STAC Report: STAC-A2 (derivatives risk) on Intel Sapphire Rapids

Sapphire Rapids improves on Ice Lake’s throughput, speed, and efficiency.

26 September 2023

STAC recently performed the first STAC-A2 Benchmark tests on Intel’s Sapphire Rapids CPUs. The stack featured 2 x Intel® Xeon® Platinum 8480+ (Sapphire Rapids) processors at 2.0 GHz in a QuantaGrid D54Q-2U system with 1 TiB of memory and running Fedora Linux 38 (Server Edition). The server had patches applied to mitigate Spectre & Meltdown security vulnerabilities.

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).

Intel wished to highlight several results from this report:

• Compared to a similar 2-socket system using Intel® Xeon® Platinum 8380 (Ice Lake) processors and previous versions of the oneAPI toolkits (SUT ID INTC210315), this solution delivers:
• 1.43x the throughput¹
• 1.53x the speed in warm runs of the large problem size²
• 1.26x the speed in warm runs of the baseline problem size³
• 1.38x the space efficiency⁴
• 1.10x the energy efficiency⁵
• 1.13x the number of correlated assets simulated in 10 minutes⁶

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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¹STAC-A2.β2.HPORTFOLIO.SPEED
²STAC-A2.β2.GREEKS.10-100k-1260TIME.WARM
³STAC-A2.β2.GREEKS.TIME.WARM
⁴STAC-A2.β2.HPORTFOLIO.SPACE_EFF
⁵STAC-A2.β2.HPORTFOLIO.ENERG_EFF
⁶STAC-A2.β2.GREEKS.MAX_ASSETS