18 Pages Posted: 2 Mar 2011
Date Written: March 1, 2011
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: algorithmic finance, adjoint method, delta, vega, computational order, market model, Monte Carlo simulation
JEL Classification: G13
Suggested Citation: Suggested Citation
Joshi, Mark S. and Yang, Chao, Efficient Greek Estimation in Generic Swap-Rate Market Models (March 1, 2011). Algorithmic Finance, Vol. 1, No. 1, 2011. Available at SSRN: https://ssrn.com/abstract=1773942
By Todd Feldman