Fast delta computations in the swap-rate market model

Mark Joshi and Chao Yang

Journal of Economic Dynamics and Control, 2011, vol. 35, issue 5, 764-775

Abstract: 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.

Keywords: Adjoint; method; Delta; Computational; order; Market; model; Monte; Carlo; simulation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:35:y:2011:i:5:p:764-775

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