CHALLENGE

1
CHALLENGE!

• VA Hedging Asset Management and Consulting
  Services
• IT Infrastructure

2
Business is Characterized by Huge data sets
Long run Times

• This is a HPC world where code has to be
  optimized for speed and large files

Flat files
Inputs
Scenario Generation Models



Optimization Routines
Liability Models
Hedge Overlay Models
Outputs
Hedged Capital Reserve Calculations
Hedge Strategy Simulation
Naked Capital Reserve Calculations
Real-time Monte Carlo Risk Management Tool
3
Solutions to the business people!

• Use hardware accelerators
• High-bandwidth/low-latency streaming of market
  data
• Financial data center
• Software OS, RNG Libraries, OpenMP,
  Stable Job
  Scheduler/Manager

4
Available technology solutions

• High Performance Computing
• Intel / AMD
• IBM Power processor
• IBM BladeCenter QS22 (IBM PowerXCell 8i )

5
Intel / AMD

• Requires large infrastructure
• Space
• Power and cooling
• Scalability
• Maintenance
• Support

6
IBM Power 5/6 processor

• Requires large infrastructure
• Space
• Power and cooling
• Higher cost
• More suited for weather and climate modeling,
  computational chemistry, physics,
  computer-aided engineering, computational fluid
  dynamics and petroleum exploration

7
IBM BladeCenter QS22 (IBM PowerXCell 8i )

• Achieves rapid and flexible scalability in a
  cost-effective way
• Enables the development of new applications
  quickly using standard libraries and development
  tools, including the IBM Software Development Kit
  for Multicore Acceleration
• Single-wide blade form factor provides
  extraordinary density
  up to 6.4 Teraflops in a single IBM BladeCenter
• Runs standard Linux operating systems
• Delivers scalable, flexible, power-efficient and
  economical acceleration solutions
• Is well-suited for financial market applications
  providing high-performance, low-latency
  acceleration for trading and risk analytics
  calculations
• Performs highly complex financial calculations
  with double-precision accuracy in a shorter time
  frame
• Error correction (ieee complaint)

8
Intel / AMD vs. Cell QS22
9
Conclusion

• Proven HPC track record
• Blue gene, Road runner
• Technology well suited to streaming data and
  calculations
• Integrated solution provider
• Compilers, Hardware, Consulting, Support
• Access to elite resources
• Partnership where everyone wins!