sstModel: asset – R documentation

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asset

Constructing an Asset with Direct Market Price

Description

Constructor for the S3 class asset. It allows to build for an asset position with direct market price known under the name "Aktiven mit direkt marktabhängigen Preisen" in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

asset(type, currency, value)

Arguments

type

character value of length one representing the type of the asset position. This parameter relates to the "Preisrisikofaktor" index i in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung". type cannot be one of the following reserved character:

"currency"
"rate"
"pcRate"
"spread"

currency

character value of length one representing the currency in which the asset is valuated. This parameter relates to the "Fremdwährungsrisikofaktor" index j in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

value

non-zero numeric value of length one representing the exposure in the underlying asset. This must be expressed in the same currency as currency. Note that if value is negative the position is interpreted as a short position. If the value is set to 0, a warning will be triggered. This parameter corresponds to the quantity

\hat{E}_{0,i,j}

for asset with direct market price in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Value

an S3 object, instance of the class asset.

Examples

# Creating new assets.
asset1 <- asset("equity", "CHF", 1000)
asset2 <- asset("hedge fund", "EUR", 2000)

sstModel

Swiss Solvency Test (SST) Standard Models

v1.0.0

GPL-3 + file LICENSE

Authors

Loris Michel [aut], Melvin Kianmanesh Rad [aut], Adrien Lamit [aut], Michael Schmutz [cre], Swiss Financial Market Supervisory Authority FINMA [cph]

Initial release