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