R/risk_neutral_rates.R

In shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes

#' Constant rate function
#'
#' @param x spatial input
#' @param t temporal input
#' @param rate risk-free rate of return
#'
#' @description {Consant rate function for discounting.}
#' @return numeric
#' @export rate_constant
rate_constant <- function(x, t, rate)
{
  rate
}

#' time-scaled rate function
#'
#' @param x spatial input
#' @param t temporal input
#' @param rate risk-free rate of return
#' @param maturity the time-horizon
#'
#' @description {Time decreasing risk-free rate.}
#' @return numeric
#' @export rate_decrease
rate_decrease <- function(x, t, rate, maturity)
{
  rate*(maturity-t)
}

#' time-scaled rate function (increasing)
#'
#' @param x spatial input
#' @param t temporal input
#' @param rate risk-free rate of return
#'
#' @description {Time decreasing risk-free rate.}
#' @return numeric
#' @export rate_increase
rate_increase <- function(x, t, rate)
{
  rate*t
}