Exploring Reconfigurable Architectures for Tree-Based Option Pricing Models
Exploring Reconfigurable Architectures for Tree-Based Option Pricing Models
复制标题
DOI：
10.1145/1575779.1575781
复制
发表时间：
2009-09
期刊：
影响因子：
--
通讯作者：
Qiwei Jin;David B. Thomas;W. Luk;Benjamin Cope
中科院分区：
文献类型：
--
作者：
Qiwei Jin;David B. Thomas;W. Luk;Benjamin Cope
本文探讨了可重构硬件在使用基于树的定价模型加速金融计算中的应用。基于二叉树和三叉树的期权评估并行流水线架构，支持独立期权的并发评估，实现高定价吞吐量。我们的研究结果表明，基于树的模型在82.7 MHz的Virtex 4现场可编程门阵列（FPGA）上执行，具有定点算法，比2.2 GHz的Core2 Duo处理器运行速度快160倍以上。FPGA的实现速度比nVidia Geforce 7900GTX处理器快两倍，具有24个管道，频率为650 MHz，比nVidia Geforce 8600GTS处理器慢27%- 35%，具有32个管道，频率为1450 MHz。我们的初步实验还表明，虽然FPGA实现可能比GPU慢，但考虑到功耗时，它可能更高效。
This article explores the application of reconfigurable hardware to the acceleration of financial computation using tree-based pricing models. Two parallel pipelined architectures have been developed for option valuation using binomial trees and trinomial trees, with support for concurrent evaluation of independent options to achieve high pricing throughput. Our results show that the tree-based models executing on a Virtex 4 field programmable gate array (FPGA) at 82.7 MHz with fixed-point arithmetic can run over 160 times faster than a Core2 Duo processor at 2.2 GHz. The FPGA implementation is two times faster than the nVidia Geforce 7900GTX processor with 24 pipelines at 650 MHz, and 27%--35% slower than the nVidia Geforce 8600GTS processor with 32 Pipelines at 1450 MHz. Our preliminary experiments also indicate that while an FPGA implementation can be slower than a GPU, it could be more efficient when power consumption is taken into account.