sstModel: valInfo.fxForward – R documentation

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valInfo.fxForward

Providing Information for FX-Forward Valuation from a marketRisk

Description

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.

Usage

## S3 method for class 'fxForward'
valInfo(object, market.risk, standalone = NULL, ...)

Arguments

`object`	S3 object of class fxForward.
`market.risk`	S3 object of class marketRisk created using `marketRisk`.
`standalone`	S3 object of class standalone.
`...`	additional arguments.

Value

A list with the following elements:

floating.term: a liability item. The liability term containing the fx rate risk.
fixed.term: a liability item. The liability term containing the fixed exchange rate.

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