STAC Report: Multi-GPU Dell server under STAC-A2 (derivatives risk)
Dell’s first STAC-A2 sets 3 records.
25 October 2022
At last week’s New York STAC Summit, STAC announced the results of the first STAC-A2 Benchmark tests on a solution submitted by Dell Technologies. 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 consisted of the STAC-A2 Pack for CUDA (Rev G) using CUDA 11.6 on 4 x NVIDIA A100 (Ampere) SXM4 40GB GPUs in a Dell PowerEdge XE8545 server running Red Hat® Enterprise Linux 8.3.
Dell Technologies wished to highlight several results from this report:
- Compared to all publicly reported solutions to date, this solution set 3 records:
- The highest space efficiency (STAC-A2.β2.HPORTFOLIO.SPACE_EFF)
- The fastest cold times in the baseline Greeks benchmark (STAC-A2.β2.GREEKS.TIME.COLD)
- The fastest cold times in the large Greek benchmark (STAC-A2.β2.GREEKS.10-100k-1260TIME.COLD)
- Compared to a solution using twice as many GPUs with twice as much memory (SUT ID NVDA210914), this solution:
- Had 1.2x the space efficiency (STAC-A2.β2.HPORTFOLIO.SPACE_EFF)
- Was 2.9x the speed in the cold runs of the baseline Greeks benchmark (STAC-A2.β2.GREEKS.TIME.COLD)
- Was 1.1x the speed in the cold runs of the Greeks benchmark (STAC-A2.β2.GREEKS.10-100k-1260TIME.COLD)
- Was 67% of the speed in the warm runs of the baseline Greeks benchmark (STAC-A2.β2.GREEKS.TIME.WARM)
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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