← 研踪 PaperTrailarXiv:2611.01855 · v1
Long-term yields of short-rate models as Feynman-Kac ground states: a variational quantum eigensolver with single-setting energy estimation on two NISQ platforms
首次提交 2026-11-01 20:47
版本更新 2026-11-01 20:47
雷达观测 2026-11-04 23:43
摘要
We show that the long-term yield of a short-rate model is the ground-state energy of a Schrodinger operator obtained from the Feynman-Kac bond-pricing equation, so that it can be computed by a variational quantum eigensolver (VQE). We treat the Vasicek, Cox-Ingersoll-Ross and Black-Karasinski models; the last has no closed form. Calibrated monthly to the U.S. Treasury curve from 1985 to 2026, the long-term yield follows the 30-year yield with an in-sample correlation of 0.98. The Hamiltonian is stoquastic, so its ground state is positive and the energy can be estimated from computational-basis samples with a single measurement setting. On ibm_cleveland, gate noise appears mainly as bit flips of the high-order qubits. A bit-flip deconvolution with a tail set fixed by a WKB criterion, combined with readout mitigation and zero-noise extrapolation, gives four-qubit estimates within 33-125 bp of the grid ground-state energies for all three models, and within 23-67 bp for Treasury-calibrated parameters. On IonQ Forte Enterprise the same analysis reduces the error in the same proportions. On the same circuits, a Pauli-measurement VQE deviates by 791-1,129 bp, so the single-setting estimator gives about ten times smaller errors with one setting instead of nine. An on-device VQE converges from 4,939 bp to 130 bp.
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v1 · 2026-11-01 20:47 · 最新观测版本
Long-term yields of short-rate models as Feynman-Kac ground states: a variational quantum eigensolver with single-setting energy estimation on two NISQ platforms
We show that the long-term yield of a short-rate model is the ground-state energy of a Schrodinger operator obtained from the Feynman-Kac bond-pricing equation, so that it can be computed by a variational quantum eigensolver (VQE). We treat the Vasicek, Cox-Ingersoll-Ross and Black-Karasinski models; the last has no closed form. Calibrated monthly to the U.S. Treasury curve from 1985 to 2026, the long-term yield follows the 30-year yield with an in-sample correlation of 0.98. The Hamiltonian is stoquastic, so its ground state is positive and the energy can be estimated from computational-basis samples with a single measurement setting. On ibm_cleveland, gate noise appears mainly as bit flips of the high-order qubits. A bit-flip deconvolution with a tail set fixed by a WKB criterion, combined with readout mitigation and zero-noise extrapolation, gives four-qubit estimates within 33-125 bp of the grid ground-state energies for all three models, and within 23-67 bp for Treasury-calibrated parameters. On IonQ Forte Enterprise the same analysis reduces the error in the same proportions. On the same circuits, a Pauli-measurement VQE deviates by 791-1,129 bp, so the single-setting estimator gives about ten times smaller errors with one setting instead of nine. An on-device VQE converges from 4,939 bp to 130 bp.
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