sstModel (version 1.0.0)

valFunction.delta: Building the Valuation Function for a Market Delta-Normal Remainder Term

Description

valFunction is a generic S3 method for classes inheriting from item. It returns the valuation function.

Usage

# S3 method for delta
valFunction(object, market.risk, ...)

Arguments

object

S3 object of class delta.

market.risk

S3 object of class marketRisk created using marketRisk.

...

additional arguments.

Value

a function with arguments:

• 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, delta.