A time grid with extra times inserted for coupons, calls and puts

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Description

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.

Usage

1
infer_conforming_time_grid(min_num_time_steps, Tmax, instruments = NULL)

Arguments

min_num_time_steps

The minimum number of timesteps the output vector should have

Tmax

The maximum time on the grid

instruments

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.

Value

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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