Package org.jquantlib.methods.finitedifferences

Examples of org.jquantlib.methods.finitedifferences.BSMOperator.upperDiagonal()

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        Array lderror = ref.lowerDiagonal().clone();
        lderror.subAssign(op1.lowerDiagonal());
        Array derror = ref.diagonal().clone();
        derror.subAssign(op1.diagonal());
        Array uderror = ref.upperDiagonal().clone();
        uderror.subAssign(op1.upperDiagonal());


        for (i=2; i<grid.size()-2; i++) {
            QL.info("lderror(" + i + ") = "+ Math.abs(lderror.get(i)) +  " tolerance " + tolerance + " \n");
            QL.info("derror(" + i + ") = "+ Math.abs(derror.get(i)) + " tolerance " + tolerance + " \n");
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                    Math.abs(uderror.get(i)) > tolerance) {

                fail("inconsistency between BSM operators:\n"
                        + Integer.toString(i) +  " row:\n"
                        + "expected:   " + ref.lowerDiagonal().get(i) + ", " + ref.diagonal().get(i) + ", " + ref.upperDiagonal().get(i) + "\n"
                        + "calculated: " + op1.lowerDiagonal().get(i) + ", " + op1.diagonal().get(i) + ", " + op1.upperDiagonal().get(i));
            }
        }

        lderror = ref.lowerDiagonal();
        lderror.subAssign(op2.lowerDiagonal());
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