Research Article

Polynomial Chaos Expansion Approach to Interest Rate Models

Table 19

Computational cost of computation of statistics of CIR interest rate model at , determined by MC, QMC, with , , , and .

Size of sampling Average Variance
MC QMC MC QMC

256 0.0070 0.0070 0.0060 0.0050
512 0.0080 0.0080 0.0080 0.0060
1024 0.0110 0.0110 0.0110 0.0100
2048 0.0190 0.0190 0.0180 0.0170
4096 0.0340 0.0370 0.0310 0.0310
8192 0.0680 0.0650 0.0600 0.0560
16384 0.1440 0.1240 0.1390 0.1110
32768 0.2700 0.2480 0.2400 0.2240