Fast and Energy-Efficient Derivatives Risk Analysis: Streaming Option Greeks on Xilinx and Intel FPGAs
SessionEighth International Workshop on Heterogeneous High-Performance Reconfigurable Computing (H2RC 2022)
DescriptionWhile FPGAs have enjoyed success in accelerating high-frequency financial workloads for some time, their use for quantitative finance, which is the use of mathematical models to analyze financial markets and securities, has been far more limited to-date. In this presentation, we extend our previous work accelerating the industry standard Securities Technology Analysis Center's (STAC) derivatives risk analysis benchmark STAC-A2, by first porting this from the existing Xilinx implementation to an Intel Stratix-10 FPGA, exploring the challenges encountered when moving from one FPGA architecture to another and suitability of techniques. We then present a host-data-streaming approach that ultimately outperforms our previous version on a Xilinx Alveo U280 FPGA by up to 4.6 times and requiring 9 times less energy at the largest problem size, while outperforming the CPU and GPU versions by up to 8.2 and 5.2 times respectively.
Event Type
Workshop
TimeMonday, 14 November 202211am - 11:30am CST
LocationC146
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Recorded
