Overview

Monte-Carlo simulations are among the most common numerical methods in computational finance. This white paper shows the benefits of using the Xcelerit platform to easily implement efficient Monte-Carlo simulations using multi-core CPUs and graphics processing units (GPUs). The generic approach for Monte-Carlo simulations using the Xcelerit platform is presented and performance figures are given for the specific example of pricing a portfolio of LIBOR swaptions.

Speedups achieved for the LIBOR swaption pricer with greeks using 512K Monte-Carlo Paths in double precision mode (compared to a sequential version running on a single CPU core):

• GPU: 147X
• CPU: 10.8X

(Dual Intel Xeon E5620 CPU and Dual Nvidia Tesla M2050 GPU)