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)