Last updated on 2022-04-27 12:55:19 CEST.
| Flavor | Version | Tinstall | Tcheck | Ttotal | Status | Flags |
|---|---|---|---|---|---|---|
| r-devel-linux-x86_64-debian-clang | 1.0.0 | 17.22 | 131.19 | 148.41 | NOTE | |
| r-devel-linux-x86_64-debian-gcc | 1.0.0 | 11.93 | 97.49 | 109.42 | NOTE | |
| r-devel-linux-x86_64-fedora-clang | 1.0.0 | 135.47 | ERROR | |||
| r-devel-linux-x86_64-fedora-gcc | 1.0.0 | 130.20 | ERROR | |||
| r-devel-windows-x86_64 | 1.0.0 | 210.00 | 165.00 | 375.00 | NOTE | |
| r-patched-linux-x86_64 | 1.0.0 | 16.09 | 123.69 | 139.78 | NOTE | |
| r-release-linux-x86_64 | 1.0.0 | 9.88 | 122.58 | 132.46 | NOTE | |
| r-release-macos-arm64 | 1.0.0 | 55.00 | NOTE | |||
| r-release-macos-x86_64 | 1.0.0 | 82.00 | NOTE | |||
| r-release-windows-x86_64 | 1.0.0 | 195.00 | 166.00 | 361.00 | NOTE | |
| r-oldrel-macos-arm64 | 1.0.0 | 58.00 | NOTE | |||
| r-oldrel-macos-x86_64 | 1.0.0 | 93.00 | NOTE | |||
| r-oldrel-windows-ix86+x86_64 | 1.0.0 | 26.00 | 136.00 | 162.00 | NOTE |
Version: 1.0.0
Check: LazyData
Result: NOTE
'LazyData' is specified without a 'data' directory
Flavors: r-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc, r-devel-linux-x86_64-fedora-clang, r-devel-linux-x86_64-fedora-gcc, r-devel-windows-x86_64, r-patched-linux-x86_64, r-release-linux-x86_64, r-release-macos-arm64, r-release-macos-x86_64, r-release-windows-x86_64, r-oldrel-macos-arm64, r-oldrel-macos-x86_64, r-oldrel-windows-ix86+x86_64
Version: 1.0.0
Check: dependencies in R code
Result: NOTE
Namespace in Imports field not imported from: ‘shinydashboard’
All declared Imports should be used.
Flavors: r-devel-linux-x86_64-fedora-clang, r-devel-linux-x86_64-fedora-gcc, r-release-macos-arm64, r-release-macos-x86_64, r-oldrel-macos-arm64, r-oldrel-macos-x86_64
Version: 1.0.0
Check: examples
Result: ERROR
Running examples in ‘sstModel-Ex.R’ failed
The error most likely occurred in:
> ### Name: portfolio
> ### Title: Constructing a SST Portfolio
> ### Aliases: portfolio
>
> ### ** Examples
>
> # Creating a portofolio.
> asset1 <- asset("equity", "USD", 1000)
> asset2 <- asset("hedge fund", "EUR", 2000)
> life1 <- life(name = c("pandemy", "longetivity", "storno"),
+ currency = c("CHF", "CHF", "CHF"),
+ sensitivity = c(-100, -150, -130))
> health1 <- health(name = c("pandemy", "longetivity", "storno"),
+ currency = c("CHF", "CHF", "CHF"),
+ sensitivity = c(100, 150, 130))
> participation1 <- participation("CHF", 1000)
> # valid portfolio parameters
> valid.param <- list(mvm = list(mvm.life = 2, mvm.health = 4, mvm.nonlife = 3),
+ rtkr = 0,
+ rtkg = 0,
+ correction.term = 2,
+ credit.risk = 3,
+ expected.insurance.result = 10^6,
+ expected.financial.result = 10^5)
> pf <- portfolio(market.items = list(asset1, asset2),
+ participation.item = participation1,
+ life.item = life1,
+ health.item = health1,
+ base.currency = "CHF",
+ portfolio.parameters = valid.param)
Error in names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") || :
'length = 3' in coercion to 'logical(1)'
Calls: portfolio -> with -> with.default -> eval -> eval
Execution halted
Flavors: r-devel-linux-x86_64-fedora-clang, r-devel-linux-x86_64-fedora-gcc
Version: 1.0.0
Check: tests
Result: ERROR
Running ‘test-sst-example.R’
Running ‘test-standalone.R’
Running ‘testthat.R’ [15s/15s]
Running the tests in ‘tests/test-sst-example.R’ failed.
Complete output:
> # this is a complete example on how to simulate the target capital from the
> # Swiss solvency test with the standalone sstModel package
>
> # load package
> library(sstModel)
sstModel 1.0.0
Copyright (c) 2018 Swiss Financial Market Supervisory Authority FINMA
Swiss Financial Market Supervisory Authority FINMA
Laupenstrasse 27
CH-3003 Bern
info@finma.ch
This program comes with ABSOLUTELY NO WARRANTY.
