Source: Aspeed Software
ASPEED Software has announced that its parallel distributed computing solution, ACCELLERANT, has successfully enabled fixed income and credit derivative trading applications to perform on the IBM Blue Gene System.
With ASPEED's support for Blue Gene, financial applications can now rapidly and seamlessly exploit the scalability and economics of the world's fastest supercomputer.
ACCELLERANT now becomes the first solution to enable computational intensive financial services applications to leverage the immense operational and super-charged performance benefits of Blue Gene. Using ACCELLERANT, traders, quants and other decision-makers can take their financial application capabilities to new heights with analysis flexibility, in terms of increased precision, volumes and considerations in less time. ACCELLERANT transparently injects distributed parallel processing capabilities into existing applications without re-engineering the underlying algorithms and risking the integrity of results.
Blue Gene, IBM's cutting-edge economic supercomputing platform, propels qualitative analysis to the next level. It is the only system commercially available optimized for bandwidth, scalability and computational performance, while consuming a fraction of the electricity and floor space demanded by most high-performance systems. Proven in deployments for leading-edge research in hydrodynamics, astronomy and space research, quantum chemistry and climate modeling, Blue Gene is now being adopted, through ACCELLERANT, for mission-critical processes such as risk management, securities and portfolio pricing and hedging strategies.
In a recent benchmark, ASPEED demonstrated the ease of adaptation of financial applications to Blue Gene and the potential performance impact to trading applications. It took a single thread American Options portfolio pricing application (AMBook), adapted it for the parallel environment and ran it showing the reduced processing time. In a test case, a 240,000-option portfolio pricing run was reduced from an hour to seconds using Blue Gene.
Variants of AMBook are generally run to determine the overall price and risk of an options portfolio. The calculation examines each instrument. Each calculation is stochastic - nondeterministic in some manner - usually by using random numbers and therefore requires significant compute power.
There are two primary considerations for such runs, time and precision. Ideally traders prefer more precision, usually characterized as time steps or paths, but they often have to limit the analysis because of the overall elapsed time to price. Blue Gene with ACCELLERANT enables any trader to select more precision and variables while being more responsive with their existing applications.
"Financial services companies stand to gain significant cost, competitive and time advantages through using advanced software accelerators on their critical and most computationally intense applications," said Dave Turek, vice president of Deep Computing at IBM. "The combination of Blue Gene and ACCELLERANT in this performance result is indicative of the emerging opportunity clients have to leverage the Blue Gene platform even further in financial services applications."
This is the latest enhancement for ACCELLERANT, which is widely used by leading financial firms, investment banks, pharmaceutical drug developers, life sciences firms, energy providers and the Department of Defense to optimize application performance within grid, cluster, multi-core and other distributed computing enviornments.