Case Studies

Speeding up pricing compex instruments in the cloud

Reval is a leading derivative risk management and hedge accounting software-as-a-service (SaaS) provider. In order to quickly develop new structured products and vastly speed up Monte Carlo based derivatives for its SaaS customers, Reval chose SciFinance® from SciComp, used in conjunction with GPU hardware from NVIDIA.

Reval has been adding complex structured instruments to it's flagship SaaS product, Reval®. These instruments included Dual Currency bonds, Power Reverse Dual Currency bonds, Inverse Floaters and CMS Steepeners, all with embedded caps and floors and call/put options as well as Range Accruals and Principal Protected Notes. Reval needed to find a way to improve the development time for these instruments.

These types of derivatives are priced using Monte Carlo simulation, which requires running between 20,000 to 50,000 trials and uses a great deal of CPU time. Implementing a Monte Carlo framework in a SaaS environment adds extra stress to CPU usage at month-end closing and at times of high system usage. A 50,000 trial simulation of a complex instrument can take up to 60 seconds to run in a conventional hosted environment. Even with dedicated analytics servers, this can cause unacceptable response times as analytics servers are shared across hundreds of clients.

Reval teamed with SciComp to implement a combined hardware and software solution. The results were a faster derivatives model development cycle and accelerations of 100X faster than serial code for derivative valuations in the SaaS environment.