Providing Information for Fixed-Income-Asset Valuation from a marketRisk
valInfo is a generic S3 method for classes
inheriting from item. It returns sufficient information for the
creation of the valuation function of the item.
## S3 method for class 'cashflow' valInfo(object, market.risk, standalone = NULL, ...)
object |
S3 object of class cashflow. |
market.risk |
S3 object of class marketRisk created using
|
standalone |
S3 object of class standalone. |
... |
additional arguments. |
A list with the following elements:
exposure: a numeric value of length one representing the nominal
value of the cashflow.
constant: a numeric value of length one representing the constant
centering the log-normal expression.
risk.factor: a data.frame with columns:
name: a character value representing the names of the
base risk-factors.
id: an integer value representing the position of the
base risk-factors in the covariance matrix contained in marketRisk.
scale: a numeric value. The scales associated to the
base risk factors.
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