Bloomberg Uses GPUs to Speed Up Bond Pricing
Each night, Bloomberg calculates pricing for 1.3 million hard-to-price asset-backed securities such as collateralized mortgage obligations (including cash flows, key rate duration and such). Since 1996, the market news giant has performed these calculations — single-factor stochastic models based on Monte Carlo simulations — on a farm of Linux servers in its data centers in New York and New Jersey. "These models are ideal for doing things in parallel, and we did parallelize them over traditional x86 Linux computers," says CTO Shawn Edwards.
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Bloomberg went live in 2009 running its two-factor models on a farm of traditional servers paired with nVidia Tesla GPUs. Instead of having to scale up to 1,000 servers, Bloomberg is using 48 server/GPU pairs.
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"Overall, we've achieved an 800% performance increase," Edwards says. "What used to take sixteen hours we're computing in two hours."
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