Xcelerit were represented at last month’s Global Derivatives conference in Amsterdam’s Okura Hotel. This is the largest annual gathering in Quantitative Finance
We found the latest advances for reducing the complexity of xVA calculations particularly exciting. For example, Jesper Andreasen (Dankse Bank) presented a number of smart algorithmic optimisations for xVA, Adil Reghai (Natixis) showed how to use algorithmic differentiation cleverly to reduce CVA complexity, and Andrew Green (Lloyds Banking Group) presented a highly efficient method to compute FVA of VAR-based inital margin. Additionally, for the first time this year, the conference featured a stream about “Innovations in Computational & Numerical Efficiency,” with a number of implementation-centric talks on how to cope with the computational complexities of financial analytics.
The audience of more than 500 quants were revived at break time by Xcelerit’s crack team of baristas, who sent them back to the following sessions freshly caffeinated and ready to absorb more.
On May 28th, Xcelerit in association with the Wilmott Forum delivered a seminar on “xVA and Risk-Aware OTC Pricing: Getting Ready for the New Normal” to an audience of quantitative analysts and other financial industry specialists in London.
The risk trainer Justin Clarke started by explaining the forces driving the drastic changes facing banks’ risk departments and trading desks. He illustrated the complexities involved in computing the multitude of adjustments to OTC prices required for compensating the associated risks (xVA). His talk was followed by a session with Xcelerit’s CEO, Hicham Lahlou, who demonstrated how the calculations needed can be achieved within the turnaround times required, using Xcelerit’s tools. Xcelerit’s Jorg Lotze, concluded the seminar with a live demonstration, showing the audience the achievable performance on GPUs without requiring major modifications to the existing codebase.
The event was over-subscribed and even though we maintained a waiting list, many people were still left disappointed. We are happy to announce that a video of the event is now being made available on our website. If you missed it, click here to gain access to the material.
We’ve just published a new white paper which covers how to cope with the computational complexity involved in calculating various valuation adjustments, such as Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA), and Funding Valuation Adjustment (FVA).
These adjustments are commonly referred to as xVA. This white paper gives an overview of the different xVA adjustments, shows
how they are typically computed, and outlines where the computational complexities lie. We give recommendations on how to achieve high performance, portability, and scalability for centralised in-house xVA implementations. We show how, by careful software design, we can easily harness, not only the power of multi-core CPUs, but also accelerator co-processors such as graphic processing units (GPUs) and the Intel Xeon Phi.
You can download the paper here.
Today Xcelerit announced the release of version 2.5 of its SDK, increasing performance significantly, dramatically simplifying the user experience, and adding support for Visual Studio 2012 and Windows 8. A complete list of the updates and new features can be found in the Release Notes shipped with the package.
Last month, Xcelerit presented at the UK Many-Core Developer conference in Oxford, UK. The conference was held in the new Andrew Wiles building, named after Oxford’s distinguished mathematician who is most famous for proving Fermat’s last theorem. It’s goal was to strengthen the UK’s expertise in many core computing and Xcelerit CTO, Jorg Lotze, was part of an accomplished panel of speakers from Oxford, Imperial College, London and Bath Universities. Industry was also well represented, with speakers from innovative hardware manufacturers like ARM featured alongside niche specialist like Ridgeway Kite Software.
NVIDIA freshly released their new flagship Tesla GPU, the Tesla K40. This GPU features more memory, higher clock rates, and more CUDA cores than the previous top-end card, the K20X. But what performance improvements can we expect for financial applications? We’ve put the new card to the test and compared it to the K20X using a Monte-Carlo LIBOR swaption portfolio pricer, a real-world financial algorithm that we’ve already used in other benchmarks.
Xcelerit were represented at last week’s Fixed Income Conference in Munich’s Sofitel Bayerpost. We had a busy display stand in the hotel concourse and our CTO Jorg Lotze gave a presentation revealing some of our CVA implementation secrets. This session was very well attended despite the late dinner at the Augustiner Keller on the evening before.
Intel just released its new Ivy-Bridge server processor line (Xeon E5 v2 series), promising significant performance gains over previous-generation Sandy-Bridge processors. In this post, we will compare the two generations for a financial application – a Monte-Carlo LIBOR Swaption Porfolio pricer.
Ivy-Bridge Processor Die
On September 25th, Xcelerit in association with the Wilmott Forum delivered a briefing on Monte-Carlo Simulations using GPUs. The event was heavily oversubscribed and the audience of quants and other financial industry specialists listened as Dongsheng Lu, Managing Director and Head of Quantitative Research at BNY Mellon explained the complexity and challenges behind CVA and FVA calculations. His presentation was followed by John Ashley of NVIDIA, who explained how GPUs could meet the computational challenges. The event concluded with a presentation by Xcelerit’s Hicham Lahlou, who explained how heavy CVA calculations could be approached in software and how existing code can easily be retargeted to many different accelerator platforms.
On September 26th, Xcelerit’s New York tour continued with a seminar entitled “The Joy of GPUs: Awesome Compute Power for Banks on Budget”. The event was jointly held with IBM and NVIDIA and the venue was IBM’s Wall Street Center of Excellence on Madison Avenue. The seminar was opened by Dave Weber, IBM’s program director at the Wall Street Center. He painted a picture of IBM’s experience deploying advanced server hardware in many different financial industry sites. Jeff Sporn from NVIDIA elaborated on his company’s experience in deploying GPU hardware in a financial setting. Finally Hicham Lahlou from Xcelerit described how to “make Financial Applications Sing on GPUs”.