This is free software, and you are welcome to redistribute it
under certain conditions.
Type launchDashboard() and go to the 'Legal Notices' Tab for more details about the license.
Type sstModel_news() to see new features/changes/fixes.
Type sstModel_check() to scan your package library for potential issues.
>
>
> # first step: define the market risks
>
> ## define the names of the base risk factors (Risiko Treiber).
> name <- c("EURCHF", "USDCHF", # the fx rate risks
+ "equityCHF", "equityEUR", "equityUSD", # the equity risks
+ "kYCHF", "mYCHF", # the interest rate risks
+ "kYEUR", "mYEUR",
+ "PC1RateUSD", "PC2RateUSD", # here we use two PCA components
+ "AAACHF", "AAAEUR", "AAAUSD") # the spread risks
>
> ## then we need to define an appropriate correlation matrix
> corr.mat <- diag(rep(1, 14))
> colnames(corr.mat) <- name
> rownames(corr.mat) <- name
>
> ## and the respective volatilities
> volatility <- rep(0.05, 14)
>
> # create cov mat
> cov.mat <- diag(volatility, length(volatility), length(volatility)) %*%
+ corr.mat %*% diag(volatility, length(volatility), length(volatility))
>
> colnames(cov.mat) <- rownames(cov.mat) <- colnames(corr.mat)
> attr(cov.mat, "base.currency") <- "CHF"
>
> ## we should then build the mapping table of market risks
> mapping.table <- mappingTable(currency(name = "EURCHF",
+ from = "EUR",
+ to = "CHF"),
+ currency(name = "USDCHF",
+ from = "USD",
+ to = "CHF"),
+
+ equity(name = "equityCHF",
+ type = "equity",
+ currency = "CHF"),
+ equity(name = "equityEUR",
+ type = "equity",
+ currency = "EUR"),
+ equity(name = "equityEUR",
+ type = "equity",
+ currency = "USD",
+ scale = 0.4694625),
+
+ pcRate(name = c("PC1RateUSD"),
+ currency = "USD"),
+ pcRate(name = c("PC2RateUSD"),
+ currency = "USD"),
+ pcRate(name = c("PC1RateUSD"),
+ currency = "EUR",
+ scale = 1),
+ pcRate(name = c("PC2RateUSD"),
+ currency = "EUR",
+ scale = 1),
+
+ rate(name = "kYCHF",
+ currency = "CHF",
+ horizon = "k"),
+
+ rate(name = c("PC1RateUSD",
+ "PC2RateUSD"),
+ currency = "EUR",
+ horizon = "k",
+ scale = c(0.1,
+ 0.7)),
+
+ rate(name = c("PC1RateUSD",
+ "PC2RateUSD"),
+ currency = "USD",
+ horizon = "k",
+ scale = c(0.2,
+ 0.5)),
+
+ rate(name = "mYCHF",
+ currency = "CHF",
+ horizon = "m"),
+
+ rate(name = c("PC1RateUSD",
+ "PC2RateUSD"),
+ currency = "EUR",
+ horizon = "m",
+ scale = c(0.05,
+ 0.6)),
+ rate(name = c("PC1RateUSD",
+ "PC2RateUSD"),
+ currency = "USD",
+ horizon = "m",
+ scale = c(0.1,
+ 0.9)),
+
+ spread(name = "AAACHF",
+ currency = "CHF",
+ rating = "AAA"),
+ spread(name = "AAAEUR",
+ currency = "EUR",
+ rating = "AAA"),
+ spread(name = "AAAUSD",
+ currency = "USD",
+ rating = "AAA"))
>
> ## and provide the initial values for the risks factors
> initial.values <- list()
>
> ## initial fx
> initial.values$initial.fx <- data.frame(from = c("EUR", "USD"),
+ to = c("CHF", "CHF"),
+ fx = c(1.05,1.02),
+ stringsAsFactors = F)
>
> ## initial rates
> initial.values$initial.rate <- data.frame(time = c(2L, 2L, 2L, 10L, 10L, 10L),
+ currency = c("CHF", "EUR", "USD"),
+ rate = c(0.01, 0.01, 0.01, 0.03, 0.03, 0.03),
+ stringsAsFactors = F)
>
>
> # define the mapped times for rates
> mapping.time <- data.frame(time = c(2L, 10L), mapping = c("k","m"), stringsAsFactors = F)
>
> ## we are finally in shape to build the full market risk
> mr <- marketRisk(cov.mat = cov.mat,
+ mapping.table = mapping.table,
+ base.currency = "CHF",
+ initial.values = initial.values,
+ mapping.time = mapping.time)
>
>
> # second step: define the health and life risks
> M <- matrix(c(1, 1, 1, 1), 2)
> colnames(M) <- c("storno", "invalidity")
> rownames(M) <- colnames(M)
>
> lr <- lifeRisk(corr.mat = M,
+ quantile = c(0.995, 0.995))
>
> hr <- healthRisk(corr.mat = M)
>
>
>
> # third step: build the portfolio
>
> list.assets <- list(asset(type = "equity", currency = "CHF", value = 30000000),
+ asset(type = "equity", currency = "EUR", value = 20000000),
+ asset(type = "equity", currency = "USD", value = 5000000))
>
> list.liabilities <- list(liability(time = 2L, currency = "CHF", value = 400000),
+ liability(time = 2L, currency = "EUR", value = 700000),
+ liability(time = 2L, currency = "USD", value = 340000),
+ liability(time = 10L, currency = "CHF", value = 500000),
+ liability(time = 10L, currency = "EUR", value = 100000),
+ liability(time = 10L, currency = "USD", value = 240000))
>
