STAC Report: AWS c5.metal under STAC-A2 (derivatives risk)

First STAC audit of bare metal in a public cloud for HPC

8 November 2022

STAC recently performed STAC-A2 Benchmark tests on Intel’s Cascade Lake processors in a bare metal AWS instance. 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).

The stack consisting of the STAC-A2 Pack for Intel® oneAPI (Rev N) on a single c5.metal Amazon Web Services instance with 2 x Intel® Xeon® Platinum 8275CL (Cascade Lake) processors and 192 GiB of DRAM.

Intel wished to highlight several results from this report:

  • Compared to a cloud-based solution involving 10 instances, each with Intel 2nd Generation Xeon (Cascade Lake) vCPUs (SUT ID INTC210331), this solution:
    • Completed 1.1x the options per dollar over a 1 hour burst and a 3 day period
    • Completed 1.2x the options per dollar (reflecting reserve instance pricing discounts) over a 1 year period
  • Compared to an on-premises solution involving 2 x Intel Xeon Platinum 8180 (Skylake) CPUs and a previous generation of the Intel-authored STAC Pack (SUT ID INTC190401), this solution:
    • Had 2x the throughput (STAC-A2.β2.HPORTFOLIO.SPEED)
    • Was 2.4x the speed in cold runs and 1.74x faster in warm runs of the baseline problem size
    • Was 2.3x the speed in the cold and warm runs of the large problem size
      (STAC-A2.β2.GREEKS.10-100k-1260TIME.COLD and .WARM)
    • Handled 2.3x the paths in the max paths test (5,000,000 vs 2,200,000 paths)
    • Handled 1.3x the assets in the max assets test (105 vs 90 assets)

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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