Service-oriented middleware for financial Monte Carlo simulations on the cell broadband engine

Abstract

Financial Monte Carlo simulations are computationally intensive applications that must meet tight deadlines in terms of job completion times. The completion time might have a huge impact on the financial profits made from decisions derived from the simulation results. Naturally, there is a huge interest in being able to simulate as fast as possible. While single simulations can be done on one machine, decisions often depend on portfolios of simulations. Distributing the workload among resources is crucial to achieve low latency. In this article we present a combination of a middleware with a high-performance implementation of an Asian options evaluation code on the Cell Broadband Engine (CBE). We handle workload distribution with our PHASTGrid middleware and provide users with a web service interface to the whole infrastructure. The CBE is particularly suitable for Monte Carlo simulations. We implemented a well-known algorithm on both the CBE and the Intel x86 multicore architectures. Both codes are integrated in our middleware, allowing a direct comparison of the performance and scalability. In addition to the Monte Carlo simulation, we also use different applications and compare our middleware with Globus. Copyright © 2009 John Wiley & Sons, Ltd.