> list.asset.forward <- list(assetForward(type = "equity",
+ currency = "CHF",
+ time = 10L,
+ exposure = 10000,
+ price = 45000,
+ position = "long"))
>
>
> list.marketItems <- append(append(append(append(list(), list.assets), list.liabilities),list.asset.forward),
+ list(delta(name = "EURCHF", currency = "CHF", sensitivity = 1000)))
>
> valid.param <- list(mvm = list(mvm.life = 2, mvm.health = 4, mvm.nonlife = 3),
+ rtkr = 0,
+ rtkg = 0,
+ correction.term = 2,
+ credit.risk = 3,
+ expected.insurance.result = 10^6,
+ expected.financial.result = 10^5)
>
>
> p <- portfolio(market.items = list.marketItems,
+ participation.item = participation(currency = "CHF", value = 3000),
+ life.item = life(name = c("storno", "invalidity"), currency = c("CHF", "CHF"), sensitivity = c(100, 2000)),
+ health.item = health(name = c("storno", "invalidity"), currency = c("CHF", "CHF"), sensitivity = c(230, 500)),
+ base.currency = "CHF",
+ portfolio.parameters = valid.param)
Error in names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") || :
'length = 3' in coercion to 'logical(1)'
Calls: portfolio -> with -> with.default -> eval -> eval
Execution halted
Running the tests in ‘tests/testthat.R’ failed.
Complete output:
> library(testthat)
> library(sstModel)
sstModel 1.0.0
Copyright (c) 2018 Swiss Financial Market Supervisory Authority FINMA
Swiss Financial Market Supervisory Authority FINMA
Laupenstrasse 27
CH-3003 Bern
info@finma.ch
This program comes with ABSOLUTELY NO WARRANTY.
This is free software, and you are welcome to redistribute it
under certain conditions.
Type launchDashboard() and go to the 'Legal Notices' Tab for more details about the license.
Type sstModel_news() to see new features/changes/fixes.
Type sstModel_check() to scan your package library for potential issues.
>
> test_check("sstModel")
asset
---------
type: equity
currency: CHF
value: 10
asset forward
-------------
type: equity
currency: EUR
time: 1
exposure: 10
price: 100
position: long
cashflow
---------
time: 1
currency: CHF
rating: AAA
spread: 0.2
value: 10
delta term
---------------
name: 2YCHF, EURCHF
currency: CHF, CHF
sensitivity: 12, 25
fx forward
--------------
domestic: CHF
foreign: EUR
time: 1
nominal: 10
rate: 1.1
position: long
health
---------------
name: Sstorno, invalidity
currency: CHF, EUR
sensitivity: 12, 25
healthRisk
-------------------
correlation matrix: 2 x 2
liability
----------
time: 1
currency: CHF
value: -10
life
---------------
name: Sstorno, invalidity
currency: CHF, CHF
sensitivity: 12, 25
lifeRisk
---------------------
correlation matrix: 2 x 2
quantiles of length: 2
marketRisk
-------------------
covariance matrix: 4 x 4
mapping table: 4 risk-factors
base currency: CHF
nonLifeRisk
-------------------
a vector of simulations of length: 5
nonLifeRisk
-------------------
simulations from empirical cumulative distribution function.
nonLifeRisk
-------------------
centered log-normal simulations.
participation
-------------------
a participation with total value: 10
participationRisk
-------------------
volatility: 3
scenarioRisk
-------------
name: terrorism
probability: 0.1
currency: CHF
effect: -100
scenarioRisk
-------------
name: market crash
probability: 0.2
currency: CHF
effect: -50
[ FAIL 15 | WARN 0 | SKIP 10 | PASS 1158 ]
══ Skipped tests ═══════════════════════════════════════════════════════════════
• check-market-items.xlsx: isn't available (dev only test) (1)
• copula.xlsx: isn't available (dev only test) (1)
• duplicated-mapping.table.xlsx: isn't available (dev only test) (1)
• errorSheetNames.xlsx: isn't available (dev only test) (1)
• health.xlsx: isn't available (dev only test) (1)
• invalidExtension.xyz: isn't available (dev only test) (1)
• life.xlsx: isn't available (dev only test) (1)
• macro-economic-scenarios.xlsx: isn't available (dev only test) (1)
• scenario.xlsx: isn't available (dev only test) (1)
• withScenarioNoError.xlsx: isn't available (dev only test) (1)
══ Failed tests ════════════════════════════════════════════════════════════════
── Error (test-macroEconomicScenarios.R:124:3): macroEconomicScenarios: compute method is OK ──
Error in `names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") ||
!all(c("mvm.life", "mvm.health", "mvm.nonlife") %in% names(mvm))`: 'length = 3' in coercion to 'logical(1)'
Backtrace:
▆
1. └─sstModel::portfolio(...) at test-macroEconomicScenarios.R:124:2
2. ├─base::with(...)
