sstModel: cashflow – R documentation

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cashflow

Constructing a Fixed-Income-Asset

Description

Constructor for the S3 class cashflow. It allows to build for a fixed-income-asset referred under the name "Fixed-Income-Assets" in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

cashflow(time, currency, rating, spread, value)

Arguments

`time`	stricly positive integer value of length one representing the time-to-maturity. This parameter relates to the "Restlaufzeit" cashflow variable `tau` in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
`currency`	character value of length one representing the currency in which the fixed-income-asset is labeled. This parameter relates to the "Fremdwährungsrisikofaktor" cashflow index `j` in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
`rating`	character value of length one representing the rating associated to the fixed-income-asset. This parameter relates to the "Rating" cashflow variable `r` in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
`spread`	a numeric value of length one representing the initial spread corresponding to the fixed-income-asset. This parameter relates to the cashflow variable S(0,j,r) in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung". A warning is triggered if `spread` is below -0.1 or above 0.3.
`value`	non-zero numeric value of length one representing the expected cashflow at time `time` for a fixed-income-asset with rating `rating`. This must be expressed in the same currency as `currency`. If `value` is negative, then the cashflow is interpreted as a liability. This parameter corresponds to the cashflow quantity CF^{A,r,j}_{τ} in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Value

an S3 object, instance of the class cashflow.

Examples

# Creating new cashflows.
cashflow1 <- cashflow(1L, "USD", "AAA", 0.1, 1000)
cashflow2 <- cashflow(2L, "EUR", "BB", 0.1, 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