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Finite difference pricer adjustments #221

Merged
merged 15 commits into from
Jul 4, 2024
Merged

Finite difference pricer adjustments #221

merged 15 commits into from
Jul 4, 2024

Commits on Apr 29, 2024

  1. Remove unnecessary parameter from create_tridiagonal_matrix()

    @yfnaji
    yfnaji committed Apr 29, 2024
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  2. Correct error in implementation for call/put boundary conditions + re… 

    …move unnecessary argument for boundary_condition_at_time_n()
    @yfnaji
    yfnaji committed Apr 29, 2024
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  3. Refactor in create_tridiagonal_matrix()

    @yfnaji
    yfnaji committed Apr 29, 2024
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  4. Adjustments in explicit()

    @yfnaji
    yfnaji committed Apr 29, 2024
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  5. Adjustments in implicit()

    @yfnaji
    yfnaji committed Apr 29, 2024
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  6. Adjustments in crank_nicolson()

    @yfnaji
    yfnaji committed Apr 29, 2024
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Commits on Jun 30, 2024

  1. Amend argument datatype from functions to f64 and amending create_tri… 

    …diagonal_matrix() accordingly
    @yfnaji
    yfnaji committed Jun 30, 2024
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  2. Amend schemes to approximate transformed Black-Scholes equation

    @yfnaji
    yfnaji committed Jun 30, 2024
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  3. Remove obsolete diagonal functions + amend condition functions

    @yfnaji
    yfnaji committed Jun 30, 2024
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  4. Remove now obsolete time_structure()

    @yfnaji
    yfnaji committed Jun 30, 2024
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  5. Amend error threshold and target values for unit tests

    @yfnaji
    yfnaji committed Jun 30, 2024
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Commits on Jul 1, 2024

  1. Introduce function exclusively for multiplication between tridiagonal… 

    … matrix and vector + amend invert_tridiagonal_matrix() to return matrix representation using only diagonal and sub/super diagonals arguments
    @yfnaji
    yfnaji committed Jul 1, 2024
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  2. Amend schemes to incorporate newly created tridiagonal_matrix_multipl… 

    …y_vector() and amendment in invert_tridiagonal_matrix()
    @yfnaji
    yfnaji committed Jul 1, 2024
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Commits on Jul 2, 2024

  1. Amend tridiagonal_matrix_multiply_vector() by removing match statemen… 

    …t and manually add first and final entries outside loop
    @yfnaji
    yfnaji committed Jul 2, 2024
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  2. Amend function name from matrix_multiply_vector to general_matrix_mul… 

    …tiply_vector
    @yfnaji
    yfnaji committed Jul 2, 2024
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