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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