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September 24, 2009

Bloomberg Uses GPUs to Speed Up Bond Pricing

Penny Crosman

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