Computer-based system for computing sensitivities of a behaviorally path-dependent financial product value
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United States of America Patent
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Apr 22, 2014
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N/A
app pub date -
Mar 6, 2013
filing date -
Mar 23, 2012
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Abstract
A computer-based system including: a memory unit configured to store computer readable instructions, path-dependent behavioral assumptions, and economic variables; and a processor configured to execute the computer readable instructions to perform a vectorized adjoint differentiation forward pass including: generating a full or pruned directed acyclic graph (DAG) representation of a procedure for computation of the behaviorally path-dependent value for the financial product; computing, using the DAG representation, the behaviorally path-dependent value for the financial product; and performing an adjoint differentiation backward pass on said full or pruned DAG representation to obtain a result. The processor is configured to execute the computer readable instructions to determine, using the result, a set of sensitivities for the behaviorally path-dependent value for the financial product; and display the set of sensitivities for the behaviorally path-dependent value on a graphical user interface for the at least one specially programmed computer.
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