Super Fast Greeks: An Application to Counterparty Valuation Adjustments
Article first published online: 29 JAN 2014
Copyright © 2014 Wilmott Magazine Ltd.
Volume 2014, Issue 69, pages 76–81, January 2014
How to Cite
Savickas, V., Hari, N., Wood, T. and Kandhai, D. (2014), Super Fast Greeks: An Application to Counterparty Valuation Adjustments. Wilmott, 2014: 76–81. doi: 10.1002/wilm.10291
- Issue published online: 29 JAN 2014
- Article first published online: 29 JAN 2014
- Cited By
- counterparty valuation adjustments;
- interest rate swap;
- fast greeks;
- high-performance computing;
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.