Description Usage Arguments Value See Also

Backwardate grid values for all the given instruments from a set of grid
values matched to time `t+dt`

to form a new set of grid value as
of time `t`

.

1 2 3 | ```
timestep_instruments(z, prev_grid_values, t, dt, S0, instruments,
stock_level_fcn, discount_factor_fcn, default_intensity_fcn,
variance_cumulation_fcn, dividends = NULL)
``` |

`z` |
Space grid value morphable to stock prices using |

`prev_grid_values` |
A matrix with one column for each
instrument and one row for each of the |

`t` |
Time after this timestep has been taken |

`dt` |
Interval to the end of this timestep |

`S0` |
Time zero price of the base equity |

`instruments` |
Instruments corresponding to layers of the value grid in |

`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 |

Grid values after applying an implicit timestep

Other Implicit Grid Solver: `construct_implicit_grid_structure`

,
`find_present_value`

,
`form_present_value_grid`

,
`infer_conforming_time_grid`

,
`integrate_pde`

,
`iterate_grid_from_timestep`

,
`take_implicit_timestep`

ragtop documentation built on May 29, 2017, 2:53 p.m.

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