"
#
# if (type=="macaulay") {
#
# D = sensitivity(EventSeries(object, by[1]), by, type,
# DcEngine(get(object, "ValuationEngine")))
#
# } else if (type=="fisherweil") {
#
# D = sensitivity(EventSeries(object, by[1]), by, type,
# DcEngine(get(object, "ValuationEngine")))
#
# } else if (type=="numeric") {
#
# stop("Needs a vector of scenarios in order to compute numeric sensitivity!")
#
# } else {
# stop(paste("Value type '", type, "' not recognized!", sep=""))
# }
# return(D)
# })
#' @include ContractType.R
#' @export
#' @rdname sen-methods
setMethod(f="sensitivity",
signature = c("ContractType", "character", "character", "missing", "missing"),
definition = function(object, by, type, method, scenarios) {
if (type=="macaulay") {
D = sensitivity(EventSeries(object, by[1]), by, type,
DcEngine(get(object, "ValuationEngine")))
} else if (type=="fisherweil") {
D = sensitivity(EventSeries(object, by[1]), by, type,
DcEngine(get(object, "ValuationEngine")))
} else if (type=="numeric") {
stop("Needs a vector of scenarios in order to compute numeric sensitivity!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include ContractType.R
#' @include RiskFactorConnector.R
#' @export
#' @rdname sen-methods
setMethod(f="sensitivity",
signature=c("ContractType", "character", "character", "missing", "list"),
definition=function(object, by, type, method, scenarios) {
if (type=="macaulay") {
D=sensitivity(EventSeries(object, by[1]), by, type,
DcEngine(get(object, "ValuationEngine")))
} else if (type=="fisherweil") {
D = sensitivity(EventSeries(object, by[1]), by, type,
DcEngine(get(object, "ValuationEngine")))
} else if (type=="numeric") {
D=sensitivity(EventSeries(object, by[1]), by, type,
DcEngine(get(object, "ValuationEngine")), scenarios)
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include ContractType.R
#' @include ValuationEngine.R
#' @export
#' @rdname sen-methods
setMethod(f="sensitivity",
signature=c("ContractType", "character", "missing", "ValuationEngine", "missing"),
definition=function(object, by, type, method, scenarios) {
# set default type
type = "fisherweil"
if (type=="macaulay") {
D = sensitivity(EventSeries(object, by[1]) , by, type, method)
} else if (type=="fisherweil") {
D = sensitivity(EventSeries(object, by[1]), by, type, method)
} else if (type=="numeric") {
stop("Need a vector of scenarios in order to compute numeric sensitivity!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include ContractType.R
#' @include ValuationEngine.R
#' @export
#' @rdname sen-methods
setMethod(f="sensitivity",
signature=c("ContractType", "character", "character", "ValuationEngine", "missing"),
definition=function(object, by, type, method, scenarios) {
if (type=="macaulay") {
D=sensitivity(EventSeries(object, by[1]) , by, type, method)
} else if (type=="fisherweil") {
D=sensitivity(EventSeries(object, by[1]), by, type, method)
} else if (type=="numeric") {
stop("Need a vector of scenarios in order to compute numeric sensitivity!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include ContractType.R
#' @include ValuationEngine.R
#' @include RiskFactorConnector.R
#' @export
#' @rdname sen-methods
setMethod(f = "sensitivity",
signature = c("ContractType", "character", "character", "ValuationEngine", "list"),
definition = function(object, by, type, method, scenarios) {
if (type=="macaulay") {
D = sensitivity(EventSeries(object, by[1]), by, type, method)
} else if (type=="fisherweil") {
D = sensitivity(EventSeries(object, by[1]), by, type, method)
} else if (type=="numeric") {
# Calculate value for base scenario
set(method, scenarios[[1]])
V.0 = FEMS::value(object, by[1], type="market", method=method)
# Calculating the discounted value for all other scenarios
scenarios[1] = NULL
V = unlist(lapply(scenarios, FUN=function(x) {
temp = set(method, x)
FEMS::value(object, by[1], type="market", method=temp)
}))
# compute sensitivity
D = (V - V.0)/V.0
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include EventSeries.R
#' @export
#' @rdname sen-methods
setMethod(
f = "sensitivity",
signature = c("EventSeries", "character", "character", "missing", "missing"),
definition = function(object, by, type, method, scenarios) {
if (type=="macaulay") {
stop("Need a 'ValuationEngine' in order to compute Macaulay-sensitivity for an 'EventSeries!")
