Initialize a class with an array

It is called list initialization and you need a std::initilizer_list constructor, that to be achieved in your MyClass.

#include <initializer_list>  

class MyClass 
{
    double *_v;
    std::size_t _size;
public:

    MyClass(std::initializer_list<double> list) 
        :_v(nullptr), _size(list.size())
    {
        _v = new double[_size];
        std::size_t index = 0;
        for (const double element : list)
        {
            _v[index++] = element;
        }

    };

    ~MyClass() { delete _v; } // never forget, what you created using `new`
};

int main()
{
    auto x = MyClass({ 1.,2.,3. }); // now you can
    //or
    MyClass x2{ 1.,2.,3. };
    //or
    MyClass x3 = { 1.,2.,3. };
}

Also note that providing size_of_v in a constructor is redundant, as it can be acquired from std::initializer_list::size method.

And to completeness, follow rule of three/five/zero.

---

As an alternative, if you can use std::vector, this could be done in a much simpler way, in which no manual memory management would be required. Moreover, you can achieve the goal by less code and, no more redundant _size member.

#include <vector>
#include <initializer_list>    

class MyClass {
    std::vector<double> _v;
public:    
    MyClass(std::initializer_list<double> vec): _v(vec) {};
};

Well you can use std::vector instead the double*v & it would fit perfectly for your goal

class MyClass {
    MyClass(vector<double> v){
        /*do something with v*/
    };
};