Patent ID: 8706601

Claim:
A computer-based apparatus for computing sensitivities of a behaviorally path-dependent value for a financial product issued at a first time of issue, comprising: a memory unit for at least one specially programmed computer configured to store: computer readable instructions; a set of path-dependent behavioral assumptions; and, a set of economic variables representing financial market conditions at the first time of issue of said financial product; and a processor for the at least one specially programmed computer configured to execute the computer readable instructions to: perform a vectorized adjoint differentiation forward pass including: generating a full or pruned directed acyclic graph (DAG) representation of a procedure for computation of the behaviorally path-dependent value for the financial product; computing, using the DAG representation, the behaviorally path-dependent value for the financial product; and, performing an adjoint differentiation backward pass on said full or pruned DAG representation to obtain a result; determine, using the result, a set of sensitivities for the behaviorally path-dependent value for the financial product; and, display the set of sensitivities for the behaviorally path-dependent value on a graphical user interface for the at least one specially programmed computer.