Calculating CVA (Credit valuation adjustment) in a timely manner poses a big performance challenge for financial institutions. The number of trades encompasses the entire institution, not just an individual desk’s book(s). It is needed intraday as positions and markets update. In this talk we highlight the tools needed to achieve the performance required to deliver CVA on time. We will focus on Origami – a DAG Execution Engine. Origami is a light-weight task execution framework which is easy to use and maintain. Users combine tasks into a DAG. Origami can execute the DAG on an ad hoc cluster of workstations on the local network, on a dedicated in-house grid, on production cloud, or on a hybrid of all these.

1. Experts in numerical software and
High Performance Computing
Cloud Task Execution at Scale
with an example from Quant Finance
Microsoft SC18 Theater presentation
November 2018
John HOLDEN
Mick PONT

2. 2High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com

3. 3High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com

4. 4High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
► Manage Distribution (CPU/GPU)
► Manage dependencies
► Manage synchronization
► Manage control
► Manage ad-hoc Grid (during Development)
► Manage Cloud(s) (during Testing / Production)

5. 5High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
Client
Client
Client
Server
Client-Server
Client
Client
Client
Client-Worker
worker
worker
worker
synchronisation
worker
worker
worker
Master
Master-Worker

6. 6High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com

7. 7High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com

8. 8High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
• Origami supports DAGs
including: data transfers,
metrics, recovery from
task failure.
• Can run on dev
machines, in-house grid,
production cloud, CPU,
CPU / GPU – mixture.

9. 9High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com

10. 10High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
Description Elapsed Time
Single core ~ 14 hours
Origami / Grid / Azure Minutes

11. 11High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com

12. 12High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
Experts in High Performance Computing,
Algorithms and Numerical Software Engineering
www.nag.com | blog.nag.com | @NAGtalk

13. 13High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
Experts in High Performance Computing,
Algorithms and Numerical Software Engineering
www.nag.com | blog.nag.com | @NAGtalk