sstModel (version 1.0.0)

delta: Constructing a Delta-Normal Remainder Term with Respect to MarketRisk

Description

delta Constructor for the S3 class delta. It allows to build for the sensitivities with respect to the market risk-factors of the total positions not modelled by the other marketItem classes used in a delta-normal remainder term presented in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

delta(name, currency, sensitivity)

Arguments

name

numeric value. The names of the market base risk factors (the base risk factors defined in marketRisk) with respect to which sensitivities are computed (non-zero). This vector should not contain duplicated names.

currency

character value representing currencies in which the sensitivities are expressed. If the currency specified does not match the base currency of the marketRisk, the initial fx-rates will be used to convert to the base currency. Nevertheless, it is forced at construction of a portfolio that the sensitivities should be provided in the the portfolio base currency.

sensitivity

numeric value giving sensitivities for the corresponding market risk-factors provided in name. These quantities explicitely relates to the "Sensitivit<U+00E4>t" as defined in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung", you can refer to this document for their estimation procedures. Sensitivities must be expressed in the corresponding currencies, i.e. in currency.

Value

an S3 object, instance of the class delta.

See Also

summary.delta, print.delta.

Examples

# NOT RUN {
# Creating a new delta.
d <- delta(name        = c("equity", "2YCHF", "EURCHF"),
           currency    = c("EUR", "CHF", "EUR"),
           sensitivity = c(100, 150, 130))

# }