sstModel: standalone – R documentation

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

standalone

Constructing a Standalone Market Risk

Description

standalone Constructor for the S3 class standalone. A standalone market risk corresponds to a sub-model for market risk where only a subset of all market RiskFactors in a marketRisk is considered.

Usage

standalone(name, ..., list.arg = F)

Arguments

`name`	character value of length one representing the name of the standalone market risk. Please refer to the note Section to see which names cannot be used because there are reserved names for the model. Using such a name would trigger an error at the standalone construction.
`...`	S3 objects of class `riskFactor`.
`list.arg`	logical value of length one, by default set to `FALSE`. It allows to use `...` argument to pass a list of objects of class `riskFactor`.

Value

a S3 object, instance of the class standalone.

Note

The following names are reserved for the model and cannot be used to name a standalone:

marketRisk
lifeRisk
healthRisk
nonLifeRisk
scenarioRisk
participationRisk
participation
marketParticipationRisk
asset
cashflow
liability
assetForward
fxForward
delta

Examples

# Creating a new standalone.
standalone1 <- standalone(name = "CHF rates",
                          rate(name = "2YCHF", currency = "CHF", horizon = "k"),
                          rate(name = "10YCHF", currency = "CHF", horizon = "m"),
                          rate(name = "10YCHF", currency = "CHF", horizon = "l",
                          scale = 0.75))

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