3. └─base::with.default(...)
4. └─base::eval(substitute(expr), data, enclos = parent.frame())
5. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Failure (test-portfolio.R:35:3): constructor of portfolio is ok ─────────────
`portfolio(...)` threw an error with unexpected message.
Expected match: "Invalid types"
Actual message: "'length = 3' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-portfolio.R:35:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel::portfolio(...)
7. ├─base::with(...)
8. └─base::with.default(...)
9. └─base::eval(substitute(expr), data, enclos = parent.frame())
10. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Failure (test-portfolio.R:42:3): constructor of portfolio is ok ─────────────
`portfolio(...)` threw an error with unexpected message.
Expected match: "Invalid dimensions"
Actual message: "'length = 3' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-portfolio.R:42:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel::portfolio(...)
7. ├─base::with(...)
8. └─base::with.default(...)
9. └─base::eval(substitute(expr), data, enclos = parent.frame())
10. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Failure (test-portfolio.R:49:3): constructor of portfolio is ok ─────────────
`portfolio(...)` threw an error with unexpected message.
Expected match: "Invalid type"
Actual message: "'length = 3' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-portfolio.R:49:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel::portfolio(...)
7. ├─base::with(...)
8. └─base::with.default(...)
9. └─base::eval(substitute(expr), data, enclos = parent.frame())
10. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Failure (test-portfolio.R:64:3): constructor of portfolio is ok ─────────────
`portfolio(...)` threw an error with unexpected message.
Expected match: "Invalid types"
Actual message: "'length = 3' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-portfolio.R:64:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel::portfolio(...)
7. ├─base::with(...)
8. └─base::with.default(...)
9. └─base::eval(substitute(expr), data, enclos = parent.frame())
10. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Error (test-portfolio.R:126:3): constructor of portfolio is ok ──────────────
Error in `names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") ||
!all(c("mvm.life", "mvm.health", "mvm.nonlife") %in% names(mvm))`: 'length = 3' in coercion to 'logical(1)'
Backtrace:
▆
1. └─sstModel::portfolio(...) at test-portfolio.R:126:2
2. ├─base::with(...)
3. └─base::with.default(...)
4. └─base::eval(substitute(expr), data, enclos = parent.frame())
5. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Error (test-portfolio.R:168:3): portfolio: standard methods are ok ──────────
Error in `names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") ||
!all(c("mvm.life", "mvm.health", "mvm.nonlife") %in% names(mvm))`: 'length = 3' in coercion to 'logical(1)'
Backtrace:
▆
1. ├─testthat::expect_equal(...) at test-portfolio.R:168:2
2. │ └─testthat::quasi_label(enquo(object), label, arg = "object")
3. │ └─rlang::eval_bare(expr, quo_get_env(quo))
4. ├─base::format(...)
5. └─sstModel::portfolio(...)
6. ├─base::with(...)
7. └─base::with.default(...)
8. └─base::eval(substitute(expr), data, enclos = parent.frame())
9. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Error (test-portfolio.R:245:3): portfolio: generateExpression and generateFunction are ok ──
Error in `names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") ||
!all(c("mvm.life", "mvm.health", "mvm.nonlife") %in% names(mvm))`: 'length = 3' in coercion to 'logical(1)'
Backtrace:
▆
1. └─sstModel::portfolio(...) at test-portfolio.R:245:2
2. ├─base::with(...)
3. └─base::with.default(...)
4. └─base::eval(substitute(expr), data, enclos = parent.frame())
5. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Failure (test-reordering.R:33:3): conditionalReordering is ok ───────────────
`conditionalReordering(...)` threw an error with unexpected message.
Expected match: "types"
Actual message: "'length = 4' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-reordering.R:33:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel:::conditionalReordering(...)
── Failure (test-reordering.R:58:3): conditionalReordering is ok ───────────────
`conditionalReordering(...)` threw an error with unexpected message.
Expected match: "square"
Actual message: "'length = 4' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-reordering.R:58:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel:::conditionalReordering(...)
── Failure (test-reordering.R:79:3): conditionalReordering is ok ───────────────
`conditionalReordering(...)` threw an error with unexpected message.
Expected match: "dimension"
Actual message: "'length = 4' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-reordering.R:79:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel:::conditionalReordering(...)
── Failure (test-reordering.R:104:3): conditionalReordering is ok ──────────────
`conditionalReordering(...)` threw an error with unexpected message.
Expected match: "definite"
Actual message: "'length = 4' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-reordering.R:104:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel:::conditionalReordering(...)
