Financial Services
Customer Case Study
A teir one Japanese bank chose ClearSpeed to accelerate their Monte Carlo-based credit risk analysis application.
The application is regularly used to evaluate portfolios with tens of thousands of instruments across a very large number of scenarios. However, it was taking 50 hours to run on a desktop machine. This runtime meant that the analysis could not provide information for quick decisions and prohibited the use of the model for what if scenarios.
After working with ClearSpeed for a few weeks, the application was ported to run on ClearSpeed's CATS-700 accelerator. The same simulation now completes in approximately ten minutes on one CATS node, a speedup of 300x, and scales easily and linearly thanks to the simplicity of the programming model.
Presentation from High Performance on Wall Street 2008.
Benchmarks
The results achieved with full customer applications are consistent with the performance of other examples including European and Asian option pricing which are often used as benchmarks for comparing systems and accelerator technologies.
For these simple examples, a single CATS-700 unit is over 80 times faster than an 8 core server based on the latest Intel Core 2 Extreme 3 GHz Xeon. Read more...
Examples
The ClearSpeed finance examples have been created to demonstrate the performance capabilities when porting standard quantitative financial codes to ClearSpeed Advance accelerators. The examples cover a range of pricing options including:
- European Option Black-Scholes Analytic Solution
- European Option via Binomial Tree
- European Option via Monte Carlo
- American Option via Broadie-Glasserman Tree
- American Option via Explicit Finite Differences
- Asian Option via Monte Carlo
Try out the ClearSpeed Finance Examples to experience the acceleration for yourself! Download the examples from the ClearSpeed support site to get started.