STAC Report: STAC-A2 on Skylake

2.89x the speed of previous generation x86 solution in warm runs of baseline Greeks

3 October 2017

STAC recently performed STAC-A2 Benchmark tests on a stack consisting of Intel Composer XE on 2 x 28-core Intel Xeon Platinum 8180 (Skylake) processors @ 2.5GHz on the Intel Purley 2S Software Development Platform. 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).

Compared to a similar 2-socket system using the previous-generation of x86 processor, the Intel Xeon E5-2699 v4 (Broadwell EP), this system based on the Intel Xeon Platinum 8180 (Skylake) processor was:

  • 2.89x faster in warm runs of the baseline GREEKS benchmark (STAC-A2.β2.GREEKS.TIME.WARM)
  • 4.62x faster in warm runs of the large problem size (STAC-A2.β2.GREEKS.10-100k-1260.TIME.WARM)
  • 27% higher in max assets (STAC-A2.β2.GREEKS.MAX_ASSETS)

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

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