Many-Core Accelerated LIBOR Swaption Portfolio Pricing

Abstract

This paper describes the acceleration of a MonteCarlo algorithm for pricing a LIBOR swaption portfolio using multi-core CPUs and GPUs. Speedups of up to 305x are achieved on two Nvidia Tesla M2050 GPUs and up to 20.8x on two Intel Xeon E5620 CPUs, compared to a sequential CPU implementation. This performance is achieved by using the Xcelerit platform - writing sequential, high-level C++ code and adopting a simple dataflow programming model. It avoids the complexity involved when using low-level high-performance computing frameworks such as OpenMP, OpenCL, CUDA, or SIMD intrinsics. The paper provides an overview of the Xcelerit platform, details how high performance is achieved through various automatic optimisation and parallelisation techniques, and shows how the tool can be used to implement portable accelerated Monte-Carlo algorithms in finance. It illustrates the implementation of the Monte-Carlo LIBOR swaption portfolio pricer and gives performance results. A comparison of the Xcelerit platform implementation with an equivalent low-level CUDA version shows that the overhead introduced is less than 1.5% in all scenarios.