CrossAsset & Intel® Threading Building Blocks Adoption: 1.78X speedup
Numerix, the leading provider of cross-asset analytics for derivatives valuations and risk management, today announces the findings of a new study conducted in conjunction with Intel. Through its strategic relationship, development teams at both corporations are regularly working together to provide Numerix customers with the highest performance, and most reliable solution in the industry.
CrossAsset and Intel’s Threading Building Blocks
Intel® Threading Building Blocks (Intel® TBB) Library lets users easily write parallel programs that take full advantage of multicore performance, that are portable and composable, and that have future-proof scalability.
In leveraging the Intel® Xeon® processor platform, Intel and Numerix worked together to optimize the performance of CrossAsset Analytics on an Intel Xeon processor based platform by vectorizing the core computational library. As a result, this improved performance of CrossAsset Analytics by 1.78x by using Intel TBB memory allocator.
“Usually you can scale up in separate ‘processes’ on a single machine to keep the computations separate – the advantage being that they don’t interfere with each other, thus they scale up better. Or, you can scale up with multiple threads and get efficiencies by sharing data, but the computations can interfere with each other in multiple subtle ways, slowing down the computation,” said Steve Karmesin, SVP for Numerix Cross Asset Infrastructure Development. “In leveraging the Intel TBB thread optimized memory allocation system we saw thread scaling much closer to the ‘process’ scaling, but with threads so we can also capture shared memory benefits.”
“The computational requirements imposed by the market and regulators are daunting. Even Smartphones don’t come in single-core CPU form any more, and every efficient computation engine needs to be able to take advantage of multiple cores,” said Ken Roller, Global Director of Strategic Relations at Intel. “The question has now become ‘how’, because in general there is no free lunch. Numerix’s strategic relationship with Intel ensures that their customers’ performance and reliability needs are met not only today, but more importantly, for tomorrow.”
“A cornerstone of Numerix CrossAsset and Server components is speed and performance, something that can sometimes suffer at the hands of flexibility and usability. However, in today’s market it comes down to being able to preserve the flexibility that front office requires while meeting the performance benchmarks for traders and risk management operations,” said Steve O’Hanlon, President & CEO of Numerix. “Today we’re able to offer a very powerful calculation engine, with the ability to scale out computation resources for large trade populations and significant risk evaluation capabilities. With a scalable architecture underpinning a dashboard UI framework to manage core services, we’ve made advanced analytics more accessible to key decision makers from the desk to the C-suite.”