sstModel (version 1.0.0)

fxForward: Constructing an FX-Forward

Description

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

Usage

fxForward(domestic, foreign, time, nominal, rate, position)

Arguments

domestic

character value of length one representing the base currency, i.e. the arrival currency from which foreign fx rates are hedged. This parameter relates to the index $0$ (base currency) in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

foreign

character value of length one representing the foreign currency, i.e. the currency on which fx rate converting foreign back to domestic is hedged. This parameter relates to the fxForward index j (foreign currency) 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 fxForward variable tau in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

nominal

strictly positive numeric value of length one representing the nominal value of the contract expressed in the foreign currency. This parameter relates to the fxForward quantity $$N^{j}_{\tau}$$ in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

rate

positive numeric value of length one representing the forward fx rate settled in the contract from currency foreign to currency domestic. This parameter relates to the fxForward quantity $$F^{~}_{\tau}$$ in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

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.fxForward, print.fxForward.

Examples

# NOT RUN {
# Creating new fxForwards.
fx.froward.1 <- fxForward("USD", "EUR", 1, 1000, 1.05, "long")
fx.forward.2 <- fxForward("CHF", "EUR", 10, 500, 1.1, "short")

# }