infer_conforming_time_grid

The minimum number of timesteps the output vector should have

min_num_time_steps

Tmax

A set of instruments whose maturity and terms
and conditions can introduce extra timesteps. Each will be queried for the output of
a <code>critical_times</code> function.

instruments

At its base, this function chooses a time grid with <code>1+min_num_time_steps</code>
 elements from 0 to <code>Tmax</code>. Any coupon, call, or put times occurring in
 one of the supplied instruments are also inserted.

Algorithms to price American and European
equity options, convertible bonds and a
variety of other financial derivatives. It uses an
extension of the usual Black-Scholes model in which
jump to default may occur at a probability specified
by a power-law link between stock price and hazard
rate as found in the paper by Takahashi, Kobayashi,
and Nakagawa (2001) <doi:10.3905/jfi.2001.319302>. We
use ideas and techniques from Andersen and
Buffum (2002) <doi:10.2139/ssrn.355308> and
Linetsky (2006) <doi:10.1111/j.1467-9965.2006.00271.x>.

infer_conforming_time_grid: A time grid with extra times inserted for coupons, calls and puts

Description

Usage

Arguments

Value

See Also