Global Minimum Variance number of contracts — solarHedging

Compute the optimal number of contracts, such that the variance of the cash flow of a solar power producer is minimum.

solarHedging_model(
  model,
  moments,
  P0_P,
  r_star,
  gamma = 0.01,
  put = TRUE,
  control_options = control_solarOption(),
  control_hedge = control_solarHedging()
)

Arguments

model: An object with the class solarModel. See the function solarModel for more details.
moments: Tibble containing the forecasted moments for different days ahead. See the function solarMoments for more details.
P0_P: Optional numeric scalar, expected value of 1 solar derivative with unitary tick under \(\mathbb{P}\).
gamma: Numeric scalar, risk aversion parameter.
put: Logical, when TRUE, the default, will be computed the price for a put contract, otherwise for a call contract.
control_options: Named list with control parameters. See control_solarOption for more details.
control_hedge: Named list, control parameters for hedging. See the function control_solarHedging for more details.

Note

Version 1.0.0.