STAC Report: STAC-A2 (derivatives risk) on 8 GPUs in an HPE XL270d Gen10

Latest NVIDIA-based HPE system sets new records

3 December 2018

STAC recently performed STAC-A2 (derivatives risk) benchmark tests on a stack consisting of CUDA 9.2 and 8 x NVIDIA Tesla V100 (Volta) SXM2 32GiB GPUs in an HPE ProLiant XL270d Gen10 server running Red Hat Enterprise Linux 7.5.

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).

HPE and NVIDIA wished to highlight several results from this report, listed below. (See the report for additional highlights and the full results.)

Compared to other publicly reported STAC-A2 results to date, this solution based on just a single server, delivered:

• The fastest warm time in the baseline Greeks benchmark (STAC-A2.β2.GREEKS.TIME.WARM)
  • 80% faster than the best result from a non-NVIDIA-based solution (SUT ID INTC181012)
• The highest maximum paths (STAC-A2.β2.GREEKS.MAX_PATHS)
  • 48% higher than the best result from a solution based solely on standard CPUs (INTC150811)
• 43% higher energy efficiency (STAC-A2.β2.HPORTFOLIO.ENERG_EFF) than the best non-NVIDIA based solution (SUT ID INTC181012)

Compared to all other publicly reported solutions that used just one server, this solution delivered:

• The highest throughput (STAC-A2.β2.HPORTFOLIO.SPEED)
• The fastest warm and cold times in the large problem size (STAC-A2.β2.10-100K-1260.TIME.WARM & STAC-A2.β2.10-100K-1260.TIME.COLD)
• The largest basket size (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.