Mastering Python for Finance - Second Edition

A class for pricing European options using the implicit method of finite differences

The Python implementation of the implicit scheme is given in the following FDImplicitEu class. We can inherit the implementation of the explicit method from the FDExplicitEu class we discussed earlier and override the necessary methods of interest, namely, the setup_coefficients and traverse_grid methods:

In [ ]:    import numpy as np    import scipy.linalg as linalg    """     Explicit method of Finite Differences     """    class FDImplicitEu(FDExplicitEu):        def setup_coefficients(self):            self.a = 0.5*(self.r*self.dt*self.i_values -                          (self.sigma**2)*self.dt*\                              (self.i_values**2))            self.b = 1 + \                     (self.sigma**2)*self.dt*\                        (self.i_values**2) + \                    self.r*self.dt self.c = -0.5*(self.r*self.dt*self.i_values ...