construct_tridiagonals: Matrix entries for implicit numerical differentiation using...
In ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

construct_tridiagonals

R Documentation

Matrix entries for implicit numerical differentiation using Neumann boundary conditions

Matrix entries for implicit numerical differentiation using Neumann boundary conditions

construct_tridiagonals(sigma, structure_constant, drift)

`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

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

ragtop documentation built on June 20, 2026, 5:06 p.m.

ragtop index

Note that we can't provide technical support on individual packages. You should contact the package authors for that.