Use an implicit integration scheme to numerically integrate
the pricing differential equation for each of the given instruments,
backwardating from time Tmax
to time 0.
1 2 3  integrate_pde(z, min_num_time_steps, S0, Tmax, instruments, stock_level_fcn,
discount_factor_fcn, default_intensity_fcn, variance_cumulation_fcn,
dividends = NULL)

z 
Space grid value morphable to stock prices using 
min_num_time_steps 
The minimum number of timesteps used. Calls, puts and coupons may result in extra timesteps taken. 
S0 
Time zero price of the base equity 
Tmax 
The maximum time on the grid, from which all backwardation steps will take place. 
instruments 
A list of instruments to be priced. Each
one must have a 
stock_level_fcn 
A function for changing space grid value to stock
prices, with arguments 
discount_factor_fcn 
A function for computing present values to
time 
default_intensity_fcn 
A function for computing default intensity
occurring during this timestep, dependent on time and stock price, with
arguments 
variance_cumulation_fcn 
A function for computing total stock variance
occurring during this timestep, with arguments 
dividends 
A 
A grid of present values of derivative prices, adapted to z
at
each timestep. Time zero value will appear in the first index.
Other Implicit Grid Solver: construct_implicit_grid_structure
,
find_present_value
,
form_present_value_grid
,
infer_conforming_time_grid
,
iterate_grid_from_timestep
,
take_implicit_timestep
,
timestep_instruments
Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.
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