An Environment for Rapid Derivatives Design and Experimentation

In the highly competitive world of modern finance, new derivatives are continually required to take advantage of changes in financial markets, and to hedge businesses against new risks. The research described in this paper aims to accelerate the development and pricing of new derivatives in two different ways. Firstly, new derivatives can be specified mathematically within a general framework, enabling new mathematical formulae to be specified rather than just new parameter settings. This Generic Pricing Engine (GPE) is expressively powerful enough to specify a wide range of stand¬ard pricing engines. Secondly, the associated price simulation using the Monte Carlo method is accelerated using GPU or multicore hardware. The parallel implementation (in OpenCL) is automatically derived from the mathematical description of the derivative. As a test, for a Basket Option Pricing Engine (BOPE) generated using the GPE, on the largest problem size, an NVidia GPU runs the generated pricing engine at 45 times the speed of a sequential, specific hand-coded implementation of the same BOPE. Thus a user can more rapidly devise, simulate and experiment with new derivatives without actual programming.

The Loop-of-Stencil-Reduce Paradigm

In this paper we advocate the Loop-of-stencil-reduce pattern as a way to simplify the parallel programming of heterogeneous platforms (multicore+GPUs). Loop-of-Stencil-reduce is general enough to subsume map, reduce, map-reduce, stencil, stencil-reduce, and, crucially, their usage in a loop. It transparently targets (by using OpenCL) combinations of CPU cores and GPUs, and it makes it possible to simplify the deployment of a single stencil computation kernel on different GPUs. The paper discusses the implementation of Loop-of-stencil-reduce within the FastFlow parallel framework, considering a simple iterative data-parallel application as running example (Game of Life) and a highly effective parallel filter for visual data restoration to assess performance. Thanks to the high-level design of the Loop-of-stencil-reduce, it was possible to run the filter seamlessly on a multicore machine, on multi-GPUs, and on both.