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Using Premia and Nsp for constructing a risk management benchmark for testing parallel architecture

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SUMMARY

Financial institutions have massive computations to carry out overnight, which are very CPU demanding. The challenge is to price many different products on a cluster-like architecture. We have used the Premia software to valuate the financial derivatives. In this work, we explain how Premia can be embedded into Nsp, a scientific software like MATLAB, to provide a powerful tool to valuate a whole portfolio. Finally, we have integrated an Message Passing Interface (MPI) toolbox into Nsp to enable the use of Premia to solve a bunch of pricing problems on a cluster. This unified framework can then be used to test different parallel architectures. Copyright © 2012 John Wiley & Sons, Ltd.

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