# Swiss Solvency Test (SST) Standard Models

## Documentation for package ‘sstModel’ version 1.0.0

- DESCRIPTION file.
- User guides, package vignettes and other documentation.

## Help Pages

A C D E F G H I K L M N P R S T V W

sstModel-package | Implementation of the Swiss Solvency Test (SST) Standard Models.

## -- A --

aggregateRisks | Risk Aggregation Helper
asset | Constructing an Asset with Direct Market Price
assetForward | Constructing an Index-Forward

## -- C --

cashflow | Constructing a Fixed-Income-Asset
changeBaseCurrency | Change Covariance Matrix According to Change of Base Currency
check | Object Checks
check.asset | Checking Consistency of an Asset with Direct Market Price with a MarketRisk
check.assetForward | Checking Consistency of an Index-Forward with a MarketRisk
check.cashflow | Checking Consistency of a Fixed-Income-Asset with a MarketRisk
check.delta | Checking Consistency of a Delta-Normal Remainder Term with a MarketRisk
check.fxForward | Checking Consistency of a FX-Forward with a MarketRisk
check.health | Checking Consistency of a Health Delta-Normal Term with a MarketRisk and a HealthRisk
check.liability | Checking Consistency of an Insurance Liability with a MarketRisk
check.life | Checking Consistency of a Life Delta-Normal Remainder Term with a MarketRisk and a HealthRisk
check.macroEconomicScenarios | Checking Macro Economic Scenarios
check.nonLifeRisk | Checking Consistency of a nonLifeRisk with a MarketRisk
check.participation | Checking Consistency of a Participation with a MarketRisk
check.scenarioRisk | Checking Consistency of a ScenarioRisk with a MarketRisk
check.standalone | Checking Consistency of a Standalone with a MarketRisk
compute | Object Computations
compute.healthRisk | Compute a HealthRisk
compute.lifeRisk | Compute a LifeRisk
compute.macroEconomicScenarios | Computing Macro Economic Scenarios
compute.marketRisk | Compute a MarketRisk
compute.nonLifeRisk | Compute a nonLifeRisk
compute.participationRisk | Compute a participationRisk
compute.scenarioRisk | Compute a ScenarioRisk
compute.sstModel | Compute a sstModel
computeConstant | Compute The Normalizing Constant for a log-Normal Random Variable
conditionalReordering | Conditional Reordering
containsHealth | Checks if the object contains a healthRisk.
containsHealth.sstOutput | containsHealth Helper
containsInsurance | Checks if the object contains a insuranceRisk.
containsInsurance.sstOutput | containsInsurance Helper
containsLife | Checks if the object contains a lifeRisk.
containsLife.sstOutput | containsLife Helper
containsMarket | Checks if the object contains a MarketRisk.
containsMarket.sstOutput | containsMarket Helper
containsNonLife | Checks if the object contains nonLifeRisk.
containsNonLife.sstOutput | containsNonLife Helper
containsParticipation | Checks if the object contains participation.
containsParticipation.sstOutput | containsParticipation Helper
containsScenario | Checks if the object contains scenario.
containsScenario.sstOutput | containsScenario Helper
creditRisk | Credit risk
creditRisk.sstOutput | Get Credit Risk from sstOutput
currency | Constructing a Currency (FX Exchange Rate Risk Factor)
currencyIsIn | Currency in Object?
currencyIsIn.standalone | Currency in Standalone?

## -- D --

delta | Constructing a Delta-Normal Remainder Term with Respect to MarketRisk

## -- E --

equity | Constructing an Equity (Risk Factor)
equityIsIn | Equity in Object?
equityIsIn.standalone | Equity in Standalone?
excelToSstModel | Parsing an Excel Template to sstModel
expectedShortfall | Compute the Expected Shortfall

## -- F --

format.asset | Formating an Asset with Direct Market Price
format.assetForward | Formating an Index-Forward
format.cashflow | Formating a Fixed-Income-Asset
format.delta | Formating a Delta-Normal Remainder Term
format.fxForward | Formating an FX-Forward
format.health | Formating a Health Delta-Normal Term
format.healthRisk | Formating a HealhRisk
format.liability | Formating an Insurance Liability
format.life | Formating a Life Delta-Normal Remainder Term
format.lifeRisk | Formating a LifeRisk
format.marketRisk | Formating a marketRisk
format.nonLifeRisk | Formating a nonLifeRisk
format.participation | Formating a Participation
format.participationRisk | Formating a ParticipationRisk
format.portfolio | Formating a Portfolio
format.scenarioRisk | Formating a ScenarioRisk
format.sstModel | Formating a sstModel
format.sstOutput | Formating a sstOutput
format.standalone | Formating a standalone
format.summary.portfolio | Formating a Summary of Portfolio
format.summary.sstModel | Formating a Summary of sstModel
format.summary.sstOutput | Formating a Summary of sstOutput
fxForward | Constructing an FX-Forward

