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
  (STAC-A2.β2.HPORTFOLIO.PRICE_PERF.BURST and .PERIODIC)
• Completed 1.2x the options per dollar (reflecting reserve instance pricing discounts) over a 1 year period
  (STAC-A2.β2.HPORTFOLIO.PRICE_PERF.CONTINUOUS)
• 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
  (STAC-A2.β2.GREEKS.TIME.COLD and .WARM)
• 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)
  (STAC-A2.β2.GREEKS.MAX_PATHS)
• Handled 1.3x the assets in the max assets test (105 vs 90 assets)
  (STAC-A2.β2.GREEKS.MAX_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.