Model |
|
Drift |
Steps n |
Calls |
Nodes/Paths |
Price |
Dif from MC |
Run time |
MC in LMM |
- |
Euler |
1801 |
7 |
1 million |
585793.2 |
0.00% |
2372.21 |
HJM tri-tree |
- |
- |
1801 |
7 |
2n+1 |
582167.8 |
-0.62% |
15.62 |
Our Model |
1 |
FD |
1801 |
7 |
200 |
648365.4 |
10.68% |
0.21 |
|
1 |
AAFR |
1801 |
7 |
200 |
602482.2 |
2.85% |
0.21 |
|
1 |
AADT |
1801 |
7 |
200 |
602742.1 |
2.89% |
0.21 |
|
1 |
GAFR |
1801 |
7 |
200 |
616318.6 |
5.21% |
0.21 |
|
1 |
GADT |
1801 |
7 |
200 |
616425.3 |
5.23% |
0.21 |
|
1 |
CEFR |
1801 |
7 |
200 |
598253.3 |
2.13% |
2.21 |
|
1 |
CEDT |
1801 |
7 |
200 |
598372.4 |
2.15% |
2.35 |
|
0.99 |
FD |
1801 |
7 |
200 |
609373.9 |
4.03% |
0.21 |
|
0.99 |
AAFR |
1801 |
7 |
200 |
579337.2 |
-1.10% |
0.21 |
|
0.99 |
AADT |
1801 |
7 |
200 |
579386.3 |
-1.09% |
0.21 |
|
0.99 |
GAFR |
1801 |
7 |
200 |
591981.5 |
1.06% |
0.21 |
|
0.99 |
GADT |
1801 |
7 |
200 |
591917.6 |
1.05% |
0.21 |
|
0.99 |
CEFR |
1801 |
7 |
200 |
588918.9 |
0.53% |
2.21 |
|
0.99 |
CEDT |
1801 |
7 |
200 |
588935.7 |
0.54% |
2.35 |