The important component to be build a two-dimensional mesher, which builds the full mesh by composing a 1-D mesh at every dimension of the problem. In the implementation of 2-D mesher, we employ Ornstein-Uhlenbeck process twice with different g2 model arguments. The mesher have two arrays for locations that contain two set of points \(x_{0},x_{1},..,x_{n-1}\) and \(y_{0},y_{1},...,y_{n-1}\) discretizing the domain for x any y. For convenience, it also pre-computes two groups of array dplus and dminus whose i-th elements contain \((x_{i+1}-x_{i})\) and \((x_{i}-x_{i-1})\) respectively. Mesher is shown in the following figure:
As you see, the points in the mesher that we need change the price of the asset. The applyTo method, which modifies the array of asset values in place, must also check that the condition applies at the given time. It would compare the option values to the intrinsic values, and choose the maximum value.