| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5099546 | Journal of Economic Dynamics and Control | 2011 | 12 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Mark Joshi, Chao Yang,