# Help me for this code! PDE

1. Jul 19, 2009

### xuej1112

I make a pricing model as the attachment and write the code as the following,but there are something wrong in the result.Who could help me to check it?!
Thx so much!!!!!!!!!!!!!!!
View attachment Microsoft Word .doc
the code:
>> dr = 0.005;
Nr = 20;
dt = 0.01;
Nt = 1/dt;
a=0.2339*0.0189;
b=0.2339;
delta=sqrt(0.0073);
T = zeros(Nr+1,Nt+1);
time = [0:12/Nt:12];
T(:,1) = 1;
maxiter = 500
for iter = 1:maxiter
for i=2:Nt+1

T(1,i)=(1-a*dt/dr)*T(1,i-1)+(a*dt/dr)*T(2,i-1);
for j=2:Nr
%depth_2D = (T(1:end-2,i-1)-2*T(2:end-1,i-1)+T(3:end,i-1))/dz^2;
depth_2D = (delta^2/(2*dr^2)*dr*(j-1)+((a-b)*dr*(j-1))/(2*dr))*T(j-1,i-1)-(delta^2/(dr^2)*dr*(j-1)+dr*(j-1))*T(j,i-1)+(delta^2/(2*dr^2)*dr*(j-1)+((a-b)*dr*(j-1))/(2*dr))*T(j+1,i-1);
time_1D = depth_2D;
T(j,i) = time_1D*dt + T(j,i-1);
end
T(Nr+1,i) = T(Nr+1-1,i);

end
%end
err(iter) = min(abs(T(:)-0.5)); %Find difference between last two solutions
if err(iter)<1E-4
break; % Stop if solutions very similar, we have convergence
end
end
if iter==maxiter;
warning('Convergence not reached')
end

Last edited: Jul 19, 2009
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