Efficient greek estimation in generic swap-rate market models

Mark Joshi and Chao Yang ()
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Chao Yang: Centre for Actuarial Studies, Department of Economics, University of Melbourne

Algorithmic Finance, 2011, vol. 1, issue 1, 17-33

Abstract: 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.

Keywords: adjoint method; Delta; Vega; computational order; market model; Monte Carlo simulation. (search for similar items in EconPapers)
JEL-codes: C02 C13 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:iosalg:0003

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