Last updated: 2023-03-16.

tf_quant_finance.math.pde.steppers.extrapolation.extrapolation_step

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Creates a stepper function with Extrapolation time marching scheme.

tf_quant_finance.math.pde.steppers.extrapolation.extrapolation_step()

Extrapolation scheme combines two half-steps and the full time step to obtain desirable properties. See more details below in extrapolation_scheme.

It is slower than Crank-Nicolson scheme, but deals better with value grids that have discontinuities. Consider also oscillation_damped_crank_nicolson, an efficient combination of Crank-Nicolson and Extrapolation schemes.

Returns:

Callable to be used in finite-difference PDE solvers (see fd_solvers.py).