── Error (test-reordering.R:150:6): conditionalReordering is ok ────────────────
Error in `!is.character(name) || duplicated(name)`: 'length = 4' in coercion to 'logical(1)'
Backtrace:
▆
1. └─sstModel:::conditionalReordering(...) at test-reordering.R:150:5
── Error (test-sstModel.R:84:3): sstModel is ok ────────────────────────────────
Error in `names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") ||
!all(c("mvm.life", "mvm.health", "mvm.nonlife") %in% names(mvm))`: 'length = 3' in coercion to 'logical(1)'
Backtrace:
▆
1. └─sstModel::portfolio(...) at test-sstModel.R:84:2
2. ├─base::with(...)
3. └─base::with.default(...)
4. └─base::eval(substitute(expr), data, enclos = parent.frame())
5. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Error (test-sstOutput.R:84:3): sstOutput figures are ok ─────────────────────
Error in `names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") ||
!all(c("mvm.life", "mvm.health", "mvm.nonlife") %in% names(mvm))`: 'length = 3' in coercion to 'logical(1)'
Backtrace:
▆
1. └─sstModel::portfolio(...) at test-sstOutput.R:84:2
2. ├─base::with(...)
3. └─base::with.default(...)
4. └─base::eval(substitute(expr), data, enclos = parent.frame())
5. └─base::eval(substitute(expr), data, enclos = parent.frame())
[ FAIL 15 | WARN 0 | SKIP 10 | PASS 1158 ]
Error: Test failures
Execution halted
Flavor: r-devel-linux-x86_64-fedora-clang
Version: 1.0.0
Check: re-building of vignette outputs
Result: ERROR
Error(s) in re-building vignettes:
--- re-building ‘packageAPI.Rmd’ using rmarkdown
Quitting from lines 580-596 (packageAPI.Rmd)
Error: processing vignette 'packageAPI.Rmd' failed with diagnostics:
'length = 3' in coercion to 'logical(1)'
--- failed re-building ‘packageAPI.Rmd’
SUMMARY: processing the following file failed:
‘packageAPI.Rmd’
Error: Vignette re-building failed.
Execution halted
Flavors: r-devel-linux-x86_64-fedora-clang, r-devel-linux-x86_64-fedora-gcc
Version: 1.0.0
Check: tests
Result: ERROR
Running ‘test-sst-example.R’
Running ‘test-standalone.R’
Running ‘testthat.R’ [14s/14s]
Running the tests in ‘tests/test-sst-example.R’ failed.
Complete output:
> # this is a complete example on how to simulate the target capital from the
> # Swiss solvency test with the standalone sstModel package
>
> # load package
> library(sstModel)
sstModel 1.0.0
Copyright (c) 2018 Swiss Financial Market Supervisory Authority FINMA
Swiss Financial Market Supervisory Authority FINMA
Laupenstrasse 27
CH-3003 Bern
info@finma.ch
This program comes with ABSOLUTELY NO WARRANTY.
This is free software, and you are welcome to redistribute it
under certain conditions.
Type launchDashboard() and go to the 'Legal Notices' Tab for more details about the license.
Type sstModel_news() to see new features/changes/fixes.
Type sstModel_check() to scan your package library for potential issues.
>
>
> # first step: define the market risks
>
> ## define the names of the base risk factors (Risiko Treiber).
> name <- c("EURCHF", "USDCHF", # the fx rate risks
+ "equityCHF", "equityEUR", "equityUSD", # the equity risks
+ "kYCHF", "mYCHF", # the interest rate risks
+ "kYEUR", "mYEUR",
+ "PC1RateUSD", "PC2RateUSD", # here we use two PCA components
+ "AAACHF", "AAAEUR", "AAAUSD") # the spread risks
>
> ## then we need to define an appropriate correlation matrix
> corr.mat <- diag(rep(1, 14))
> colnames(corr.mat) <- name
> rownames(corr.mat) <- name
>
> ## and the respective volatilities
> volatility <- rep(0.05, 14)
>
> # create cov mat
> cov.mat <- diag(volatility, length(volatility), length(volatility)) %*%
+ corr.mat %*% diag(volatility, length(volatility), length(volatility))
>
> colnames(cov.mat) <- rownames(cov.mat) <- colnames(corr.mat)
> attr(cov.mat, "base.currency") <- "CHF"
>
> ## we should then build the mapping table of market risks
> mapping.table <- mappingTable(currency(name = "EURCHF",
+ from = "EUR",
+ to = "CHF"),
+ currency(name = "USDCHF",
+ from = "USD",
+ to = "CHF"),
+
+ equity(name = "equityCHF",
+ type = "equity",
+ currency = "CHF"),
+ equity(name = "equityEUR",