## -- G --

generateError | Generate error message from an error log
generateExpression | Generate an Expression
generateExpression.portfolio | Generate the Market Valuation Expression for a Portfolio
generateFunction | Generate a Function
generateFunction.portfolio | Generate the Market Valuation Function for a Portfolio
getCurrencyId | Get A Currency ID
getCurrencyId.marketRisk | Get A Currency ID
getCurrencyName | Get A Currency Name
getCurrencyName.marketRisk | Get A Currency Name
getCurrencyScale | Get A Currency Scale
getCurrencyScale.marketRisk | Get A Currency Scale
getDeltaId | Get A Delta ID
getDeltaId.marketRisk | Get A Delta ID
getDrbc | Get drbc
getDrbc.sstOutput | Get drbc
getEquityId | Get An Equity ID
getEquityId.marketRisk | Get An Equity ID
getEquityName | Get An Equity Name
getEquityName.marketRisk | Get An Equity Name
getEquityScale | Get An Equity Scale
getEquityScale.marketRisk | Get An Equity Scale
getHealthId | Get A Health Item ID
getHealthQuantile | Get A Health Item Quantile
getHealthRisk | Get Health Risk
getHealthRisk.sstOutput | Get Health Insurance Risk
getInitialFX | Get An Initial FX
getInitialFX.marketRisk | Get An Initial FX
getInitialRate | Get An Initial Rate
getInitialRate.marketRisk | Get An Initial Rate
getInitialSpread | Get An Initial Spread
getInsuranceRisk | Get Insurance Risk
getInsuranceRisk.sstOutput | Get Insurance Risk
getLifeId | Get A Life Item ID
getLifeId.lifeRisk | Get LifeRisk ID
getLifeQuantile | Get A Life Item Quantile
getLifeQuantile.lifeRisk | Get LifeRisk Quantiles
getLifeRisk | Get Life Risk
getLifeRisk.sstOutput | Get Life Insurance Risk
getMappingTime | Get A Time Mapping
getMappingTime.marketRisk | Get A Time Mapping
getMarketParticipationRisk | Get Aggregated Market Risk and Participation
getMarketParticipationRisk.sstOutput | Get Aggregated Market and Participation Risk
getMarketRisk | Get Market Risk
getMarketRisk.sstOutput | Get Market Risk
getNonLifeRisk | Get nonLife Risk
getNonLifeRisk.sstOutput | Get Non Life Insurance Risk
getParticipation | Get Participation
getParticipation.sstOutput | Get Participation
getRateId | Get A Rate ID
getRateId.marketRisk | Get A Rate ID
getRateName | Get A Rate Name
getRateName.marketRisk | Get A Rate Name
getRateScale | Get A Rate Scale
getRateScale.marketRisk | Get A Rate Scale
getScenarioRisk | Get Scenario Risk
getScenarioRisk.sstOutput | Get Scenario Risk
getSpreadId | Get A Spread ID
getSpreadId.marketRisk | Get A Spread ID
getSpreadName | Get A Spread Name
getSpreadName.marketRisk | Get A Spread Name
getSpreadScale | Get A Spread Scale
getSpreadScale.marketRisk | Get A Spread Scale

## -- H --

health | Constructing a Health Delta-Normal Term with Respect to healthRisk
healthRisk | Constructing a HealthRisk

