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Table 5 Comparison of results using PDEs and Monte-Carlo methods for the two default case

From: Credit contingent interest rate swap pricing

  PDE(ADI) PDE(ADI) Monte Carlo 99.9% confidence interval
  time steps 600 time steps 2000 time steps 2000
Price $ 2,264.26 $ 2,263.50 $ [2202.96, 2264.08]
Time (seconds) 4.07 14.68 660
  1. (maturity=5, K=0.00909, 1 million simulation paths)