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.
timestep_instruments(
z,
prev_grid_values,
t,
dt,
S0,
instruments,
stock_level_fcn,
discount_factor_fcn,
default_intensity_fcn,
variance_cumulation_fcn,
dividends = NULL
)Space grid value morphable to stock prices using stock_level_fcn
A matrix with one column for each
instrument and one row for each of the \(N\) values of z
Time after this timestep has been taken
Interval to the end of this timestep
Time zero price of the base equity
Instruments corresponding to layers of the value grid in prev_grid_values
A function for changing space grid value to stock
prices, with arguments z and t
A function for computing present values to
time t of various cashflows occurring during this timestep, with
arguments T, t
A function for computing default intensity
occurring during this timestep, dependent on time and stock price, with
arguments t, S.
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 \((T-t)s^2\).
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
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()