marketRisk is the constructor for the S3 class
marketRisk. It allows to build for market risk parameters.
marketRisk(cov.mat, mapping.table, initial.values, mapping.time, base.currency)numeric matrix. The covariance matrix of the
market risk-factors. This matrix must have names, i.e. attributes
colnames and rownames indicating the names of the
corresponding narket risk-factors, please note that "participation"
is a reserved name and should not be used. This matrix should also have
an attribute named "base.currency" indicating to which currency the fx rates
are mapped in the covariance matrix (use the function attr()).
S3 object created using the constructor mappingTable.
list with the following elements:
initial.fx: a data.frame with following columns and
parameters:
from: a character value. The starting currencies.
to: a character value. The arrival currencies.
fx: a numeric value. The exchange rates from the
starting currencies to the arrival currencies.
initial.rate: a data.frame with following columns and
parameters:
time: an integer value. The terms for the interests.
currency: a character value. The currencies for the interest rates.
rate: a numeric value. The interest rates.
Please note that you can directly use the constructors initialFX and
initialRate to provide these parameters.
to provide this parameter.
a data.frame with following columns and parameters:
time-to-maturity: an integer value. The times to maturities.
mapping: character value. The mapping.
stringsAsFactors = FALSE.
Please note that you can directly use the constructor mappingTime
to provide this parameter.
a character value of length one, the base currency of the marketRisk.
S3 object, instance of the class marketRisk.