sstModel (version 1.0.0)

currency: Constructing a Currency (FX Exchange Rate Risk Factor)

Description

Constructor for the S3 class currency. It allows to define a currency (fx rate) risk factor. This risk factor refers to the "Fremdw<U+00E4>hrungsrisikofaktors" change \(\Delta RF_{t,FX_{j}}\) for a certain index j in the all valuation functions at presented in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

currency(name, from, to)

Arguments

name

a character value of length one. This corresponds to the name in the covariance matrix of the marketRisk to which the currency risk factor is mapped. This means that the risk factor change \(\Delta RF_{t,FX_{j}}\) in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung" will be assumed to be modeled by the underlying normal random variable corresponding to name in the covariance matrix.

from

a character value of length one. The starting currency corresponding to the FX index j in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

to

a character value of length one. The arrival currency to which the exchange rate \(FX_{j}\) is mapped.

Value

An S3 object, instance of the class currency.

Examples

# NOT RUN {
# constructing a currency risk factor
# (assuming "EURCHF" exists in marketRisk).
cur <- currency(name = "EURCHF",
                from = "EUR",
                to   = "CHF")

# }