HPCwire: French Bank Takes On GPU Computing

The Leading Source for Global News and Information Covering the Ecosystem of High Productivity Computing

HPCwire >> Blogs

Blog: From the Editor

May 06, 2009

French Bank Takes On GPU Computing

This week's launch of NVIDIA's "Preconfigured GPU Clusters" program, which we covered on Monday, got me to thinking about how far and how fast GPUs have entered the HPC mainstream. To be sure, actual production deployments are not yet commonplace, at least not visibly so. And there's the rub. Most commercial firms would rather keep their use of cutting-edge technology hidden from competitors. For GPU computing in areas like financial services and oil & gas exploration, this is especially true.

That's why I was somewhat surprised when Paris-based BNP Paribas, a European banking and financial services company, granted me an audience with Stéphane Tyc, the head of Global Equities & Commodity Derivatives Quantitative Research in the firm's Corporate and Investment Banking Division. In March the company announced it was using NVIDIA gear and CUDA to speed up some of its pricing models.

Besides being open to talking about the company's adventures in GPU computing, I got a sense from Tyc that the financial services culture there was rather different from that in the US. For example, Tyc and his group are big advocates of open source and are encouraged to contribute to that effort. "When I have people on my team that want to contribute to free software -- that's great," he told me. Keep in mind that we're talking about a commercial organization that has to answer to investors and its financial customers. Although the analytics codes his team develops are all proprietary, they're willing to devote company time to improving open source tools and libraries.

The analytics software they've developed is an advanced version of Black-Scholes used to price hundreds of thousands of equity derivatives. The whole package is around a million lines of source, but the code they ported to CUDA -- a minimization procedure used to calibrate the parameters of Monte Carlo simulations -- is only one or two percent of the total. According to Tyc though, that single procedure uses about 10 percent of the processor cycles.

Accurate derivative pricing requires a lot of floating point horsepower, so the FP capability of the hardware is directly proportional to how fast it can deliver useful results. Using just two of the four GPUs on an NVIDIA S1070 board, they were able to achieve a 15-fold performance increase and a 100-fold power improvement in performance per watt in this one procedure.

Tyc noted that part of the performance pickup was a result of modifying the algorithm to use single precision floating point. For x86 CPUs, single and double precision operations execute at essentially the same speed, which tends to make a lot of developers lazy about choosing an efficient implementation. But for GPUs, single precision is 5 to 10 times faster, hence the motivation to change the algorithm.

The advantage to all this code noodling is that they can actually do pricing re-fits during the day. With a CPU-only platform, they would set the job to run overnight and collect the data the next day -- not an ideal situation for traders.

As of March, the CUDA-ized version of the pricing model hadn't been deployed for live trading, but Tyc was impressed enough to start thinking about porting more codes and making use of additional GPUs. One challenge for them is that a lot their software is written in Ada. (Apparently in France, style and elegance still count for something, even in software.) If they had used C or Fortran, they could have turned to PGI or CAPS, which offer tools that can transform these high-level languages into GPU code. For the time being, Tyc's team will probably continue to use the gold digger approach and manually convert the most computationally-intensive source into CUDA.

Longer term, they are looking at OpenCL as a way to get their GPU implementation onto a hardware-independent code base. Although the choices today for GPU computing are limited to NVIDIA and AMD(ATI), Intel is planning to launch its first GPU-like Larrabee chips within a year, and all three vendors are likely to offer OpenCL support. At that point platform independence could look much more attractive than it does today. As pleased as Tyc is about the early results from the NVIDIA solution, he said they would rather not be tied to a specific vendor and will certainly take a hard look at Larrabee when it shows up.

Posted by Michael Feldman - May 6 @ 12:23PM

(Digg, Technorati, more)

Discussion

There are 0 discussion items posted.

Join the Discussion

You must be a registered user in order to comment on HPCwire stories.

Members enjoy:

	Access to Special Content, including Podcasts, Webcasts, and Whitepapers and more!
	Ability to take an active role in the discussions that are shaping the HPC technology discipline!
	Special offers available only to HPCwire members!

Become a Registered User Today!

Registered Users Log in Here to Comment

Email Address:	Password (case sensitive)

Remember me	Forgot Password?

