Table 3 Test result for dimension 1
From: An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA
Code Version | Parameters | Risk Free Price (Standard Deviation) | Risk Adjusted Price (Standard Deviation) | Time (s) | Speedup |
|---|---|---|---|---|---|
Version 1 | Set 1 | −2.060 (0.01) | −2.402 (0.01) | 0.42 | 1.24 |
Version 2 | −2.049 (0.007) | −2.389 (0.008) | 0.34 | ||
Version 1 | Set 2 | −2.066 (0.003) | −2.408 (0.003) | 0.93 | 3.88 |
Version 2 | −2.063 (0.002) | −2.405 (0.002) | 0.24 | ||
Version 1 | Set 3 | −2.065 (0.002) | −2.406 (0.002) | 2.58 | 7.17 |
Version 2 | −2.068 (0.003) | −2.410 (0.004) | 0.36 | ||
Version 1 | Set 4 | −2.066 (0.002) | −2.407 (0.002) | 6.81 | 10.32 |
Version 2 | −2.066 (0.001) | −2.407 (0.001) | 0.66 | ||
Version 1 | Set 5 | −2.066 (0.0006) | −2.407 (0.0007) | 16.69 | 13.79 |
Version 2 | −2.066 (0.0006) | −2.407 (0.0007) | 1.21 |