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)