timestep_instruments: Take an implicit timestep for all the given instruments

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

Description

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.

Usage

timestep_instruments(
  z,
  prev_grid_values,
  t,
  dt,
  S0,
  instruments,
  stock_level_fcn,
  discount_factor_fcn,
  default_intensity_fcn,
  variance_cumulation_fcn,
  dividends = NULL
)

Arguments

z	Space grid value morphable to stock prices using stock_level_fcn
prev_grid_values	A matrix with one column for each instrument and one row for each of the N values of z
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 prev_grid_values
stock_level_fcn	A function for changing space grid value to stock prices, with arguments z and t
discount_factor_fcn	A function for computing present values to time t of various cashflows occurring during this timestep, with arguments T, t
default_intensity_fcn	A function for computing default intensity occurring during this timestep, dependent on time and stock price, with arguments t, S.
variance_cumulation_fcn	A function for computing total stock variance occurring during this timestep, with arguments T, t. E.g. with a constant volatility s this takes the form (T-t)s^2.
dividends	A data.frame with columns time, fixed, and proportional. Dividend size at the given time is then expected to be equal to fixed + proportional * S / S0

Value

Grid values after applying an implicit timestep

See Also

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()

brianboonstra/ragtop documentation built on March 7, 2020, 2:23 p.m.