Michael Feldman

Michael Feldman is the editor of HPCwire.

More Michael Feldman

Feature Articles

The Week in Review

TACC's Ranger supercomputer celebrates its second year of enabling important research; Microsoft partners with NSF to bring cloud services to researchers; and NSF submits its fiscal year 2011 budget request. We recap those stories and more in our weekly wrapup.
Read More...

NASA Looks to Move Science Apps Into the Cloud

It seems only natural that the US space agency would be casting its eyes toward the clouds. Sure enough, NASA is now looking to cloud computing to optimize the operation of the agency's IT infrastructure for some of its science codes. Like many commercial businesses and government organizations, NASA is being asked to do more computing with fewer datacenter resources.
Read More...

Thoughts, Observations, Beliefs & Opinions About the NSF Supercomputer Centers

There is no such thing as an NSF (Supercomputer) Center and there never has been. There should be. What there are, in the words of Ed Hayes, then comptroller of NSF, are "NSF ASSISTED Supercomputer Centers." This is a double edged sword.
Read More...

Read more HPCwire features...

Top Headlines

IBM Releases Energy Efficient Power7 System

Feb 09 | eWeek Europe | Company says new high-end servers will deliver "intelligent performance." Read more...

Inductive Coupling Packs Flash Drive in a Chip

Feb 09 | EE Times | Wireless technology promises energy-efficient chip-to-chip communication. Read more...

IBM, Microsoft Help Create Montana Supercomputer

Feb 08 | eWeek | A new kind of Rocky Mountain high. Read more...

AMD Aims for GPUs in Mainstream Servers Starting 2012

Feb 08 | Computerworld | Chip maker hopes to bring CPU-GPU processors to servers in two years. Read more...

Graphene Transistors That Work at Blistering Speeds

Feb 05 | Technology Review | IBM has created graphene transistors that leave silicon ones in the dust. Read more...

Read more headlines...

Featured Whitepapers

Virtualization for Aggregation And The vSMP Architecture™

Jan 12 | | In-depth look at vSMP Foundation server virtualization technology, technical implementation, use cases and capabilities. The technical whitepaper provides an architectural overview and details on the three vSMP Foundation products: vSMP Foundation for SMP, vSMP Foundation for Cluster and vSMP Foundation for Cloud.

Copper Cable Technologies for High Performance Computing

Jan 18 | | This white paper discusses Gore’s copper cable assemblies, and how they continue to exceed the standards for providing reliable, cost-effective solutions for high-performance computer applications.

Appro Assists LLNL with Cluster Designed for Extreme Scale Visualization

Jan 11 | | LLNL is home to some of the fastest computers in the world. In 2012, LLNL expects to have the Sequoia supercomputing cluster operational with a projected performance of over 20 PFLOP/s. These systems will focus on strengthening the foundations of predictive simulation through running large suites of complex simulations and then comparing model predictions with experimental data. To visualize this project’s large amount of data, LLNL requested an Appro Supercomputing Cluster specifically designed to support interactive data analysis.

View the White Paper Library

Multimedia

Webcast: Virtualized Data Center Roundtable

Join this online panel discussion for live Q&A with leading industry experts, analysts, and end-users to discuss the latest innovations, best practices, barriers to implementation, and measurable benefits of server virtualization with a particular focus on today's real world solutions.

Webcast: Watch SC09 Birds of a Feather Video: Scalable Fault-Tolerant HPC Supercomputers

Learn about scalable fault-tolerant architectures and examples of energy efficient and scalable supercomputing clusters using dual QDR InfiniBand to combine capacity computing with network failover capabilities with the help of programming languages such as MPI and a robust Linux cluster management package.

Webcast: High Performance Computing for a Smarter Planet

LIVE@SCO9: The IBM team discusses new innovations in hardware, software and services that help clients better understand their workloads and get insight from their R&D efforts. Technology demonstrations include the soon-to-be-released Power7 HPC processor, the DCS990 system with 2.4 petabytes of storage, the xCAT management tool, secure HPC cloud computing and more. Winners of two HPCwire Readers' and Editors’ Choice Awards! Take the IBM virtual tour at SC09 or more information go online to: http://www-03.ibm.com/systems/deepcomputing/sc09.html