Efficient Greek Estimation in Generic Swap-Rate Market Models

We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the method to efficiently compute Vegas in those market models

Year of publication:	2012
Authors:	Joshi, Mark S.
Other Persons:	Yang, Chao (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Griechenland \| Greece \| Schätztheorie \| Estimation theory \| Generika \| Generic drugs \| Schätzung \| Estimation

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