speed. We constructed a portfolio of 100 Bermudan callable bonds with
lifetimes uniformly distributed between 14 months and 134 months and
callable every year at par. We valuated the callable bonds under a
Hull-White interest rate model with an accuracy goal of 1.5 basis points for
the maximal error. The valuation took 14 seconds for the whole portfolio on
a notebook with a P3-933MHz processor.
Adaptive Integration, the key method of the UnRisk PRICING ENGINE, allows
the extremely fast and accurate valuation of structured financial
instruments and derivatives. This ie especially true for complex instruments
with Bermudan or American exercise.