Polynomial Chaos Expansion Approach to Interest Rate Models

Table 13

Computational time costs achieved by MC and QMC methods to detect the mean and variance of the process , at , with parameters , , and .

Size of sampling	Average		Variance
	MC	QMC	MC	QMC
256	0.0020	0.0030	0.0020	0.0020
512	0.0020	0.0020	0.0040	0.0040
1024	0.0050	0.0050	0.0050	0.0060
2048	0.0090	0.0100	0.0110	0.0120
4096	0.0170	0.0190	0.0220	0.0200
8192	0.0350	0.0370	0.0430	0.0410
16384	0.0690	0.0740	0.0810	0.0830
32768	0.1410	0.2070	0.2040	0.1940
65536	0.3020	0.2820	0.3430	0.3310