sstModel (version 1.0.0)

assetForward: Constructing an Index-Forward

Description

Constructor for the S3 class assetForward. It allows to build for an index-forward referred under the name "Index-Forward" in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

assetForward(type, currency, time, exposure, price, position)

Arguments

type

character value of length one representing the type of the underlying asset position. This parameter relates to the index i in the valuation formula of index-forwards in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung". This parameter is the same as the "Preisrisikofaktor" index i for asset valuation in the same document. type cannot be one of the following reserved character:

• "currency"

• "rate"

• "pcRate"

• "spread"

currency

character value of length one representing the currency in which the underlying asset is valuated. This parameter relates to the "Fremdw<U+00E4>hrungsrisikofaktor" index j in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

time

stricly positive integer value of length one representing the time-to-maturity from \(t = 0\). This parameter relates to the variable tau in valuation formula for assetForwards in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

exposure

strictly non-zero numeric value of length one. The exposure in the underlying asset covered by the forward contract, this must be expressed in the same currency as currency. This parameter corresponds to the quantity $$\hat{E}_{0,i,j}$$ for assetForwards in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung". If exposure is set to 0, a warning will be triggered.

price

numeric value of length one representing the forward price. This parameter relates to the assetForward variable $$\hat{F}^{j}_{\tau}$$ in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung". This must be expressed in the same currency as currency.

position

character value of length one. This can be either "long" or "short" according to the definition of long and short forwards in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Value

an S3 object, instance of the class fxForward.

See Also

summary.assetForward, print.assetForward.

Examples

# NOT RUN {
# Creating new assetForwards.
asset.froward.1 <- assetForward("equity", "EUR", 1, 1000, 1200, "long")
asset.forward.2 <- assetForward("private real estate","CHF", 7, 100, 90,
                                "short")

# }