September 24, 2009

Bloomberg Uses GPUs to Speed Up Bond Pricing

Penny Crosman

Financial firm turns to GPU computing to run pricing models.

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.

Full story at Wall Street & Technology

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