JP Morgan Buys Into FPGA Supercomputing

By Michael Feldman

July 13, 2011

One of the largest financial institutions in the world is using FPGA-based supercomputing for analyzing some of its largest and most complex credit derivative portfolios. JP Morgan, along with Maxeler Technologies, has built and deployed a state-of-the art HPC system capable of number-crunching the company’s collateralized debt obligation (CDO) portfolio in near real-time.

CDOs are instruments in which the credit assets are divided into different bundles or tranches, according to their relative risk of default. During the credit crisis of 2007-2008, CDO valuation tanked as the value of the underlying assets, mostly mortgages, fell off a cliff. Part of the problem was that many of the computer models didn’t assess the risk parameters of the various mortgages correctly. The less obvious aspect was that these instruments were so complex that it was difficult for the models using traditional computer technology to analyze these portfolios effectively.

With the credit crisis in full swing in 2008, Stephen Weston joined JP Morgan’s London office, heading up a team devoted to making the company’s financial algorithms and models run more effectively. In what started out as a blue-sky technology project almost three years ago, Weston’s group has implemented a production-ready solution that speeds up the company’s CDO risk models by a factor of more than 130. “This, to us, is a step change,” said Weston, talking about the project during a presentation at Stanford University in May.

Execution time was the critical factor. Prior to the FPGA solution, JP Morgan’s main risk model for analyzing their CDO portfolio took 8 to 12 hours to complete — an overnight run requiring a cluster of thousands of x86 cores. If the model failed to execute correctly, there was no time to resubmit the application for that day. Worse yet, the credit risks and valuation are in constant flux. That snapshot of the previous day may no longer be useful. “It was a bit like driving your car on the freeway at 90 miles per hour by looking in the rear view mirror,” said Weston. “It could be fun, but there’s a high probability it could be a destructive activity.”

With the speedup, the same risk model took four minutes, with the FPGA processing eating up just 12 seconds of that. It’s not just that they could run the models faster though. The better performance allowed them to run multiple trading/risk scenarios throughout the day. So traders can evaluate more scenarios using different combinations of default criteria. In a nutshell, the time compression allowed JP Morgan to get a better handle on the risk profile of their CDO assets.

In general, porting legacy applications like these financial risk models to FPGAs is no small task. Programming them with low-level VHDL, the traditional programming language of FPGAs, is time-consuming, tedious, and generally unsuited for application developers. Weston knew that it would be a tough sell to convince the quants and management types at the company that this could be a viable solution for a production environment.

In fact, initially JP Morgan looked at GPUs for acceleration. They ported one of their models to the graphics architecture and were able to get a 14- to 15-fold performance boost. But they thought they could do even better with FPGAs. The problem was that it was going to take about 6 months for an initial port. That’s when they went to Maxeler and initiated a proof-of-concept engagement with them.

Maxeler is a London-based technology vendor specializing in FPGA acceleration for high performance computing applications. Unlike most FPGA vendors though, Maxeler offers a vertically integrated solution: hardware, high-level compilers (Java), runtime support, development tools, and FPGA porting expertise. As such, the company is able to meet application programmers on their own turf and help them navigate the eccentricities of FPGA software development. At least, that’s Maxeler’s pitch.

With JP Morgan, it all seemed to work. With Maxeler’s help, Weston’s group was able to port the time-critical, compute-intensive pieces of their C++ risk model (the Copula and Convoluter kernels, in particular) to the FPGA platform in about 3 months. The end result was something Weston felt was sustainable for their production environment.

Part of the effort to port to risk model involved redesigning the original C++ code, which was chock full of templates and objects. Those languages structures are great for application abstraction, said Weston, but they effectively kill parallelism, and thus performance. So the first phase of the code migrations was to remove all uses of classes, templates, and other C++ abstractions that got in the way of parallelization.

With the lower level code exposed, it became much simpler to tease out the parallelism that could be exploited by the FPGAs.  In this case, the flattened C++ source was ported to Java, which the Maxeler compiler is able to convert to VHDL.

