Take one timestep of an implicit solver for a given instrument
take_implicit_timestep(
t,
S,
full_discount_factor,
local_discount_factor,
discount_factor_fcn,
prev_grid_values,
survival_probabilities,
tridiag_matrix_entries,
instrument = NULL,
dividends = NULL,
instr_name = "this instrument"
)Time after this timestep has been taken
Underlying equity values for the grid
A discount factor for the transform from grid values to actual derivative prices
A discount factor to apply to recovery values
A function for computing present values to
time t of various cashflows occurring during this timestep, with
arguments T, t
A vector of space grid values from the previously calculated timestep
Vector of probabilities of survival for each space grid node
Diagonal, superdiagonal and subdiagonal of tridiagonal matrix from the numerical integrator
If not NULL/NA, must have a recovery_fcn and
an optionality_fcn though those properties are
themselves allowed to be NA.
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
Name of instrument to use in log messages
Grid values for the instrument after taking the 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(),
timestep_instruments()