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

In ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

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

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()

ragtop documentation built on March 26, 2020, 7:28 p.m.