} else if (type=="fisherweil") {
stop("Need a 'ValuationEngine' in order to compute Fisher-Weil-sensitivity for an 'EventSeries!")
} else if (type=="numeric") {
stop("Need a vector of scenarios in order to compute numeric sensitivity!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include ContractType.R
#' @include ValuationEngine.R
#' @export
#' @rdname sen-methods
setMethod(f="sensitivity",
signature=c("EventSeries", "character", "missing", "ValuationEngine", "missing"),
definition=function(object, by, type, method, scenarios) {
# set default type
type = "fisherweil"
if (type=="macaulay") {
D = sensitivity(object, by, type, method)
} else if (type=="fisherweil") {
D = sensitivity(object, by, type, method)
} else if (type=="numeric") {
stop("Need a vector of scenarios in order to compute numeric sensitivity!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
#' @include EventSeries.R
#' @include ValuationEngine.R
#' @export
#' @rdname sen-methods
setMethod(
f = "sensitivity",
signature = c("EventSeries", "character", "character", "ValuationEngine", "missing"),
definition = function(object, by, type, method, scenarios) {
if (type=="macaulay") {
## cash flow data
dates <- get(object, "evs")$Date
t <- get(object, "evs")$Time
cfs <- get(object, "evs")$Value
## discount factors
ad0 <- by[1]
# yc <- get(method,"RiskFactorObject")
yc <- get(method, "dc.object")
dfs <- discountFactors(yc, to=dates, from=ad0)
## Calculating the Macauly Duration
D <- as.numeric(( t * cfs ) %*% dfs * ( 1 / cfs %*% dfs ))
} else if (type=="fisherweil") {
## cash flow data
dates <- get(object, "evs")$Date
t <- get(object, "evs")$Time
cfs <- get(object, "evs")$Value
## discount factors
ad0 <- by[1]
# yc <- get(method,"RiskFactorObject")
yc <- get(method, "dc.object")
dfs <- discountFactors(yc, to=dates, from=ad0)
s <- rates(yc, to=dates)
## Calculating the Fisher-Weil Duration
D <- as.numeric(( ( t * cfs ) %*% exp( -s*t ) ) * ( 1 / cfs %*% dfs ))
} else if (type=="numeric") {
stop("Need a vector of scenarios in order to compute numeric sensitivity!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
# We return the sensitivity
# An optional parameter should be introduced so that the user can choose
D = -D
return(D)
})
#' @include EventSeries.R
#' @include RiskFactorConnector.R
#' @export
#' @rdname sen-methods
setMethod(
f = "sensitivity",
signature = c("EventSeries", "character", "character", "missing", "list"),
definition = function(object, by, type, method, scenarios) {
if (type=="macaulay") {
stop("Need a 'ValuationEngine' in order to compute Macaulay-sensitivity for an 'EventSeries!")
} else if (type=="fisherweil") {
stop("Need a 'ValuationEngine' in order to compute Fisher-Weil-sensitivity for an 'EventSeries!")
} else if (type=="numeric") {
stop("Need a 'ValuationEngine' in order to compute numeric-sensitivity for an 'EventSeries!")
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
})
#' @include EventSeries.R
#' @include ValuationEngine.R
#' @include RiskFactorConnector.R
#' @export
#' @rdname sen-methods
setMethod(f = "sensitivity",
signature = c("EventSeries", "character", "character", "ValuationEngine", "list"),
definition = function(object, by, type, method, scenarios) {
if (type=="macaulay") {
D = sensitivity(object, by, type, method)
} else if (type=="fisherweil") {
D = sensitivity(object, by, type, method)
} else if (type=="numeric") {
# Calculate value for base scenario
dates <- get(object, "evs")$Date
cfs <- get(object, "evs")$Value
ad0 <- by[1]
# yc.nme = get(method,"RiskFactorObject")$label
yc.nme = get(method,"dc.object")$label
yc <- FEMS:::get(scenarios[[1]], yc.nme)
dfs <- discountFactors(yc, to=dates, from=ad0)
V.0 = as.numeric(cfs%*%dfs)
# Calculating the discounted value for all other scenarios
scenarios[1] = NULL
V = unlist(lapply(scenarios, FUN=function(x) {
yc = FEMS:::get(x, yc.nme)
dfs <- discountFactors(yc, to=dates, from=ad0)
cfs%*%dfs
}))
# compute sensitivity
D = (V-V.0)/V.0
} else {
stop(paste("Value type '", type, "' not recognized!", sep=""))
}
return(D)
})
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