sstModel: delta – R documentation

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delta

Constructing a Delta-Normal Remainder Term with Respect to MarketRisk

Description

delta Constructor for the S3 class delta. It allows to build for the sensitivities with respect to the market risk-factors of the total positions not modelled by the other marketItem classes used in a delta-normal remainder term presented in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

delta(name, currency, sensitivity)

Arguments

`name`	numeric value. The names of the market base risk factors (the base risk factors defined in `marketRisk`) with respect to which sensitivities are computed (non-zero). This vector should not contain duplicated names.
`currency`	character value representing currencies in which the sensitivities are expressed. If the currency specified does not match the base currency of the `marketRisk`, the initial fx-rates will be used to convert to the base currency. Nevertheless, it is forced at construction of a `portfolio` that the sensitivities should be provided in the the `portfolio` base currency.
`sensitivity`	numeric value giving sensitivities for the corresponding market risk-factors provided in `name`. These quantities explicitely relates to the "Sensitivität" as defined in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung", you can refer to this document for their estimation procedures. Sensitivities must be expressed in the corresponding currencies, i.e. in `currency`.

Value

an S3 object, instance of the class delta.

Note

All parameters must be of equal length.

Examples

# Creating a new delta.
d <- delta(name        = c("equity", "2YCHF", "EURCHF"),
           currency    = c("EUR", "CHF", "EUR"),
           sensitivity = c(100, 150, 130))

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