## -- I --

initialFX | Constructing initial FX Rates
initialRate | Constructing Initial Interest Rates
initialSpread | Compute Initial Spread
intToGroups | Ordered Vector of Integers to List of consecutive integers
is.asset | Assess Class Membership (asset S3 class)
is.assetForward | Assess Class Membership (assetForward S3 class)
is.cashflow | Assess Class Membership (cashflow S3 class)
is.currency | Assess Class Membership (currency S3 class)
is.delta | Assess Class Membership (delta S3 class)
is.equity | Assess Class Membership (equity S3 class)
is.fxForward | Assess Class Membership (fxForward S3 class)
is.health | Assess Class Membership (health S3 class)
is.healthRisk | Assess Class Membership (healthRisk S3 class)
is.insuranceItem | Assess Class Membership (insuranceItem S3 class)
is.insuranceRisk | Assess Class Membership (insuranceRisk S3 class)
is.item | Assess Class Membership (item S3 class)
is.liability | Assess Class Membership (liability S3 class)
is.life | Assess Class Membership (life S3 class)
is.lifeRisk | Assess Class Membership (lifeRisk S3 class)
is.macroEconomicScenarios | Assess Class Membership (macroEconomicScenarios S3 class)
is.mappingTable | Assess Class Membership (mappingTable S3 class)
is.marketItem | Assess Class Membership (marketItem S3 class)
is.marketRisk | Assess Class Membership (marketRisk S3 class)
is.nonLifeRisk | Assess Class Membership (nonLifeRisk S3 class)
is.participation | Assess Class Membership (participation S3 class)
is.participationRisk | Assess Class Membership (standalone S3 class)
is.pcRate | Assess Class Membership (pcRate S3 class)
is.portfolio | Assess Class Membership (portfolio S3 class)
is.rate | Assess Class Membership (rate S3 class)
is.risk | Assess Class Membership (risk S3 class)
is.riskFactor | Assess Class Membership (riskFactor S3 class)
is.scenarioRisk | Assess Class Membership (scenerioRisk S3 class)
is.spread | Assess Class Membership (spread S3 class)
is.sstModel | Assess Class Membership (sstModel S3 class)
is.sstOutput | Assess Class Membership (sstOutput S3 class)
is.standalone | Assess Class Membership (standalone S3 class)
itemListToExpression | Item List to Valuation Expression Helper
itemListToFunction | Item List to Valuation Function Helper

## -- K --

keywordToTable | Extract a table from the excel template
keywordToTransposedTable | Extract a table from the excel template
keywordToValue | Extract a value from the excel template

## -- L --

launchDashboard | Launching The Dashboard In A Browser
liability | Constructing an Insurance Liability
life | Constructing a Life Delta-Normal Remainder Term with Respect to lifeRisk
lifeRisk | Constructing a LifeRisk
logNormalExpression | Log-Normal Expression Helper

## -- M --

macroEconomicScenarios | Constructing Macro Economic Scenarios
mappingTable | Constructing a Mapping Table
mappingTime | Constructing Time Mappings
marketRisk | Constructing a MarketRisk
marketValueMargin | Compute the Market Value Margin (MVM)
marketValueMargin.sstOutput | Compute the Market Value Margin (MVM)
mvmLife | MVM life computation

## -- N --

na.rm | Remove Missing Values
newtonRaphson | Find roots using Newton-Raphson algorithm
nonLifeRisk | Constructing a nonLifeRisk

## -- P --

participation | Constructing a Participation
participationRisk | Constructing a participationRisk
pcRate | Constructing a Principal Component Rate (Risk Factor)
portfolio | Constructing a SST Portfolio
print.asset | Printing an Asset with Direct Market Price
print.assetForward | Printing an Index-Forward
print.cashflow | Printing a Fixed-Income-Asset
print.delta | Printing a Delta-Normal Remainder Term
print.fxForward | Printing an FX-Forward
print.health | Printing a Health Delta-Normal Term
print.healthRisk | Printing a HealthRisk
print.liability | Printing an Insurance Liability
print.life | Printing a Life Delta-Normal Remainder Term
print.lifeRisk | Printing a LifeRisk
print.marketRisk | Printing a marketRisk
print.nonLifeRisk | Printing a nonLifeRisk
print.participation | Printing a Participation
print.participationRisk | Printing a participationRisk
print.portfolio | Printing a Portfolio
print.scenarioRisk | Printing a ScenarioRisk
print.sstModel | Printing a sstModel
print.sstOutput | Printing a sstOutput
print.standalone | Printing a standalone
print.summary.portfolio | Printing a Summary of Portfolio
print.summary.sstModel | Printing a Summary of sstModel
print.summary.sstOutput | Printing a Summary of sstOutput

## -- R --

rate | Constructing a Rate (Risk Factor)
rateIsIn | Rate in Object?
rateIsIn.standalone | Rate in standalone?
removePerfectCorr | Remove Perfectly Correlated Variables
riskCapital | Compute the Risk Capital
riskCapital.sstOutput | Compute the Risk Capital (RC)
riskFactorToExpression | RiskFactor To Expression Helper

