sstModel (version 1.0.0)

valFunction.asset: Building the Valuation Function for Asset with Direct Market Price

Description

valFunction is a generic S3 method for classes inheriting from item. This method returns the valuation function of an asset with direct market price called "Aktiven mit direkt marktabh<U+00E4>ngigen Preisen" in the FINMA technical document "SST-Standardmodell Versicherungsmodell: Zielkapital" (version 31.1.2018).

Usage

# S3 method for asset
valFunction(object, market.risk, with.constant = T, ...)

Arguments

object

S3 object of class asset.

market.risk

S3 object of class marketRisk created using the constructor marketRisk.

with.constant

a logical value, should the expression be with constant (mean zero variation) or not?

...

additional arguments.

Value

a function with one argument:

• x: a matrix of simulations (numeric values) with named columns corresponding exactly to the name of base risk-factors in marketRisk keeping the same order, or an unnamed vector of simulations (numeric values) keeping the same ordering of base risk-factors as in marketRisk.

See Also

valFunction, asset, marketRisk.