Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture

TL;DR

This paper presents a framework combining Premia, Nsp, and MPI to efficiently evaluate financial derivatives on clusters, enabling testing of parallel architectures for large-scale risk management computations.

Contribution

It introduces an integrated system embedding Premia into Nsp with MPI support, facilitating large-scale derivative pricing on parallel computing architectures.

Findings

Efficient valuation of multiple derivatives on clusters.

Framework enables testing of parallel architecture performance.

Demonstrates practical integration of financial software with high-performance computing tools.

Abstract

Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like architecture. We have used the Premia software to valuate the financial derivatives. In this work, we explain how Premia can be embedded into Nsp, a scientific software like Matlab, to provide a powerful tool to valuate a whole portfolio. Finally, we have integrated an MPI toolbox into Nsp to enable to use Premia to solve a bunch of pricing problems on a cluster. This unified framework can then be used to test different parallel architectures.