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.

A parallel pattern for iterative stencil + reduce

We advocate the Loop-of-stencil-reduce pattern as a means of simplifying the implementation of data-parallel programs on heterogeneous multi-core platforms. Loop-of-stencil-reduce is general enough to subsume map, reduce, map-reduce, stencil, stencil-reduce, and, crucially, their usage in a loop in both data-parallel and streaming applications, or a combination of both. The pattern makes it possible to deploy a single stencil computation kernel on different GPUs. We discuss the implementation of Loop-of-stencil-reduce in FastFlow, a framework for the implementation of applications based on the parallel patterns. Experiments are presented to illustrate the use of Loop-of-stencil-reduce in developing data-parallel kernels running on heterogeneous systems.