STAC Report: STAC-A2 (derivatives risk) on 448 cores with Intel Omni-Path

New records for throughput and space efficiency, as well as performance in the large problem size

23 October 2018

STAC recently performed STAC-A2 benchmark tests on a cluster consisting of 448 CPU cores coordinated as a single unit of compute via Intel MPI and Intel Threading Building Blocks (part of Intel Parallel Studio XE 2018 Update 3). The hardware consisted of 2 x Dell EMC PowerEdge C6400 chassis, each with 4 x Dell EMC PowerEdge C6420 server sleds, each of which in turn had 2 x Intel Xeon Platinum 8176F processors, all interconnected via a Dell Networking H1048-OPF switch using the Intel Omni-Path Architecture.

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 other publicly reported STAC-A2 results to date, this solution delivered:

  • The highest throughput of any solution (STAC-A2.β2.HPORTFOLIO.SPEED)
    • 56% higher than the best throughput from a solution using GPUs (SUT ID NVDA171020)
  • The highest space efficiency of any solution (STAC-A2.β2.HPORTFOLIO.SPACE_EFF)
    • 36% higher than SUT ID NVDA171020
  • The fastest WARM time in the large problem size (STAC-A2.β2.10-100K-1260.TIME.WARM)
    • 2.5x the speed of SUT ID NVDA171020
  • The fastest COLD time in the large problem size (STAC-A2.β2.10-100K-1260.TIME.COLD)
    • 63% faster than SUT ID NVDA171020
  • The largest basket size achieved for any solution (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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