sstModel: currency – R documentation

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currency

Constructing a Currency (FX Exchange Rate Risk Factor)

Description

Constructor for the S3 class currency. It allows to define a currency (fx rate) risk factor. This risk factor refers to the "Fremdwährungsrisikofaktors" change Δ RF_{t,FX_{j}} for a certain index j in the all valuation functions at presented in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

currency(name, from, to)

Arguments

`name`	a character value of length one. This corresponds to the name in the covariance matrix of the `marketRisk` to which the currency risk factor is mapped. This means that the risk factor change Δ RF_{t,FX_{j}} in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung" will be assumed to be modeled by the underlying normal random variable corresponding to `name` in the covariance matrix.
`from`	a character value of length one. The starting currency corresponding to the FX index `j` in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
`to`	a character value of length one. The arrival currency to which the exchange rate FX_{j} is mapped.

Value

An S3 object, instance of the class currency.

Note

Please consider that we do not allow for scaled currency risk factors.

Examples

# constructing a currency risk factor
# (assuming "EURCHF" exists in marketRisk).
cur <- currency(name = "EURCHF",
                from = "EUR",
                to   = "CHF")

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