STAC Report: STAC-A2 (derivatives risk) on NEC Vector Engine

Solution sets single-server records in cold and warm runs of the large Greeks benchmark

13 May 2021

STAC recently performed STAC-A2 Benchmark tests on a stack consisting of the STAC-A2 Pack for NEC Vector Engine (Rev A) with 8 x NEC SX-Aurora TSUBASA/Vector Engine Type 20B accelerator cards in an NEC SX-Aurora TSUBASA B300-8 server. The server had patches applied to mitigate Spectre & Meltdown security vulnerabilities.

The STAC Report is now available here.

STAC-A2 is the technology benchmark standard based on financial market risk analysis. Designed by quants and technologists from some of the world's largest banks, STAC-A2 reports the performance, scaling, quality, and resource efficiency of any technology stack that is able to handle the workload (Monte Carlo estimation of Heston-based Greeks for a path-dependent, multi-asset option with early exercise).

NEC wished to highlight several results from this report:

  • Compared to all publicly reported solutions to date, this Vector Engine-based solution had the fastest cold time in the large problem size Greeks benchmark (STAC-A2.β2.GREEKS.10-100k-1260.TIME.COLD)
  • Compared to the previous best results for single-server solutions, this solution was:
    • 79% faster in the cold time for the large Greeks benchmark
      (STAC-A2.β2.GREEKS.10-100k-1260.TIME.COLD vs. SUT ID INTC210315)
    • 18% faster in the warm time for the large Greeks benchmark
      (STAC-A2.β2.GREEKS.10-100k-1260.TIME.WARM vs. SUT ID NVDA200909)
  • Compared to the previous best results for a coprocessor-based solution (SUT ID NVDA200909), this solution:
    • had 2.07x the speed in the cold time and 1.18x the speed in the warm time for the large Greeks benchmark
      (STAC-A2.β2.GREEKS.10-100k-1260.TIME.{COLD,WARM})
    • was within 10% of the maximum assets (STAC-A2.β2.GREEKS.MAX_ASSETS)
  • Compared to the previous best results for CPU-based single-server solutions, this solution delivered:
    • 2.31x the throughput (STAC-A2.β2.HPORTFOLIO.SPEED vs. SUT ID INTC190903)
    • 2.12x the speed in the warm time for the large Greeks benchmark
      (STAC-A2.β2.GREEKS.10-100k-1260.TIME.WARM vs. SUT ID INTC190903)
    • 1.79x the speed in the cold time for the large Greeks benchmark
      (STAC-A2.β2.GREEKS.10-100k-1260.TIME.COLD vs. SUT ID INTC210315)
    • 1.44x the speed in the warm time for the baseline Greeks benchmark
      (STAC-A2.β2.GREEKS.TIME.WARM vs. SUT ID INTC210315)

For details, please see the report at the link above. Premium subscribers have access to the code used in this project as well as the micro-detailed configuration information for the solution. To learn about subscription options, please contact us.

 

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