Hardware-wise, the final target system is a 40-node hybrid HPC cluster from Maxeler. Each node houses eight Xeon cores hooked up to two Xilinx Virtex-5 (SX240T) FPGAs via PCIe links. Memory is split between the CPU (24GB) and the two FPGAs (12 GB each). Two terabytes of hard disk storage are hung off an Ethernet connection.

The advantage of the FPGA is that it is built for parallelism and allow the application to be intimately mapped onto the hardware. The devices are especially suited to applications that can exploit fine-grained parallelism and very deep pipelines. Unlike linear computations on fast CPUs (~2.6 GHz), parallel computation on slower FPGAs (~200 MHz) can yield many more calculations per watt. As Weston put it, “We went from computing in time to computing in space.”

Right now the company is in the final stages of the project to integrate it with the rest of their production infrastructure. They are also looking to move the technology into other areas of their business like FX trading and high frequency trading, and in some cases are seeing even better performance improvements. Their Monte Carlo model, for example, was able to realize a 260- to 280-fold speedup using FPGA acceleration.

Apparently JP Morgan feels bullish enough about the technology to warrant a direct investment. In March, they acquired a 20 percent stake in Maxeler for an undisclosed amount. Although the investment is probably just a rounding error for the financial giant, it signals company’s interest in making sure Maxeler’s intellectual assets are intact.

There is certainly plenty of room to expand the Maxeler footprint at JP Morgan. To run all aspects of their financial business, the company currently has 14 thousand applications running on 50 thousand servers spread across more than 42 datacenters worldwide. Only a fraction of those applications will be amenable to acceleration, but each one has the potential to raise the company’s bottom line.

“If we can compress the space, the time and the energy required to do these calculations, then it has hard business value for us,” noted Weston. “It gives us, ultimately, a competitive edge.”

Subscribe to HPCwire's Weekly Update!

Be the most informed person in the room! Stay ahead of the tech trends with industy updates delivered to you every week!

UT Dallas Grows HPC Storage Footprint for Animation and Game Development

October 28, 2020

Computer-generated animation and video game development are extraordinarily computationally intensive fields, with studios often requiring large server farms with hundreds of terabytes – or even petabytes – of storag Read more…

By Staff report

Frame by Frame, Supercomputing Reveals the Forms of the Coronavirus

October 27, 2020

From the start of the pandemic, supercomputing research has been targeting one particular protein of the coronavirus: the notorious “S” or “spike” protein, which allows the virus to pry its way into human cells a Read more…

By Oliver Peckham

AMD Reports Record Revenue and $35B Deal to Buy Xilinx

October 27, 2020

AMD this morning reported record quarterly revenue of $2.8 billion and a finalized deal to buy FPGA-maker Xilinx for $35 billion in an all-stock transaction. The acquisition helps AMD keep pace during a time of consolida Read more…

By John Russell

Nvidia-Arm Deal a Boon for RISC-V?

October 26, 2020

The $40 billion blockbuster acquisition deal that will bring chip maker Arm into the Nvidia corporate family could provide a boost for the competing RISC-V architecture. As regulators in the U.S., China and the Europe Read more…

By George Leopold

OpenHPC Progress Report – v2.0, More Recipes, Cloud and Arm Support, Says Schulz

October 26, 2020

Launched in late 2015 and transitioned to a Linux Foundation Project in 2016, OpenHPC has marched quietly but steadily forward. Its goal “to provide a reference collection of open-source HPC software components and bes Read more…

By John Russell

AWS Solution Channel

Rapid Chip Design in the Cloud

Time-to-market and engineering efficiency are the most critical and expensive metrics for a chip design company. With this in mind, the team at Annapurna Labs selected Altair AcceleratorRead more…

Intel® HPC + AI Pavilion

Berlin Institute of Health: Putting HPC to Work for the World

Researchers from the Center for Digital Health at the Berlin Institute of Health (BIH) are using science to understand the pathophysiology of COVID-19, which can help to inform the development of targeted treatments. Read more…

