def update_operator(self, t: float, mesh: Mesh):
diffusion = self._pde.diffusion(t, mesh.get_points())
convection = self._pde.convection(t, mesh.get_points(), diffusion)
source = self._pde.source(t, mesh.get_points())
self._laplacian.update_operator(t, mesh)
self._gradient.update_operator(t, mesh)
Tools.update_diagonal(diffusion,
convection,
source,
self._gradient.diagonal(),
self._laplacian.diagonal(),
self.diagonal())
Tools.update_diagonal_upper(diffusion,
convection,
self._gradient.diagonal_upper(),
self._laplacian.diagonal_upper(),
self.diagonal_upper())
Tools.update_diagonal_lower(diffusion,
convection,
self._gradient.diagonal_lower(),
self._laplacian.diagonal_lower(),
self.diagonal_lower())
def f_ln_payoff(mesh: Mesh, k: float) -> np_ndarray:
return np.maximum(np.exp(mesh.get_points()) - k, 0.0)