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FPGA Acceleration of MultiFactor CDO Pricing

Published:01 May 2011Publication History
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Abstract

The last decade has seen a significant growth in the financial industry. The recent widespread use of Internet technology has increased the accessibility of the general population to financial data, thereby increasing the average portfolio size. This increase, compounded by the need for accurate real-time results, has led to a rising demand for faster risk simulations. Often, accurately pricing widespread instruments, such as Collateralized Debt Obligations (CDOs), can take excessively long due to their multifactor assets dependency. We present a hardware implementation for a MultiFactor Gaussian Copula (MFGC) CDO pricing algorithm. Through a detailed benchmark exploration we demonstrate how reconfigurable hardware could be used to exploit fine-grain parallelism. Our results show that our implementation mapped onto a Xilinx Virtex 5 (XC5VSX50T) FPGA is over 71 times faster than corresponding software running on a single core 3.4 GHz Intel Xeon processor.

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    • Published in

      cover image ACM Transactions on Reconfigurable Technology and Systems
      ACM Transactions on Reconfigurable Technology and Systems  Volume 4, Issue 2
      May 2011
      216 pages
      ISSN:1936-7406
      EISSN:1936-7414
      DOI:10.1145/1968502
      Issue’s Table of Contents

      Copyright © 2011 ACM

      Publisher

      Association for Computing Machinery

      New York, NY, United States

      Publication History

      • Published: 1 May 2011
      • Accepted: 1 March 2010
      • Revised: 1 February 2010
      • Received: 1 August 2009
      Published in trets Volume 4, Issue 2

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