Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture
AbstractFinancial 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1001.3213.
Date of creation: Jan 2010
Date of revision: May 2012
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Web page: http://arxiv.org/
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