Polynomial Chaos Expansion Approach to Interest Rate Models

Table 16

Computational time costs for determining the average and variance of the Vasicek interest rate , at time , achieved by MC and QMC approaches, with parameters , , , and .

Size of sampling	Average		Variance
	MC	QMC	MC	QMC
1024	0.0030	0.0030	0.0040	0.0020
2048	0.0050	0.0040	0.0080	0.0050
4096	0.0070	0.0080	0.0090	0.0090
8192	0.0150	0.0150	0.0180	0.0190
16384	0.0290	0.0280	0.0370	0.0350
32768	0.0570	0.0570	0.0680	0.0710
65536	0.1090	0.1140	0.1350	0.1420
131072	0.2170	0.2220	0.3150	0.2780
262144	0.4360	0.4520	0.5360	0.5530