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Private Cloud reduces risk calculations by 50%
Private Cloud reduces risk calculations by 50%
Private Cloud reduces risk calculations by 50%
Private Cloud reduces risk calculations by 50%
Private Cloud reduces risk calculations by 50%
Private Cloud reduces risk calculations by 50%
Private Cloud reduces risk calculations by 50%
Private Cloud reduces risk calculations by 50%
Private Cloud reduces risk calculations by 50%
Private Cloud reduces risk calculations by 50%
Private Cloud reduces risk calculations by 50%
Private Cloud reduces risk calculations by 50%
Private Cloud reduces risk calculations by 50%
Private Cloud reduces risk calculations by 50%
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Private Cloud reduces risk calculations by 50%

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NAB has deployed DataSynapse Gridserver to support their Calypso Market Risk project. …

NAB has deployed DataSynapse Gridserver to support their Calypso Market Risk project.
David will discuss how a private cloud infrastructure has reduced processing time by over 50% and transformed a batch reporting environment to be on-demand.

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  • 1. TIBCO (DataSynapse) Grid Server David Broeren Business Architect NAB © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.
  • 2. Company Overview  National Australia Bank is among Australia’s largest financial institutions by market capitalisation and one of the world's top 30 financial services companies.  NAB operates across 10 countries serving 10 million banking and wealth management customers.  Wholesale Banking, a division of NAB, has more than 2,500 people across Australia, New Zealand, Asia, the United Kingdom and the United States.  Wholesale Banking provides customers with access to international financial markets and a range of specialised funding, investment, asset services and risk management capabilities. http://www.wholesale.nabgroup.com/AboutUs/Pages/Whoweare.aspx 2 © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.
  • 3. Introduction: Setting the Context? What is Cloud Computing? What is a Grid? App 5 Software as a Service Cluster Server or Compute Container Virtual Server Grid App App 1 1 Deployment Grid Server or Server or Container Container Grid (Desktop) Client1 Desktop or Client1 Client2 Server or Server or Citrix Svr Container Container Hardware Virtualisation Grid (Server) Container Container App App Data 2 1 Grid Virtualisation App App App App 2 1 1 4 Server or Server or Server or Container Container Container 3 © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.
  • 4. Challenges  One example of why is it important to a Bank Input Output Nomenclature Curve Rates Data Bootstrapping Curve Interpolation Price + Perturbations Rates Data + Bootstrap Curve Perturbed Curve Rates Data 1 Month Bill 2 Month Bill 3 Month Bill Perturbed Curve 15 Year 25 Year 1 Day Bill + 10 Year Interpolation Interpolated 18 mth 24 mth 4 Year 5 Year 7 Year Future Future Future 12mth 3 Year Future 6 mth Curve Cash Future Swap  For example: Value at Risk (a regulatory risk control)  Minimum 2 years of daily history  Over 5 Risk Factors = ~ 500 (trading days) * 5 (risk factors) * entire trade population = 2,500 valuations per trade each time to calculate 4 © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.
  • 5. Benefits and Return On Investment Calypso  Commercial Off the Shelf Implementation  The time to install the TIBCO DataSynapse GridServer components on the NAB Test Environment took approximately two hours.  The time taken to install and deploy the Calypso integration layer was approximately two hours  To the limits of the available hardware the scalability of the resulting grid-enabled Calypso deployment is almost completely linear for on-grid processing.  Results  In pre-grid testing, the Calypso Scheduling engine reached a capability limit. With grid processing this instability was removed.  Calypso task preparation and collection contains a bottleneck which skews end to end performance as measured from Calypso. For example, the results are written to a file by a single process.  Near linear scalability across the grid PLUS: • Expanded full portfolio recalculation, previously limited due to capacity constraints  Now: Live and expanding 5 © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.
  • 6. Benefits and Return On Investment BGS Provision Model:  Excel based Monte Carlo simulation:  The BGS Provision Model is delivered as a set of C++ dlls  The entry point method accepts as input a set of data, including Trades, Schedules, Scenarios, Curves, Volatilities, etc.  The calculation is a 3-factor Monte Carlo simulation.  After each calculation the dlls return a vector of values  Spreadsheet • performs the shifting operations, • marshals the input data and calls the entry point method of the BGS Provision Model dlls 7 times; once for each of the interest rate shifts. • The dll invocation is effected directly from Visual Basic code  Desire to increase to a minimum of 512 shifts, each containing 50,000 paths.  Linearly, this would increase the elapsed time for the calculations in excess of 300 times,  Pre-grid, this would take a minimum run time on a single PC of over 50 hours! 6 © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.
  • 7. Architecture © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.
  • 8. The Master Worker Pattern http://www4.java.no/presentations/javazone/2006/slides/4623.pdf 8 © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.
  • 9. Implementation  TIBCO GridServer additional benefits:  Deployment of code managed centrally  “Profile” matching:  Hardware, runtimes, libraries, etc  Ease of deployment  Audit trail of usage (i.e. chargeback capability) 9 © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.
  • 10. A shift in paradigm  Non-grid Monitor CPU Capacity must be sized for maximum demand • If reach maximum demand risk catastrophic failover  Grid Not possible to overwhelm workers • Only take work when available • Can reliably work at 100% utilisation • If worker fails, grid manager re-assigns task • Focus;  sustained put that exceeds take 10 © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.
  • 11. Best Practices 11 © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.
  • 12. Candidates  Grid Server “Model” implementations • Look for the “for” loops • Be aware, it will expose bottlenecks and design flaws – this is a good thing! Master Worker pattern implementations • Anything that can be broken into tasks and carried out in parallel Breaking the back of Batch  Fabric Server Server deployments • Extreme availability websites • “Peaky” applications 12 © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.
  • 13. Lessons Learned  Difficult to touch and feel  Baby steps 13 © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.
  • 14. Wrap Up and Summary  Consider a multi-dimensioned business case:  Business Sponsors • More comprehensive decision analytics; Revenue/Risk drivers  Technology Leadership • Cost reduction; Less servers -> the no maintenance utopia • Resilience • Quality of Service • Service charge models, pay for capability not server  Corporate Social Responsibility 14 © 2008 TIBCO Software Inc. All Rights Reserved. Confidential and Proprietary.

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