Constructor for the S3 class cashflow. It allows to build for a fixed-income-asset referred under the name "Fixed-Income-Assets" in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
cashflow(time, currency, rating, spread, value)stricly positive integer value of length one representing the
time-to-maturity. This parameter relates to the "Restlaufzeit" cashflow variable
tau in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
character value of length one representing the currency in
which the fixed-income-asset is labeled. This parameter relates
to the "Fremdw<U+00E4>hrungsrisikofaktor" cashflow index j in the FINMA
document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
character value of length one representing the rating associated
to the fixed-income-asset. This parameter relates to the "Rating" cashflow variable
r in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
a numeric value of length one representing the initial spread corresponding
to the fixed-income-asset. This parameter relates to the cashflow variable
\(S(0,j,r)\) in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
A warning is triggered if spread is below -0.1 or above 0.3.
non-zero numeric value of length one representing the expected cashflow
at time time for a fixed-income-asset with rating
rating. This must be expressed in the same currency as
currency. If value is negative, then the cashflow is interpreted
as a liability. This parameter corresponds to the cashflow quantity $$CF^{A,r,j}_{\tau}$$
in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
an S3 object, instance of the class cashflow.
# NOT RUN {
# Creating new cashflows.
cashflow1 <- cashflow(1L, "USD", "AAA", 0.1, 1000)
cashflow2 <- cashflow(2L, "EUR", "BB", 0.1, 2000)
# }
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