QUANTUM TUNNELLING
ParameterValue
Tunnel barrier U₀ credit level
Credit mass m_c firm mass
Firm energy E_c asset energy
ħ_c credit Planck
CDS PARAMETERS
ParameterValue
Credit spread s₀ bp
Recovery rate R %
Risk-free rate r %
Maturity T years
Notional k€
∿
Configure and compute
Set parameters in the Data tab,
then click ▶ Compute Price.
then click ▶ Compute Price.
Product—
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bp or k€ · wave-mechanical
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bp or k€ · Merton / ISDA
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% · probability of no default
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% · quantum default correction
Survival Probability — Quantum vs Classical
Default Intensity λ(t)
Pricing Detail
| Metric | Quantum | Classical | Difference |
|---|
Tunnelling Interpretation
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∿
Configure and compute
Compute a price first, then click
▶ Compute Credit Greeks.
▶ Compute Credit Greeks.
Credit Greeks—
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k€/bp · spread sensitivity
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k€ · immediate default loss
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years · risky annuity
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% above classical CS01
P&L vs Spread Shock
Survival Probability Sensitivity
CS01 Profile vs Spread Level
∂spread/∂s · along credit curve
Gamma_s — 2nd order spread sensitivity
∂²P/∂s² · convexity of the credit curve
Xi_c (ξ_c) — Value vs ħ_c
∂P/∂ħ_c · quantum Planck sensitivity
Tunnel Factor T_q vs Barrier Gap (U₀ − E)
∂T_q/∂U₀ · barrier height sensitivity
Credit Sensitivity Summary — Quantum vs Classical
| Metric | Quantum | Classical | Δ% |
|---|
Quantum-Specific Credit Greeks
| Greek | Symbol | Value | Sensitivity | Interpretation |
|---|
Hedging Interpretation
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∿
Configure and compute
Set portfolio parameters in the sidebar,
then click ▶ Compute Credit Risk.
then click ▶ Compute Credit Risk.
Credit Risk—
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k€ · at confidence level
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k€ · over horizon
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k€ · counterparty valuation adj.
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× classical VaR amplification
Credit Loss Distribution
Stress Scenarios — Spread Widening
Credit Risk Summary
| Metric | Quantum | Classical | Factor |
|---|
Credit Risk Interpretation
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