def setUp(self):
v = 0.04
r = 0.06
k = 99.0
spot = 100.0
t = 1.0
self.dt = 1.0 / 150.0
BS = BlackScholesOption(spot=spot,
strike=k,
interest_rate=r,
variance=v,
tenor=t)
self.F = BlackScholesFiniteDifferenceEngine(BS,
spot_max=5000.0,
nspots=150,
spotdensity=1.0,
force_exact=True,
flip_idx_spot=False)
self.F.init()
self.FG = FDG.FiniteDifferenceEngineADI()
self.FG.from_host_FiniteDifferenceEngine(self.F)
