Fast delta computations in the swap-rate market model
AbstractWe 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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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 35 (2011)
Issue (Month): 5 (May)
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Web page: http://www.elsevier.com/locate/jedc
Adjoint method Delta Computational order Market model Monte Carlo simulation;
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