NASA Uses Supercomputing to Measure Carbon in the World’s Trees

October 22, 2020

Trees constitute one of the world’s most important carbon sinks, pulling enormous amounts of carbon dioxide from the atmosphere and storing the carbon in their trunks and the surrounding soil. Measuring this carbon sto Read more…

By Oliver Peckham

AMD Reports Record Revenue and $35B Deal to Buy Xilinx

October 27, 2020

AMD this morning reported record quarterly revenue of $2.8 billion and a finalized deal to buy FPGA-maker Xilinx for $35 billion in an all-stock transaction. Th Read more…

By John Russell

OpenHPC Progress Report – v2.0, More Recipes, Cloud and Arm Support, Says Schulz

October 26, 2020

Launched in late 2015 and transitioned to a Linux Foundation Project in 2016, OpenHPC has marched quietly but steadily forward. Its goal “to provide a referen Read more…

By John Russell

Nvidia Dominates (Again) Latest MLPerf Inference Results

October 22, 2020

The two-year-old AI benchmarking group MLPerf.org released its second set of inferencing results yesterday and again, as in the most recent MLPerf training resu Read more…

By John Russell

HPE, AMD and EuroHPC Partner for Pre-Exascale LUMI Supercomputer

October 21, 2020

Not even a week after Nvidia announced that it would be providing hardware for the first four of the eight planned EuroHPC systems, HPE and AMD are announcing a Read more…

By Oliver Peckham

HPE to Build Australia’s Most Powerful Supercomputer for Pawsey

October 20, 2020

The Pawsey Supercomputing Centre in Perth, Western Australia, has had a busy year. Pawsey typically spends much of its time looking to the stars, working with a Read more…

By Oliver Peckham

DDN-Tintri Showcases Technology Integration with Two New Products

October 20, 2020

DDN, a long-time leader in HPC storage, announced two new products today and provided more detail around its strategy for integrating DDN HPC technologies with Read more…

By John Russell

Is the Nvidia A100 GPU Performance Worth a Hardware Upgrade?

October 16, 2020

Over the last decade, accelerators have seen an increasing rate of adoption in high-performance computing (HPC) platforms, and in the June 2020 Top500 list, eig Read more…

By Hartwig Anzt, Ahmad Abdelfattah and Jack Dongarra

Nvidia and EuroHPC Team for Four Supercomputers, Including Massive ‘Leonardo’ System

October 15, 2020

The EuroHPC Joint Undertaking (JU) serves as Europe’s concerted supercomputing play, currently comprising 32 member states and billions of euros in funding. I Read more…

By Oliver Peckham

Supercomputer-Powered Research Uncovers Signs of ‘Bradykinin Storm’ That May Explain COVID-19 Symptoms

July 28, 2020

Doctors and medical researchers have struggled to pinpoint – let alone explain – the deluge of symptoms induced by COVID-19 infections in patients, and what Read more…

By Oliver Peckham

Nvidia Said to Be Close on Arm Deal

August 3, 2020

GPU leader Nvidia Corp. is in talks to buy U.K. chip designer Arm from parent company Softbank, according to several reports over the weekend. If consummated Read more…

By George Leopold

Intel’s 7nm Slip Raises Questions About Ponte Vecchio GPU, Aurora Supercomputer

July 30, 2020

During its second-quarter earnings call, Intel announced a one-year delay of its 7nm process technology, which it says it will create an approximate six-month shift for its CPU product timing relative to prior expectations. The primary issue is a defect mode in the 7nm process that resulted in yield degradation... Read more…

By Tiffany Trader

Google Hires Longtime Intel Exec Bill Magro to Lead HPC Strategy

September 18, 2020

In a sign of the times, another prominent HPCer has made a move to a hyperscaler. Longtime Intel executive Bill Magro joined Google as chief technologist for hi Read more…

By Tiffany Trader

HPE Keeps Cray Brand Promise, Reveals HPE Cray Supercomputing Line

August 4, 2020

The HPC community, ever-affectionate toward Cray and its eponymous founder, can breathe a (virtual) sigh of relief. The Cray brand will live on, encompassing th Read more…

By Tiffany Trader

10nm, 7nm, 5nm…. Should the Chip Nanometer Metric Be Replaced?

