We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the...

We discuss the pricing of cancellable swaps using the displaced diffusion LIBOR market model using a multi-core graphics card. We demonstrate that over one hundred times speed up can be achieved in a realistic case