infer_conforming_time_grid function

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

At its base, this function chooses a time grid with 1+min_num_time_steps

elements from 0 to Tmax. Any coupon, call, or put times occurring in one of the supplied instruments are also inserted.

infer_conforming_time_grid(min_num_time_steps, Tmax, instruments = NULL)

Arguments

• min_num_time_steps: The minimum number of timesteps the output vector should have
• Tmax: The maximum time on the grid
• instruments: A set of instruments whose maturity and terms and conditions can introduce extra timesteps. Each will be queried for the output of a critical_times function.

Returns

A vector of times at which the grid should have nodes

See Also

Other Implicit Grid Solver: construct_implicit_grid_structure(), find_present_value(), form_present_value_grid(), integrate_pde(), iterate_grid_from_timestep(), take_implicit_timestep(), timestep_instruments()