June 1, 2020

The biggest cool factor in server chips is the nanometer. AMD beating Intel to a CPU built on a 7nm process node* – with 5nm and 3nm on the way – has been i Read more…

By Doug Black

Aurora’s Troubles Move Frontier into Pole Exascale Position

October 1, 2020

Intel’s 7nm node delay has raised questions about the status of the Aurora supercomputer that was scheduled to be stood up at Argonne National Laboratory next year. Aurora was in the running to be the United States’ first exascale supercomputer although it was on a contemporaneous timeline with... Read more…

By Tiffany Trader

Is the Nvidia A100 GPU Performance Worth a Hardware Upgrade?

October 16, 2020

Over the last decade, accelerators have seen an increasing rate of adoption in high-performance computing (HPC) platforms, and in the June 2020 Top500 list, eig Read more…

By Hartwig Anzt, Ahmad Abdelfattah and Jack Dongarra

Leading Solution Providers

Contributors

European Commission Declares €8 Billion Investment in Supercomputing

September 18, 2020

Just under two years ago, the European Commission formalized the EuroHPC Joint Undertaking (JU): a concerted HPC effort (comprising 32 participating states at c Read more…

By Oliver Peckham

Nvidia and EuroHPC Team for Four Supercomputers, Including Massive ‘Leonardo’ System

October 15, 2020

The EuroHPC Joint Undertaking (JU) serves as Europe’s concerted supercomputing play, currently comprising 32 member states and billions of euros in funding. I Read more…

By Oliver Peckham

Google Cloud Debuts 16-GPU Ampere A100 Instances

July 7, 2020

On the heels of the Nvidia’s Ampere A100 GPU launch in May, Google Cloud is announcing alpha availability of the A100 “Accelerator Optimized” VM A2 instance family on Google Compute Engine. The instances are powered by the HGX A100 16-GPU platform, which combines two HGX A100 8-GPU baseboards using... Read more…

By Tiffany Trader

Microsoft Azure Adds A100 GPU Instances for ‘Supercomputer-Class AI’ in the Cloud

August 19, 2020

Microsoft Azure continues to infuse its cloud platform with HPC- and AI-directed technologies. Today the cloud services purveyor announced a new virtual machine Read more…

By Tiffany Trader

Oracle Cloud Infrastructure Powers Fugaku’s Storage, Scores IO500 Win

August 28, 2020

In June, RIKEN shook the supercomputing world with its Arm-based, Fujitsu-built juggernaut: Fugaku. The system, which weighs in at 415.5 Linpack petaflops, topp Read more…

By Oliver Peckham

HPE, AMD and EuroHPC Partner for Pre-Exascale LUMI Supercomputer

October 21, 2020

Not even a week after Nvidia announced that it would be providing hardware for the first four of the eight planned EuroHPC systems, HPE and AMD are announcing a Read more…

By Oliver Peckham

DOD Orders Two AI-Focused Supercomputers from Liqid

August 24, 2020

The U.S. Department of Defense is making a big investment in data analytics and AI computing with the procurement of two HPC systems that will provide the High Read more…

By Tiffany Trader

Oracle Cloud Deepens HPC Embrace with Launch of A100 Instances, Plans for Arm, More 

September 22, 2020

Oracle Cloud Infrastructure (OCI) continued its steady ramp-up of HPC capabilities today with a flurry of announcements. Topping the list is general availabilit Read more…

By John Russell

  • arrow
  • Click Here for More Headlines
  • arrow
Do NOT follow this link or you will be banned from the site!
Share This