Description Usage Arguments Value

Matrix entries for implicit numerical differentiation using Neumann boundary conditions

1 | ```
construct_tridiagonals(sigma, structure_constant, drift)
``` |

`sigma` |
Volatility of diffusion process (without jumps to default) |

`structure_constant` |
The ratio between time interval |

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

A list with elements `super`

, `diag`

and `sub`

containing the superdiagonal, diagonal and subdiagonal of the implicit
timestep differencing matrix

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