infer_conforming_time_grid: A time grid with extra times inserted for coupons, calls and...

Description Usage Arguments Value See Also


At its base, this function chooses a time grid with 1+min_num_time_steps elements from 0 to Tmax. Any coupon, call, or put times occurring in one of the supplied instruments are also inserted.


infer_conforming_time_grid(min_num_time_steps, Tmax, instruments = NULL)



The minimum number of timesteps the output vector should have


The maximum time on the grid


A set of instruments whose maturity and terms and conditions can introduce extra timesteps. Each will be queried for the output of a critical_times function.


A vector of times at which the grid should have nodes

See Also

Other Implicit Grid Solver: construct_implicit_grid_structure, find_present_value, form_present_value_grid, integrate_pde, iterate_grid_from_timestep, take_implicit_timestep, timestep_instruments

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