Systems and methods for valuing an interest rate swap transaction

An apparatus for valuing one or more cash flow occurrences in an interest rate swap transaction, the apparatus comprising:

• an interest rate swap (IRS) circuitry configured to:
• estimate, using an interest rate model, a mean interest rate for each tenor of one or more combinations of two or more tenors of an interest rate swap based on (a) each tenor's long term interest rate mean value, (b) each tenor's interest rate volatility represented by at least one underlying distribution, and (c) a first number of qubits for the distribution;
• distribution, and
• determine a forward interest rate based on the mean interest rate of each tenor of the one or more combinations for the cash flow occurrences;
• and
• a quantum computing device configured to:
• prepare a quantum mean estimation (QME) circuit comprising:
• a first quantum register and a second quantum register, the first quantum register comprising an ancilla qubit;
• an inverse quantum Fourier transform configured to operate on the second quantum register;
• a quantum amplitude estimation (QAE) circuit configured to operate on the first quantum register and the second quantum register, the QAE circuit comprising a unitary operator A comprising:
• a state preparation unit configured to encode the mean interest rate for each tenor of the one or more combinations using a quantum multiplexor circuit, and
• a quantum pricing function encoding an IRS pricing function based on (a) the mean interest rate for each tenor of one of the one or more combinations and (b) the forward interest rate of the one or more combinations, the quantum pricing function configured to transform a result of the state preparation unit and the ancilla qubit on the first quantum register;
• and
• a quantum Fourier transform configured to operate on the second quantum register and
• determine, by the QME circuit, an estimate value, a standard deviation of the estimate value, and an outcome associated with the estimate value;
• wherein the IRS circuitry is further configured to determine an overall value of the interest rate swap based on one or more determinations of estimate value, standard deviation of the estimate value, and outcome associated with the estimate value associated with each of the one or more combinations.

A computer program product for valuing one or more cash flow occurrences in an interest rate swap transaction, the computer program product comprising at least one non-transitory computer-readable storage medium storing software instructions that, when executed, cause an apparatus to:

• estimate a mean interest rate for each tenor of one or more combinations of two or more tenors of an interest rate swap based on (a) each tenor's long term interest rate mean value, (b) each tenor's interest rate volatility represented by at least one underlying distribution, and (c) a first number of qubits for the distribution;
• determine a forward interest rate based on the mean interest rate of each tenor of the one or more combinations for the cash flow occurrences;
• prepare a quantum mean estimation (QME) circuit comprising:
• a first quantum register and a second quantum register, the first quantum register comprising an ancilla qubit,
• an inverse quantum Fourier transform configured to operate on the second quantum register,
• a quantum amplitude estimation (QAE) circuit configured to operate on the first quantum register and the second quantum register, the QAE circuit comprising a unitary operator A comprising:
• a state preparation unit configured to encode the mean interest rate for each tenor of the one or more combinations using a quantum multiplexor circuit;
• and
• a quantum pricing function encoding an IRS pricing function based on (a) the mean interest rate for each tenor of one of the one or more combinations and (b) the forward interest rate of the one or more combinations, the quantum pricing function configured to transform a result of the state preparation unit and the ancilla qubit on the first quantum register, and
• a quantum Fourier transform configured to operate on the second quantum register;
• determining, by the QME circuit, an estimate value, a standard deviation of the estimate value, and an outcome associated with the estimate value;
• and
• determine an overall value of the interest rate swap based on one or more determinations of estimate value, standard deviation of the estimate value, and outcome associated with the estimate value associated with each of the one or more combinations.