Matrix entries for implicit numerical differentiation using Neumann boundary conditions

Description

Matrix entries for implicit numerical differentiation using Neumann boundary conditions

Usage

1
construct_tridiagonals(sigma, structure_constant, drift)

Arguments

sigma

Volatility of diffusion process (without jumps to default)

structure_constant

The ratio between time interval dt and the square of space interval dz^2

drift

Vector of drift rate of underlying equity grid points, including induced drift from default intensity

Value

A list with elements super, diag and sub containing the superdiagonal, diagonal and subdiagonal of the implicit timestep differencing matrix

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