FPGA Accelerated Derivatives Pricing Models

Field-programmable gate array (FPGA) is an ideal technology for addressing the massive computational requirements and high operational costs associated with derivatives portfolio and risk management services within financial institutions. In the past, these pricing and risk management groups utilized simplified models to reduce the computational load. However, evolving regulations now specify that the pricing models in risk analytics workloads, such as Comprehensive Capital Analysis and Review (CCAR) and Fundamental Review of the Trading Book (FRTB), should closely emulate and even duplicate sophisticated front office trading models.

Typically, risk management groups run a multitude of risk scenarios that entail thousands of risk factors on huge derivatives portfolios. With millions of risk calculations, financial organizations have invested in large compute farms to process the required risk analysis, typically overnight. Such hardware infrastructures tend to be slow and are expensive to operate given the high energy consumption.

To help accelerate these massive computational requirements many financial institutions have implemented parallel computing solutions. While useful, these solutions have typically ignored the high energy consumption associated with compute farms.