Monte Carlo Simulation
European option pricing with ClearSpeed acceleration
Monte Carlo simulation for European options was selected for performance evaluation so that the accuracy of the result could be verified when compared with the Black-Scholes method.
ClearSpeed acceleration compared with a 3.0GHz Intel Xeon single core system
Performance comparisons based on benchmark code for European Option pricing provided by a major international bank showed up to a 20 times performance speedup using a single ClearSpeed Advance accelerator compared with typical industry-standard servers. The use of multiple Advance accelerators in the system has demonstrated approximately linear scaling.
ClearSpeed acceleration compared with a 3.0GHz Intel Xeon single core system
Performance results were based on a Monte Carlo simulation with 400 million samples. The base system was a Dell 2880 with two Intel 3.0GHz Xeon processors and 3GB memory. The host code was compiled with gcc and incorporated Randc and C Gaussian. ClearSpeed Acceleration was based on 1 to 4 ClearSpeed Advance X620 accelerators. The base system is typical of a one or two year old installed base platform.
| 1 CPU, no acceleration: | 400M samples, 60 seconds |
| 1 Advance board: | 400M samples, 2.9 seconds, 20x speedup |
| 2 Advance boards: | 400M samples, 1.5 seconds, 40x speedup |
| 4 Advance boards: | 400M samples, 0.8 seconds, 79x speedup |
ClearSpeed acceleration compared with a 3.0GHz Intel Xeon single core system
Power consumption measurements taken during the benchmark runs showed each Advance accelerator board consuming an average of 25 watts while delivering 131 million samples per second, over 5 million samples per second per watt. When measured as part of the overall system the result was 561,914 samples per second per watt, over ten times the energy efficiency of the 45,627 samples per second per watt delivered by the host system with 2 processors under use.
ClearSpeed acceleration compared with a 3.0GHz Intel Xeon 5160 (dual core) system
To provide an example of how ClearSpeed acceleration compares with current system technology the same benchmarks were run on an Intel Bensley reference platform with dual core Intel Xeon 5160 (woodcrest) processors.
ClearSpeed acceleration compared with a 3.0GHz Intel Xeon 5160 (dual core) system
Performance results were based on a Monte Carlo simulation with 400 million samples. The base system was a Super Micro server with two Intel 3.0GHz Xeon processors and 32 GB memory. The host code was compiled with gcc and incorporated Randc and C Gaussian. ClearSpeed Acceleration was based on 1 to 2 ClearSpeed Advance X620 accelerators.
ClearSpeed acceleration compared with a 3.0GHz Intel Xeon 5160 (dual core) system
Compared with the results from the single core Intel Xeon system the improvements introduced by the Intel Xeon 5160 architecture make a noticeable difference to the host system performance, with all four cores delivering a combined 40,555, 536 samples per second. This shows a ClearSpeed speed up of 13x compared with single core performance, 6.5x compared with a single dual core processor and 3.2x compared with the fully utilized four core system.
ClearSpeed acceleration compared with a 3.0GHz Intel Xeon 5160 (dual core) system
In conclusion, the addition of ClearSpeed Advance accelerators can add substantial performance benefits to industry standard systems used for financial services modeling. Equally suited to deployment in existing or newly acquired systems, simulations can benefit from between three and twenty times speed up from the addition of a single ClearSpeed Advance accelerator. The low power usage of ClearSpeed accelerators permits the use of multiple boards in a single system with approximately linear scaling for financial applications such as Monte Carlo simulation.
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