## -- S --

scenarioRisk | Constructing a scenarioRisk
simulate.healthRisk | Simulate from a HealthRisk
simulate.lifeRisk | Simulate from a LifeRisk
simulate.marketRisk | Simulate from a MarketRisk
simulate.nonLifeRisk | Simulate from a nonLifeRisk
simulate.participationRisk | Simulate from a participationRisk
simulate.scenarioRisk | Simulate from a ScenarioRisk
splitComma | Split Characters
spread | Constructing a Spread (Risk Factor)
spreadIsIn | Spread in Object?
spreadIsIn.standalone | Spread in Standalone?
sstModel | Constructing an sstModel
sstModel_check | Run checks of the packages libraries to check for potential issues.
sstModel_news | Display sstModel R-package News File
sstRatio | Compute the Swiss Solvency Test (SST) Ratio
sstRatio.sstOutput | Compute the Swiss Solvency Test (SST) Ratio
standalone | Constructing a Standalone Market Risk
standaloneExpectedShortfall | Compute expected shortfall for standalone risk by reference
standaloneExpectedShortfall.sstOutput | Compute expected shortfall for standalone risk by reference
summary.asset | Summarizing an Asset with Direct Market Price
summary.assetForward | Summarizing an Index-Forward
summary.cashflow | Summarizing a Fixed-Income-Asset
summary.delta | Summarizing a Delta-Normal Remainder Term
summary.fxForward | Summarizing an FX-Forward
summary.health | Summarizing a Health Delta-Normal Term
summary.healthRisk | Summarizing a HealthRisk
summary.liability | Summarizing an Insurance Liability
summary.life | Summarizing a Life Delta-Normal Remainder Term
summary.lifeRisk | Summarizing a LifeRisk
summary.marketRisk | Summarizing a marketRisk
summary.nonLifeRisk | Summarizing a nonLifeRisk
summary.participation | Summarizing a Participation
summary.participationRisk | Summarizing a participationRisk
summary.portfolio | Summarizing a Portfolio
summary.scenarioRisk | Summarizing a ScenarioRisk
summary.sstModel | Summarizing an sstModel
summary.sstOutput | Summarizing a sstOutput
summary.standalone | Summarizing a standalone

## -- T --

tableToAssetForward | Parsing a table to a list of assetForward
tableToAssets | Parsing a table to a list of asset
tableToCashflow | Parsing a table to a list of cashflow
tableToFxForward | Parsing a table to a list of fxForward
tableToLiability | Parsing a table to a list of liability
targetCapital | Target Capital
targetCapital.sstOutput | Compute the Target Capital (TC)
translate | translate
translate.sstOutput | Translation of Fields of sstOutput

## -- V --

valExpression | Valuation Expression
valExpression.asset | Building the Valuation Expression for Asset with Direct Market Price
valExpression.assetForward | Building the Valuation Expression for an Index-Forward
valExpression.cashflow | Building the Valuation Expression for a Fixed-Income-Asset
valExpression.delta | Building the Valuation Expression for a Market Delta-Normal Remainder Term
valExpression.fxForward | Building the Valuation Expression for a FX-Forward Position
valExpression.health | Building the Valuation Expression for a Health Item
valExpression.liability | Building the Valuation Expression for an Insurance Liability
valExpression.life | Building the Valuation Expression for a Life Item
valFunction | Valuation Function
valFunction.asset | Building the Valuation Function for Asset with Direct Market Price
valFunction.assetForward | Building the Valuation Function for an Index-Forward
valFunction.cashflow | Building the Valuation Function for a Fixed-Income-Asset
valFunction.delta | Building the Valuation Function for a Market Delta-Normal Remainder Term
valFunction.fxForward | Building the Valuation Function for a FX-Forward
valFunction.liability | Building the Valuation Function for an Insurance Liability Valuation
valInfo | Providing Valuation Information
valInfo.asset | Providing Valuation Information for Asset with Direct Market Price
valInfo.assetForward | Providing Information for Index-Forward Valuation from a marketRisk
valInfo.cashflow | Providing Information for Fixed-Income-Asset Valuation from a marketRisk
valInfo.delta | Providing Information for Market Delta-Normal Remainder Term Valuation from a marketRisk
valInfo.fxForward | Providing Information for FX-Forward Valuation from a marketRisk
valInfo.health | Providing Information for Health Item Valuation from a marketRisk and a healthRisk
valInfo.liability | Providing Information for Insurance Liability Valuation from a marketRisk
valInfo.life | Providing Information for Life Item Valuation from a marketRisk and a lifeRisk
valueAtRisk | Compute the Value-at-Risk
volaToExpectedShortfall | Transform normal volatility in expected shortfall

## -- W --

write.sstOutput | Writing a sstOutput into a fundamental data sheet