Quantum computation for pricing the collateralized debt obligations

Collateralized debt obligation (CDO) has been one of the most commonly used structured financial products and is intensively studied in quantitative finance. By setting asset pool into different tranches, it effectively works out redistributes credit risks returns to meet risk preferences for tranche investors. The copula models various kinds are normally pricing CDOs, Monte Carlo simulations required get their numerical solution. Here we implement two typical CDO models, single-factor Gaussian model normal inverse model, by applying conditional independence approach, manage load each distribution quantum circuits. We then apply amplitude estimation as an alternative simulation pricing. demonstrate computation results using IBM Qiskit. Our work addresses a useful task finance instrument pricing, significantly broadening application scope computing