Financial Services

Acceleration for financial services

The ClearSpeed Advance product family accelerates financial calculations and model development by providing an environment for rapid testing and development. ClearSpeed accelerated applications can run back-testing, calibrations, pricing, risking and Value at Risk (VaR) upwards of 5 times faster per board compared with a single industry standard CPU.

Resource hungry statistical methods such as Monte Carlo simulation are used by financial institutions to derive future prices of complex option models that cannot be easily modeled by algorithmic approaches such as the Black-Scholes model.

ClearSpeed's Software Development Kit (SDK) now includes the ClearSpeed Vector Math Library and ClearSpeed Random Number Generators that support the functionality required for Monte Carlo simulation of option pricing.

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 delivered up to 100 times performance speedup.