Fast delta computations in the swap-rate market model

We develop an efficient algorithm to implement the adjoint method that computes sensitivities of an interest rate derivative to different underlying rates in the co-terminal swap-rate market model. The order of computation per step of the new method is shown to be proportional to the number of rates times the number of factors, which is the same as the order in the LIBOR market model.

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Year of publication:	2011
Authors:	Joshi, Mark ; Yang, Chao
Published in:	Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 35.2011, 5, p. 764-775
Publisher:	Elsevier
Keywords:	Adjoint method Delta Computational order Market model Monte Carlo simulation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008864737