Table 4 Test result for dimension 5
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 | −1.007 (0.006) | −1.175 (0.007) | 1.89 | 3.57 |
Version 2 | −1.001 (0.01) | −1.167 (0.01) | 0.53 | ||
Version 1 | Set 2 | −1.011 (0.002) | −1.178 (0.002) | 6.99 | 8.13 |
Version 2 | −1.010 (0.002) | −1.178 (0.002) | 0.86 | ||
Version 1 | Set 3 | −1.011 (0.001) | −1.178 (0.001) | 20.59 | 9.36 |
Version 2 | −1.011 (0.002) | −1.178 (0.002) | 2.20 | ||
Version 1 | Set 4 | −1.012 (0.0008) | −1.179 (0.0010) | 54.24 | 10.16 |
Version 2 | −1.012 (0.0009) | −1.180 (0.001) | 5.34 | ||
Version 1 | Set 5 | −1.013 (0.0005) | −1.180 (0.0005) | 134.61 | 10.96 |
Version 2 | −1.012 (0.0005) | −1.180 (0.0006) | 12.28 |