DUAL PRECISION COMPUTE FOR MONTE CARLO SIMULATION

摘要

Embodiments disclosed herein relate to systems, methods, and computer program products for a dual precision compute system for determining a price of a financial instrument using a Monte Carlo simulation. The system, method, and computer program product are configured to determine a model for calculating a price for a financial instrument using a Monte Carlo simulation; determine variables associated with the financial instrument; conduct a first portion of the Monte Carlo simulation with the variables using a first level precision; conduct a second portion of the Monte Carlo simulation with the variables using a second level precision, wherein the second level precision is higher than the first level precision; and determine the price of the financial instrument from the model. The first level precision may be a single precision floating point format and the second level precision may be a double precision floating point format.