sstModel: generateFunction.portfolio – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

generateFunction.portfolio

Generate the Market Valuation Function for a Portfolio

method to generate the market valuation function for a given portfolio and all positions (including participation if any).

## S3 method for class 'portfolio'
generateFunction(object, market.risk, ...)

a function, the market valuation function with the following parameter:

x: a matrix of simulation with named columns corresponding exactly to the name of base-risk factors in a marketRisk keeping the same order or an unnamed vector of simulations keeping the same ordering of risk factors as in the covariance matrix defined in marketRisk. Please note that if the portfolio contains a participation, then an additional column (in the case of matrix input) named participation or an additional entry (in the case of vector input) should be provided in the last position.

Please note that the valuation functions here are not centered.