5.16 doc_riskfactor

Function File: object = Riskfactor ()

Function File: object = Riskfactor (name, id, type, description, model, parameters)

Construct risk factor object. Riskfactor Class Inputs:

• name (string): Name of object
• id (string): Id of object
• type (string): risk factor type
• description (string): Description of object
• model (string): statistical model in list [GBM,BM,SRD,OU]
• parameters (vector): vector with values [mean,std,skew,kurt, ... start_value,mr_level,mr_rate,node,rate]

If no input arguments are provided, a dummy IR risk factor object is generated.
The constructor of the risk factor class constructs an object with the following properties:
Class properties:

• name: Name of object
• id: Id of object
• description: Description of object
• type: risk factor type
• model: risk factor model
• mean: first moment of risk factor distribution
• std: second moment of risk factor distribution
• skew: third moment of risk factor distribution
• kurt: fourth moment of risk factor distribution
• start_value: Actual spot value of object
• mr_level: In case of mean reverting model this is the mean reversion level
• mr_rate: In case of mean reverting model this is the mean reversion rate
• node: In case of a interest rate or spread risk factor this is the term node
• rate: In case of a interest rate or spread risk factor this is the term rate at the node
• scenario_stress: Vector with values of stress scenarios
• scenario_mc: Matrix with risk factor scenario values (values per timestep per column)
• timestep_mc: MC timestep per column (cell string)

property_value = Riskfactor.getValue((base,stress,mc_timestep),’abs’) Riskfactor Method getValue
Return the value for a risk factor object. Specify the desired return values with a property parameter. If the second argument abs is set, the absolut scenario value is calculated from scenario shocks and the risk factor start value.
Timestep properties:

• base: return base value
• stress: return stress values
• any regular MC timestep (e.g. ’1d’): return scenario (shock) values at MC timestep

property_value = Riskfactor.get (property) object = Riskfactor.set (property, value) Riskfactor Methods get / set
Get / set methods for retrieving or setting risk factor properties.

See also: Instrument.