I'm currently working on my Masters project related to accelerating Greeks computations for CVA on mixed interest rate portfolios. I would like to know about the status of technology for CVA and its Greeks computations in the industry (mainly related to speed of computation).
- Portfolio of 100 000 instruments
- Mixture of IR Swaps, Swaptions on multiple currencies
- Consider case with credit/IR correlations AND without them
Question: How long (approximately, or simply mention the order) would it take on your system (or system you know) to compute total CVA (including all the netting agreements, collaterization stuff...) and sensitivities of it to every yield curve used, vol surface?
If it is not too confidential, mention the underlying technology (cpu cluster, gpus) and maybe also methods used (like Longstaff-Schwartz); you can skip the name of institution.
Why I need this? I do have a few numbers from local smaller banks, but I'd like to get a broader picture for the need of accelerated methods for these computations.
(Basel III is coming soon, so this will be mandatory for every single serious bank.)
I hope it is clear what I'm seeking.