Table 5 Test result for dimension 10
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 | −0.834 (0.005) | −0.973 (0.006) | 6.38 | 5.55 |
Version 2 | −0.838 (0.004) | −0.978 (0.004) | 1.15 | ||
Version 1 | Set 2 | −0.839 (0.002) | −0.977 (0.002) | 24.74 | 8.36 |
Version 2 | −0.840 (0.002) | −0.979 (0.002) | 2.96 | ||
Version 1 | Set 3 | −0.841 (0.001) | −0.980 (0.002) | 74.12 | 8.58 |
Version 2 | −0.840 (0.001) | −0.979 (0.001) | 8.64 | ||
Version 1 | Set 4 | −0.841 (0.0008) | −0.980 (0.0009) | 198.08 | 9.18 |
Version 2 | −0.841 (0.0006) | −0.979 (0.0007) | 21.58 | ||
Version 1 | Set 5 | −0.841 (0.0003) | −0.980 (0.0003) | 498.71 | 9.32 |
Version 2 | −0.841 (0.0007) | −0.980 (0.0008) | 53.51 |