Compute average premium on simulated Data

solarOption_scenario(
  model,
  scenario,
  nmonths = 1:12,
  put = TRUE,
  nsim,
  control_options = control_solarOption()
)

Arguments

model: An object with the class solarModel. See the function solarModel for details.
scenario: object with the class solarModelScenario. See the function solarModel_scenarios for details.
nmonths: Numeric vector, months in which the payoff should be computed. Can vary from 1 (January) to 12 (December).
put: Logical, when TRUE, the default, will be computed the price for a put contract, otherwise for a call contract.
nsim: number of simulation to use for computation.
control_options: control function, see control_solarOption for details.

Value

An object of the class solarOptionPayoff.

Note

Version 1.0.2

Examples

# Solar model
model <- solarModel$new(spec)
model$fit()
#> No outliers!
# Simulate scenarios
scenario <- solarScenario_by(model, from = "2011-01-01", to = "2012-01-01", by = "1 month", nsim = 10, seed = 3)
#> 
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solarOption_scenario(model, scenario)
#> ------------------------ Solar Option Payoffs (put) ------------------------ 
#> Yearly payoff: 8.0793
#> Monthly payoffs: 
#>   Jan: 7.76   Feb: 0.315   Mar: NA
#>   Apr: NA   May: NA   Jun: NA
#>   Jul: NA   Ago: NA   Sep: NA
#>   Oct: NA   Nov: NA   Dec: NA
solarOption_historical(model)
#> ------------------------ Solar Option Payoffs (put) ------------------------ 
#> Yearly payoff: 183.73
#> Monthly payoffs: 
#>   Jan: 7.40   Feb: 11.0   Mar: 15.5
#>   Apr: 21.8   May: 30.7   Jun: 22.9
#>   Jul: 13.6   Ago: 13.2   Sep: 14.6
#>   Oct: 15.0   Nov: 11.4   Dec: 6.63
solarScenario_plot(scenario)