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Keywords:

  • counterparty valuation adjustments;
  • interest rate swap;
  • Monte-Carlo;
  • fast greeks;
  • high-performance computing;
  • CUDA

Abstract

In this article, we investigate a combination of acceleration techniques for the computation of sensitivities. We briefly cover most recent techniques in the numerical estimation of sensitivities (“The Greeks”), technological advancements and show that combining fast methods with GPGPU acceleration can yield a tremendous speed-up. We give a numerical example on estimation of CVA sensitivities on a portfolio of interest rate swaps.