Quantifi is a financial
software company. We develop trading and
risk management solutions for the financial markets. One of the biggest
challenges that banks face in the
marketplace is the risk that a counterparty may
default. For a mid-sized bank, calculating the
counterparty exposure can require over 25
trillion trade repricings. Each trade repricing can
in itself be quite complex. We tested our aggregation model. The test data we use
is a real world data based on a single counterparty
with several thousand trades. The aggregation model
calculates the total exposure for that counterparty
using three different ways. Running this test, we found that
the Intel Xeon Platinum 8180 processor is 1.47
times faster than the equivalent
previous generation processor with the same memory. To take advantage of
multicore processors, we use Intel threading
building blocks. That allows us to
speed up and optimize the core parts of our
system, and allows them to run faster on the higher
core count of newer processors. So one of the great
things about Intel TPB is how well it’s integrated
with Intel’s other tools, including Intel Parallel Studio. That means you can analyze the
performance as you tune it. We can improve the performance
of each trade using vectorization. Vectorization allows
one instruction to operate on multiple
data at the same time. Running our code with
vectorization enabled and disabled, we saw that we
got an increase of up to 35% in performance, depending
on the core count. We use [INAUDIBLE]
amplifier to help measure the performance in terms
of utilization of cores, and in terms of vectoization
within each thread. That allowed us to find
individual bottlenecks and steadily improve
performance over time. Our clients have been ecstatic
with the results we provided. Working with Intel, we’ve
been able to provide them with software that provides
more accurate results, and also reduces
their hardware costs. This has a very big
impact on their business.

Calculating Counterparty Exposure in the Financial Markets | Intel Software
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