STAC Report: STAC-A2 on 2-socket and 4-socket Intel Ivy Bridge systems
4-socket Xeon beats a system using GPUs to become fastest system tested to date.
19 May 2014 - New York
STAC recently tested 2-socket "Ivy Bridge EP" and 4-socket "Ivy Bridge EX" systems from Intel against STAC-A2, the user-developed benchmark standard based on financial market risk analysis. The STAC Reports are now available here:
In addition, qualified STAC members may access the detailed STAC Configuration Disclosures and micro-detailed SOS reports here*:
STAC-A2 is a rigorous benchmark suite developed by quants and technologists from some of the world's largest banks. It 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).
Those of you who follow STAC-A2 will know that over the past 18 months, we have used it to test several configurations involving CPUs, GPUs, and Intel's Xeon Phi co-processor (some results are public, and some are in the STAC Vault). Following the last STAC Report on an Intel system, Intel re-optimized its benchmark implementation (qualified STAC members can access the new code). This month we tested that new implementation on a 2-socket Ivy Bridge system and a 4-socket Ivy Bridge EX system, the first time the latter has been tested. Highlights:
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The 4-socket system set new records. It was the fastest in the end-to-end Greeks benchmark (STAC-A2.beta2.GREEKS.TIME) of any system published to date, beating the average speed of the next fastest system (which used GPUs) by 34%. In the capacity tests, this system also handled 63% more assets and 58% more paths than the GPU-based system, which held the previous record. (Assets and paths are key dimensions of the problem size.)
- The 2-socket results were significantly better than those reported on a similar (but not identical) 2-socket system we tested last year: over 4x speedup for the average end-to-end Greeks benchmark, over 2x the paths capacity, and over 62% more assets capacity.
Intel will discuss their new code optimizations at the upcoming STAC Summits in Chicago, London, and New York. If you work with C++ in computational finance, you'll benefit from attending.
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