Murex Analytics on Tesla GPUs

For twenty five years Murex has focused exclusively on developing software platforms and technologies for the capital markets. The Murex trading platform enables trading, risk management, and trade execution across multiple asset classes for over 36,000 users at over 200 institutions in 65 countries.

Murex MACS Murex's clients are increasingly demanding massive acceleration for fast and accurate calculation of pricing and risk sensitivities. In response Murex has invested heavily in targeting NVIDIA GPUs for high-performance computing using the Murex MACS analytics library. The MACS analytics library provides valuation models and sensitivities (greeks) for complex structured securities.

Murex Presentation: Practical Methods Beyond Monte Carlo in Finance GPU Technology Conference 2010

The Value of GPUs
Using NVIDIA Tesla GPUs, Murex has achieved speedups of between 60 and 400 times using MACS in a grid environment, making it possible to manage books of complex exotic products in near real time, instead of only computing analytics once or twice a day.

As a result MACS clients can enjoy more accurate and timely risk management.

Murex MACS can spend the bulk of its cycles on several types of computations: Monte Carlo simulations, PDE solvers, and numerical calibration. As a result, highly accurate and fast double precision calculations, along with the robustness of ECC memory, are must-have hardware requirements for most banking customers.

Figure 1 - Time to price a 15 year cancellable range accrual on a CMS (Constant Maturity Swap) Spread, using a 2-factor HJM (Heath-Jarrow-Morton) model with 1 million Monte Carlo simulation paths. The model uses a full term structure for volatilities and includes calibration of correlations.

Figure 2 - Time to compute over 150 sensitivities of a cancellable range accrual on a CMS 30Y & 3M basis (30 year Constant Maturity Swap, reset quarterly) priced with a Markov functional PDE model. The SABR input smile, mean reversion and term structure of volatilities are numerically recalibrated for each market data bump.

Murex develops and tests on datacenter solutions equipped with the latest Tesla 10-series and 20-series GPU products. Tesla solutions are designed to deliver the highest computational performance with the most reliable numerical accuracy, while also providing tools and features to deliver the level of enterprise support and manageability demanded by banking IT professionals. Tesla datacenter products are available and supported by the world's leading professional system manufacturers.

NVIDIA Tesla products are available from all major OEMs. Only Tesla GPU computing products are designed and qualified for compute grid and cluster deployment.