Building the Valuation Function for Asset with Direct Market Price
valFunction is a generic S3 method for classes
inheriting from item. This method returns the valuation function of an asset with direct market price called "Aktiven mit direkt marktabhängigen Preisen"
in the FINMA technical document "SST-Standardmodell Versicherungsmodell: Zielkapital" (version 31.1.2018).
## S3 method for class 'asset' valFunction(object, market.risk, with.constant = T, ...)
object |
S3 object of class asset. |
market.risk |
S3 object of class marketRisk created using the constructor
|
with.constant |
a logical value, should the expression be with constant (mean zero variation) or not? |
... |
additional arguments. |
a function with one argument:
x: a matrix of simulations (numeric values) with named columns corresponding
exactly to the name of base risk-factors in marketRisk keeping the
same order, or an unnamed vector of simulations (numeric values) keeping the same
ordering of base risk-factors as in marketRisk.
the function returns the one-year profit variation
(with mean zero or not depending on with.constant).
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