# # , callback=lambda v, H.tenor: force_boundary(v, hs) # ) # Vi = Vs[-1] # print tr(Vi)[ids, idv] - tr(hs)[ids, idv] # Vs = F.solve_implicit(H.tenor/dt, dt, initial=None, callback=None) # Vfi = Vs[-1] # print tr(Vfi)[ids, idv] - tr(hs)[ids, idv] # Vs = douglas(V_init, L1, R1, L2, R2, # dt, int(H.tenor / dt), crumbs=[V_init] # # , callback=lambda v, H.tenor: force_boundary(v, hs) # ) # Vd = Vs[-1] # print tr(Vd)[ids, idv] - tr(hs)[ids, idv] # Vs = F.solve_douglas(H.tenor/dt, dt, initial=None, callback=None) Vfd = F.smooth(H.tenor / dt, dt, initial=None, callback=None, scheme=F.solve_douglas) print tr(Vfd)[ids, idv] - tr(hs)[ids, idv] print print tr(Vfd)[ids, idv], tr(hs)[ids, idv] print F.price, F.option.analytical print "Price difference:", F.price - tr(F.grid.domain[-1])[ids, idv] print F.grid.reset() # Vs = F.solve_craigsneyd(H.tenor/dt, dt, initial=None, callback=None) # Vfcs = Vs[-1] # print tr(Vfcs)[ids, idv] - tr(hs)[ids, idv] # Vs = F.solve_craigsneyd2(H.tenor/dt, dt, initial=None, callback=None) # Vfcs2 = Vs[-1] # print tr(Vfcs2)[ids, idv] - tr(hs)[ids, idv]
