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About this paper
Sandeep Jha, Richard Oentaryo, Sanjay Sekaran, Vadym Kullish, Rajanikanth Annam, Paul Griffin, Hanan Rosemarin, Nadav Yoran and 2 more
A hybrid quantum–classical framework estimates high-quantile counterparty exposure for a path-dependent FX Target Redemption Forward using Iterative Quantum Amplitude Estimation (IQAE). In a reduced two-week model, quantum results were generally within 1–8% of nested Monte Carlo benchmarks, while resource estimates for a 52-week version reached 306 qubits, roughly 516,000 oracle-depth layers, and about 552,000 controlled-NOT gates.
Key insights
- The approach is a conditional percentile estimator rather than a complete quantum reconstruction of the exposure distribution; its interpretation as PFE depends on approximate monotonicity between the first-week FX state and exposure.
- Discretizing the classically selected percentile can introduce upward bias and cause different confidence levels to map to the same quantum bin, while low-exposure cases can show large relative errors from small absolute deviations.
- The main scalability bottleneck is circuit construction: extending the payoff oracle to realistic annual horizons produces millions of logical operations before IQAE iterations are included.
Summary by alphaXiv.
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