Module: tf_quant_finance.math.pde.steppers.crank_nicolson

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Last updated: 2023-03-16.

Module: tf_quant_finance.math.pde.steppers.crank_nicolson#

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Crank-Nicolson time marching scheme for parabolic PDEs.

Functions#

crank_nicolson_scheme(...): Constructs the time marching scheme.

crank_nicolson_step(...): Creates a stepper function with Crank-Nicolson time marching scheme.

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