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Bond pricing in APL2: A study in numerical solution of the Brennan and Schwartz bond pricing model using a vector processor

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Abstract

This paper is a unification of two earlier papers: the original model of the bond pricing algorithm developed by Foote, Kraemer, and the author [4] and a later paper reported at the Third Supercomputer Conference [5]. This paper briefly discusses the Brennan and Schwartz bond pricing model which was the application studied, presents its finite difference representation and describes three APL2 implementations. Problems in computation are discussed briefly and the three methods for a fixed size grid are compared with and without the IBM 3090 Vector Facility.

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References

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Authors and Affiliations

  1. Electrical and Computer Engineering, Syracuse University, 111 Link Hall, 13244-1240, Syracuse, NY, USA

    Garth H. Foster

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  1. Garth H. Foster
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Foster, G.H. Bond pricing in APL2: A study in numerical solution of the Brennan and Schwartz bond pricing model using a vector processor. Computer Science in Economics and Management 2, 179–196 (1989). https://doi.org/10.1007/BF00436509

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  • DOI: https://doi.org/10.1007/BF00436509

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