Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture
For financial institutions needing to price large portfolios overnight, this offers a unified tool to test parallel architectures, but the contribution is incremental.
The authors integrated Premia financial software into Nsp (a Matlab-like environment) with MPI to enable parallel portfolio valuation on clusters, providing a benchmark for testing parallel architectures.
Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like architecture. We have used the Premia software to valuate the financial derivatives. In this work, we explain how Premia can be embedded into Nsp, a scientific software like Matlab, to provide a powerful tool to valuate a whole portfolio. Finally, we have integrated an MPI toolbox into Nsp to enable to use Premia to solve a bunch of pricing problems on a cluster. This unified framework can then be used to test different parallel architectures.