+ type = "equity",
+ currency = "EUR"),
+ equity(name = "equityEUR",
+ type = "equity",
+ currency = "USD",
+ scale = 0.4694625),
+
+ pcRate(name = c("PC1RateUSD"),
+ currency = "USD"),
+ pcRate(name = c("PC2RateUSD"),
+ currency = "USD"),
+ pcRate(name = c("PC1RateUSD"),
+ currency = "EUR",
+ scale = 1),
+ pcRate(name = c("PC2RateUSD"),
+ currency = "EUR",
+ scale = 1),
+
+ rate(name = "kYCHF",
+ currency = "CHF",
+ horizon = "k"),
+
+ rate(name = c("PC1RateUSD",
+ "PC2RateUSD"),
+ currency = "EUR",
+ horizon = "k",
+ scale = c(0.1,
+ 0.7)),
+
+ rate(name = c("PC1RateUSD",
+ "PC2RateUSD"),
+ currency = "USD",
+ horizon = "k",
+ scale = c(0.2,
+ 0.5)),
+
+ rate(name = "mYCHF",
+ currency = "CHF",
+ horizon = "m"),
+
+ rate(name = c("PC1RateUSD",
+ "PC2RateUSD"),
+ currency = "EUR",
+ horizon = "m",
+ scale = c(0.05,
+ 0.6)),
+ rate(name = c("PC1RateUSD",
+ "PC2RateUSD"),
+ currency = "USD",
+ horizon = "m",
+ scale = c(0.1,
+ 0.9)),
+
+ spread(name = "AAACHF",
+ currency = "CHF",
+ rating = "AAA"),
+ spread(name = "AAAEUR",
+ currency = "EUR",
+ rating = "AAA"),
+ spread(name = "AAAUSD",
+ currency = "USD",
+ rating = "AAA"))
>
> ## and provide the initial values for the risks factors
> initial.values <- list()
>
> ## initial fx
> initial.values$initial.fx <- data.frame(from = c("EUR", "USD"),
+ to = c("CHF", "CHF"),
+ fx = c(1.05,1.02),
+ stringsAsFactors = F)
>
> ## initial rates
> initial.values$initial.rate <- data.frame(time = c(2L, 2L, 2L, 10L, 10L, 10L),
+ currency = c("CHF", "EUR", "USD"),
+ rate = c(0.01, 0.01, 0.01, 0.03, 0.03, 0.03),
+ stringsAsFactors = F)
>
>
> # define the mapped times for rates
> mapping.time <- data.frame(time = c(2L, 10L), mapping = c("k","m"), stringsAsFactors = F)
>
> ## we are finally in shape to build the full market risk
> mr <- marketRisk(cov.mat = cov.mat,
+ mapping.table = mapping.table,
+ base.currency = "CHF",
+ initial.values = initial.values,
+ mapping.time = mapping.time)
>
>
> # second step: define the health and life risks
> M <- matrix(c(1, 1, 1, 1), 2)
> colnames(M) <- c("storno", "invalidity")
> rownames(M) <- colnames(M)
>
> lr <- lifeRisk(corr.mat = M,
+ quantile = c(0.995, 0.995))
>
> hr <- healthRisk(corr.mat = M)
>
>
>
> # third step: build the portfolio
>
> list.assets <- list(asset(type = "equity", currency = "CHF", value = 30000000),
+ asset(type = "equity", currency = "EUR", value = 20000000),
+ asset(type = "equity", currency = "USD", value = 5000000))
>
> list.liabilities <- list(liability(time = 2L, currency = "CHF", value = 400000),
+ liability(time = 2L, currency = "EUR", value = 700000),
+ liability(time = 2L, currency = "USD", value = 340000),
+ liability(time = 10L, currency = "CHF", value = 500000),
+ liability(time = 10L, currency = "EUR", value = 100000),
+ liability(time = 10L, currency = "USD", value = 240000))
>
> list.asset.forward <- list(assetForward(type = "equity",
+ currency = "CHF",
+ time = 10L,
+ exposure = 10000,
+ price = 45000,
+ position = "long"))
>
>
> list.marketItems <- append(append(append(append(list(), list.assets), list.liabilities),list.asset.forward),
+ list(delta(name = "EURCHF", currency = "CHF", sensitivity = 1000)))
>
> valid.param <- list(mvm = list(mvm.life = 2, mvm.health = 4, mvm.nonlife = 3),
+ rtkr = 0,
+ rtkg = 0,
+ correction.term = 2,
+ credit.risk = 3,
+ expected.insurance.result = 10^6,
+ expected.financial.result = 10^5)
>
>
> p <- portfolio(market.items = list.marketItems,
+ participation.item = participation(currency = "CHF", value = 3000),
+ life.item = life(name = c("storno", "invalidity"), currency = c("CHF", "CHF"), sensitivity = c(100, 2000)),
+ health.item = health(name = c("storno", "invalidity"), currency = c("CHF", "CHF"), sensitivity = c(230, 500)),
+ base.currency = "CHF",
+ portfolio.parameters = valid.param)
Error in names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") || :
'length = 3' in coercion to 'logical(1)'
Calls: portfolio -> with -> with.default -> eval -> eval
Execution halted
Running the tests in ‘tests/testthat.R’ failed.
