Table 6 Test result for high-dimensional cases with Version 2
From: An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA
Dimension | Parameters | Risk Free Price (Standard Deviation) | Risk Adjusted Price (Standard Deviation) | Time (s) |
|---|---|---|---|---|
15 | Set 1 | −0.777 (0.005) | −0.906 (0.006) | 2 |
Set 2 | −0.780 (0.002) | −0.909 (0.002) | 8 | |
Set 3 | −0.779 (0.0008) | −0.908 (0.0009) | 22 | |
Set 4 | −0.781 (0.0006) | −0.910 (0.0007) | 60 | |
Set 5 | −0.781 (0.0004) | −0.909 (0.0004) | 144 | |
20 | Set 6 | −0.746 (0.002) | −0.870 (0.002) | 29 |
Set 7 | −0.748 (0.0007) | −0.872 (0.0008) | 116 | |
Set 8 | −0.749 (0.0004) | −0.872 (0.0005) | 345 | |
Set 9 | −0.749 (0.0002) | −0.873 (0.0003) | 911 | |
Set 10 | −0.749 (0.0001) | −0.873 (0.0001) | 2278 | |
30 | Set 6 | −0.715 (0.002) | −0.834 (0.002) | 84 |
Set 7 | −0.716 (0.0008) | −0.835 (0.0009) | 337 | |
Set 8 | −0.717 (0.0005) | −0.836 (0.0006) | 997 | |
Set 9 | −0.718 (0.0002) | −0.836 (0.0002) | 2675 | |
Set 10 | −0.718 (0.0001) | −0.837 (0.0002) | 6715 | |
40 | Set 6 | −0.698 (0.001) | −0.814 (0.002) | 176 |
Set 7 | −0.701 (0.0007) | −0.817 (0.0009) | 701 | |
Set 8 | −0.701 (0.0005) | −0.817 (0.0006) | 2086 | |
Set 9 | −0.702 (0.0002) | −0.818 (0.0003) | 5562 | |
Set 10 | −0.702 (0.0002) | −0.818 (0.0002) | 13,893 |