Compute the optimal number of solar derivative index

Source: R/solarHedging.R

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

solarHedging_scenarios(
  scenarios,
  P0_P,
  r_star = 0,
  gamma = 1e-04,
  put = TRUE,
  control_options = control_solarOption(),
  control_hedge = control_solarHedging()
)

Arguments

scenarios

Object with the class solarScenario. See the function solarScenario 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.