Compute Choquet price for a Solar Option

solarOption_choquet(
  model,
  moments,
  portfolio,
  nmonths = 1:12,
  lambda = 0,
  implvol = 1,
  put = TRUE,
  control_options = control_solarOption()
)

Arguments

model: An object with the class solarModel. See the function solarModel for details.
moments: Tibble containing the forecasted moments for different days ahead. See the function solarMoments for more details.
portfolio: Optional, A list of objects of the class solarOptionPortfolio.
nmonths: Numeric vector, months in which the payoff should be computed. Can vary from 1 (January) to 12 (December).
lambda: Numeric, Sugeno parameter.
implvol: Numeric, implied volatility.
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.

Note

Version 1.0.0.

Examples

model = solarModel$new(spec)
model$fit()
#> No outliers!
moments <- model$moments$unconditional[1:365,]
lambda = 0
control_options = control_solarOption()
solarOption_choquet(model, moments[1:30,], lambda = 0.01)
#> Error in UseMethod("filter"): no applicable method for 'filter' applied to an object of class "NULL"
solarOption_model(model, moments[1,])
#> Error in UseMethod("filter"): no applicable method for 'filter' applied to an object of class "NULL"
solarOption_choquet(model, moments, lambda = 0.1, put = F)
#> Error in UseMethod("filter"): no applicable method for 'filter' applied to an object of class "NULL"