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Showing posts from May, 2016

Good news for AD?

Maybe I did not lose as much as I though in Sometimes you win, sometimes you lose . Maybe Algorithmic Differentiation (AD) is not forbidden by regulators as much as I feared. A couple of months ago I attended and spoke at the 5th xVA conference . I was also part of the panel discussion on “GPU vs AAD” debate. Among the questions opened for the debate was " Can AD be used for regulatory/FRTB purposes? " I explained the reason behind that question in my previous blog and in my comments to the consultative document by the BCBS. My comments can be found, among other comments, on the site of the Bank for International Settlements . The regulatory documents give a precise (but incorrect in my opinion) description of the meaning of sensitivity. The sensitivity for interest rate is the forward differentiation quotient computed with exactly a one basis point shift. The good news , if confirmed, is that the previous bad news may not be true. A staff member from the Federal Reserv