integrate_pde {ragtop} | R Documentation |
Numerically integrate the pricing differential equation
Description
Use an implicit integration scheme to numerically integrate
the pricing differential equation for each of the given instruments,
backwardating from time Tmax
to time 0.
Usage
integrate_pde(
z,
min_num_time_steps,
S0,
Tmax,
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 |
min_num_time_steps |
The minimum number of timesteps used. Calls, puts and coupons may result in extra timesteps taken. |
S0 |
Time zero price of the base equity |
Tmax |
The maximum time on the grid, from which all backwardation steps will take place. |
instruments |
A list of instruments to be priced. Each
one must have a |
stock_level_fcn |
A function for changing space grid value to stock
prices, with arguments |
discount_factor_fcn |
A function for computing present values to
time |
default_intensity_fcn |
A function for computing default intensity
occurring during this timestep, dependent on time and stock price, with
arguments |
variance_cumulation_fcn |
A function for computing total stock variance
occurring during this timestep, with arguments |
dividends |
A |
Value
A grid of present values of derivative prices, adapted to z
at
each timestep. Time zero value will appear in the first index.
See Also
Other Implicit Grid Solver:
construct_implicit_grid_structure()
,
find_present_value()
,
form_present_value_grid()
,
infer_conforming_time_grid()
,
iterate_grid_from_timestep()
,
take_implicit_timestep()
,
timestep_instruments()