SciComp Accelerates Derivative Pricing with CUDA
SciComp, an Austin, Texas based software firm, has announced an upgrade to its flagship derivatives trading software package, SciFinance. The upgrade enables customers to utilize NVIDIA CUDA to accelerate their pricing models up to 100x.
The old aphorism 'time is money' has never been more true than in the pressurized world of OTC derivatives trading, where the constant flow of new contracts demands the ability to produce complex mathematical pricing models rapidly," said Curt Randall, executive vice president of SciComp. "This process used to take days if not weeks of error prone hand coding, but with SciFinance, model developers make a few changes to a model specification of a half page or less and then generate accurate C or C++ source code pricing models in minutes."
In order to take advantage of the underlying CUDA abilities, a user need simply to describe the derivative model using SciFinance's high-level financial and mathematical language. Adding the word "CUDA" to a model specifies to output the proper CUDA- enabled code.
SciComp is one of the first companies to fully embrace the potential that GPUs have in the field of computational finance," said Andy Keane, general manager of the GPU Computing business at NVIDIA. "The ability to not just deliver small and incremental increases in performance, but instead to deliver 100X and reduce weeks of hand coding to immediate, real-time results is incredibly powerful. We look forward to working closely with SciComp going forward to bring more defining improvements to the SciFinance generated pricing models and in turn their customersʼ businesses."
This article appeared on Inside HPC.