Complete output:
> library(testthat)
> library(sstModel)
sstModel 1.0.0
Copyright (c) 2018 Swiss Financial Market Supervisory Authority FINMA
Swiss Financial Market Supervisory Authority FINMA
Laupenstrasse 27
CH-3003 Bern
info@finma.ch
This program comes with ABSOLUTELY NO WARRANTY.
This is free software, and you are welcome to redistribute it
under certain conditions.
Type launchDashboard() and go to the 'Legal Notices' Tab for more details about the license.
Type sstModel_news() to see new features/changes/fixes.
Type sstModel_check() to scan your package library for potential issues.
>
> test_check("sstModel")
asset
---------
type: equity
currency: CHF
value: 10
asset forward
-------------
type: equity
currency: EUR
time: 1
exposure: 10
price: 100
position: long
cashflow
---------
time: 1
currency: CHF
rating: AAA
spread: 0.2
value: 10
delta term
---------------
name: 2YCHF, EURCHF
currency: CHF, CHF
sensitivity: 12, 25
fx forward
--------------
domestic: CHF
foreign: EUR
time: 1
nominal: 10
rate: 1.1
position: long
health
---------------
name: Sstorno, invalidity
currency: CHF, EUR
sensitivity: 12, 25
healthRisk
-------------------
correlation matrix: 2 x 2
liability
----------
time: 1
currency: CHF
value: -10
life
---------------
name: Sstorno, invalidity
currency: CHF, CHF
sensitivity: 12, 25
lifeRisk
---------------------
correlation matrix: 2 x 2
quantiles of length: 2
marketRisk
-------------------
covariance matrix: 4 x 4
mapping table: 4 risk-factors
base currency: CHF
nonLifeRisk
-------------------
a vector of simulations of length: 5
nonLifeRisk
-------------------
simulations from empirical cumulative distribution function.
nonLifeRisk
-------------------
centered log-normal simulations.
participation
-------------------
a participation with total value: 10
participationRisk
-------------------
volatility: 3
scenarioRisk
-------------
name: terrorism
probability: 0.1
currency: CHF
effect: -100
scenarioRisk
-------------
name: market crash
probability: 0.2
currency: CHF
effect: -50
[ FAIL 15 | WARN 0 | SKIP 10 | PASS 1158 ]
══ Skipped tests ═══════════════════════════════════════════════════════════════
• check-market-items.xlsx: isn't available (dev only test) (1)
• copula.xlsx: isn't available (dev only test) (1)
• duplicated-mapping.table.xlsx: isn't available (dev only test) (1)
• errorSheetNames.xlsx: isn't available (dev only test) (1)
• health.xlsx: isn't available (dev only test) (1)
• invalidExtension.xyz: isn't available (dev only test) (1)
• life.xlsx: isn't available (dev only test) (1)
• macro-economic-scenarios.xlsx: isn't available (dev only test) (1)
• scenario.xlsx: isn't available (dev only test) (1)
• withScenarioNoError.xlsx: isn't available (dev only test) (1)
══ Failed tests ════════════════════════════════════════════════════════════════
── Error (test-macroEconomicScenarios.R:124:3): macroEconomicScenarios: compute method is OK ──
Error in `names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") ||
!all(c("mvm.life", "mvm.health", "mvm.nonlife") %in% names(mvm))`: 'length = 3' in coercion to 'logical(1)'
Backtrace:
▆
1. └─sstModel::portfolio(...) at test-macroEconomicScenarios.R:124:2
2. ├─base::with(...)
3. └─base::with.default(...)
4. └─base::eval(substitute(expr), data, enclos = parent.frame())
5. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Failure (test-portfolio.R:35:3): constructor of portfolio is ok ─────────────
`portfolio(...)` threw an error with unexpected message.
Expected match: "Invalid types"
Actual message: "'length = 3' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-portfolio.R:35:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel::portfolio(...)
7. ├─base::with(...)
8. └─base::with.default(...)
9. └─base::eval(substitute(expr), data, enclos = parent.frame())
10. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Failure (test-portfolio.R:42:3): constructor of portfolio is ok ─────────────
`portfolio(...)` threw an error with unexpected message.
Expected match: "Invalid dimensions"
Actual message: "'length = 3' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-portfolio.R:42:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel::portfolio(...)
7. ├─base::with(...)
8. └─base::with.default(...)
9. └─base::eval(substitute(expr), data, enclos = parent.frame())
10. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Failure (test-portfolio.R:49:3): constructor of portfolio is ok ─────────────
`portfolio(...)` threw an error with unexpected message.
Expected match: "Invalid type"
Actual message: "'length = 3' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-portfolio.R:49:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel::portfolio(...)
7. ├─base::with(...)
8. └─base::with.default(...)
9. └─base::eval(substitute(expr), data, enclos = parent.frame())
10. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Failure (test-portfolio.R:64:3): constructor of portfolio is ok ─────────────
`portfolio(...)` threw an error with unexpected message.
Expected match: "Invalid types"
Actual message: "'length = 3' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-portfolio.R:64:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel::portfolio(...)
