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Leslie Kramer
Leslie Kramer
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The Exegy Ticker Plant Speeds up Monte Carlo VAR Calculations by 310x

Exegy, Inc., a market data vendor, has demonstrated a 310x performance improvement of complex Monte Carlo Value at risk calculations on a portfolio of 1024 stocks. Exegy set up the low latency Exegy Ticker Plant to use FPGA, GPU and CPU technology side by side to solve real world financial risk calculations extremely efficiently. Calculations that might normally take an hour can now be done in a little more than 10 seconds. “We believe we’re the first to use these diverse platforms simultaneously to solve this important problem,” said Jeff Wells, vice president of product management at Exegy, in a press release. “Whereas financial institutions formerly had to depend on the all purpose CPU for most computational functions, now there are hybrid solutions that integrate diverse platforms to crunch enormous amounts of data very rapidly. Massive parallel processing can be done economically in one computer chassis,” he added.

Exegy and Washington University St Louis submitted a paper to SuperComputing 2008 describing the benchmark studies. The paper has been welcomed by expert reviewers. One reviewer noted in the press release, “I believe that this model represents what the future holds in terms of utilizing the most efficient silicon.”

The massively parallel architecture of NVIDIA Tesla GPUs enables the processing of thousands of floating point calculations simultaneously, making it an extremely powerful platform for computational finance algorithms such as Monte Carlo. Andy Keane, general manager of the Tesla business at NVIDIA said in the release, “At the core of the Tesla GPU is our CUDA parallel architecture. This architecture is accessible through an industry standard C language programming environment that allows developers and researchers to tap into the GPU more quickly and easily than any other solution shipping today. The maturity of this architecture and the tools that we provide have enabled a wide audience to leverage it with tremendous success. Companies like Exegy are proof of this and we’re delighted to see the results they are getting with Monte Carlo simulations.”

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