sstModel: pcRate – R documentation

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

pcRate

Constructing a Principal Component Rate (Risk Factor)

Description

Constructor for the S3 class pcRate. It allows to define a principal component of rate curves risk factor. This risk factor refers to a principal component in the decomposition of the "stetigen Zins" change Δ R_{j}(t, i_{τ}) for a certain horizon index i_{τ} and a certain currency j in the valuation function for "Fixed-Income-Assets und Versicherungsverpflichtungen" presented in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

pcRate(name, currency, scale = NULL)

Arguments

`name`	a character value of length one. This corresponds to the name in the covariance matrix of the `marketRisk` to which the principal component rate risk factor is mapped. This means that the principal component change will be assumed to be modeled by the underlying normal random variable corresponding to `name` in the covariance matrix (potentially scaled by `scale` if not `NULL`).
`currency`	a character value of length one. The currency in which the underlying rate is modelling. This refers to the currency corresponding to the index `j` in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
`scale`	a numeric value of length one. If not set `NULL`, this defines a scaled risk factor equal to `scale` times the risk factor defined by `name` in the covariance matrix contained in `marketRisk`. By default its value is `scale = NULL`.

Value

An S3 object, instance of the class pcRate.

Examples

# constructing a principal component rate risk factor
# (assuming "2Y_CHF" exists in marketRisk).
p <- pcRate(name = "pcRate_EUR_1", currency = "EUR")

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