7. ├─base::with(...)
8. └─base::with.default(...)
9. └─base::eval(substitute(expr), data, enclos = parent.frame())
10. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Error (test-portfolio.R:126:3): constructor of portfolio is ok ──────────────
Error in `names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") ||
!all(c("mvm.life", "mvm.health", "mvm.nonlife") %in% names(mvm))`: 'length = 3' in coercion to 'logical(1)'
Backtrace:
▆
1. └─sstModel::portfolio(...) at test-portfolio.R:126:2
2. ├─base::with(...)
3. └─base::with.default(...)
4. └─base::eval(substitute(expr), data, enclos = parent.frame())
5. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Error (test-portfolio.R:168:3): portfolio: standard methods are ok ──────────
Error in `names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") ||
!all(c("mvm.life", "mvm.health", "mvm.nonlife") %in% names(mvm))`: 'length = 3' in coercion to 'logical(1)'
Backtrace:
▆
1. ├─testthat::expect_equal(...) at test-portfolio.R:168:2
2. │ └─testthat::quasi_label(enquo(object), label, arg = "object")
3. │ └─rlang::eval_bare(expr, quo_get_env(quo))
4. ├─base::format(...)
5. └─sstModel::portfolio(...)
6. ├─base::with(...)
7. └─base::with.default(...)
8. └─base::eval(substitute(expr), data, enclos = parent.frame())
9. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Error (test-portfolio.R:245:3): portfolio: generateExpression and generateFunction are ok ──
Error in `names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") ||
!all(c("mvm.life", "mvm.health", "mvm.nonlife") %in% names(mvm))`: 'length = 3' in coercion to 'logical(1)'
Backtrace:
▆
1. └─sstModel::portfolio(...) at test-portfolio.R:245:2
2. ├─base::with(...)
3. └─base::with.default(...)
4. └─base::eval(substitute(expr), data, enclos = parent.frame())
5. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Failure (test-reordering.R:33:3): conditionalReordering is ok ───────────────
`conditionalReordering(...)` threw an error with unexpected message.
Expected match: "types"
Actual message: "'length = 4' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-reordering.R:33:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel:::conditionalReordering(...)
── Failure (test-reordering.R:58:3): conditionalReordering is ok ───────────────
`conditionalReordering(...)` threw an error with unexpected message.
Expected match: "square"
Actual message: "'length = 4' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-reordering.R:58:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel:::conditionalReordering(...)
── Failure (test-reordering.R:79:3): conditionalReordering is ok ───────────────
`conditionalReordering(...)` threw an error with unexpected message.
Expected match: "dimension"
Actual message: "'length = 4' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-reordering.R:79:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel:::conditionalReordering(...)
── Failure (test-reordering.R:104:3): conditionalReordering is ok ──────────────
`conditionalReordering(...)` threw an error with unexpected message.
Expected match: "definite"
Actual message: "'length = 4' in coercion to 'logical(1)'"
Backtrace:
▆
1. ├─testthat::expect_error(...) at test-reordering.R:104:2
2. │ └─testthat:::quasi_capture(...)
3. │ ├─testthat .capture(...)
4. │ │ └─base::withCallingHandlers(...)
5. │ └─rlang::eval_bare(quo_get_expr(.quo), quo_get_env(.quo))
6. └─sstModel:::conditionalReordering(...)
── Error (test-reordering.R:150:6): conditionalReordering is ok ────────────────
Error in `!is.character(name) || duplicated(name)`: 'length = 4' in coercion to 'logical(1)'
Backtrace:
▆
1. └─sstModel:::conditionalReordering(...) at test-reordering.R:150:5
── Error (test-sstModel.R:84:3): sstModel is ok ────────────────────────────────
Error in `names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") ||
!all(c("mvm.life", "mvm.health", "mvm.nonlife") %in% names(mvm))`: 'length = 3' in coercion to 'logical(1)'
Backtrace:
▆
1. └─sstModel::portfolio(...) at test-sstModel.R:84:2
2. ├─base::with(...)
3. └─base::with.default(...)
4. └─base::eval(substitute(expr), data, enclos = parent.frame())
5. └─base::eval(substitute(expr), data, enclos = parent.frame())
── Error (test-sstOutput.R:84:3): sstOutput figures are ok ─────────────────────
Error in `names(mvm) %in% c("mvm.life", "mvm.health", "mvm.nonlife") ||
!all(c("mvm.life", "mvm.health", "mvm.nonlife") %in% names(mvm))`: 'length = 3' in coercion to 'logical(1)'
Backtrace:
▆
1. └─sstModel::portfolio(...) at test-sstOutput.R:84:2
2. ├─base::with(...)
3. └─base::with.default(...)
4. └─base::eval(substitute(expr), data, enclos = parent.frame())
5. └─base::eval(substitute(expr), data, enclos = parent.frame())
[ FAIL 15 | WARN 0 | SKIP 10 | PASS 1158 ]
Error: Test failures
Execution halted
Flavor: r-devel-linux-x86_64-fedora-gcc