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sstModel (version 1.0.0)

valInfo.delta: Providing Information for Market Delta-Normal Remainder Term Valuation from a marketRisk

Description

valInfo is a generic S3 method for classes inheriting from item. It returns sufficient information for the creation of the valuation function of the item.

Usage

# S3 method for delta
valInfo(object, market.risk, standalone = NULL, ...)

Arguments

object

S3 object of class delta.

market.risk

S3 object of class marketRisk created using marketRisk.

standalone

S3 object of class standalone.

...

additional arguments.

Value

A list with the following elements:

  • sensitivity: a numeric value. The sensitivities (in base currency) with respect to the base risk factors stored in risk.factor, the second element of the list.

  • risk.factor: a data.frame with columns:

    • name: a character value. The names of the base risk factors.

    • id: an integer value. The position of the base risk factors in the covariance matrix in marketRisk.

    • scale: a numeric value. The scales associated to the base risk factors.

See Also

valInfo, delta, marketRisk.