Monday, July 11, 2011

JP Morgan supercomputer offers risk analysis in near real-time - ComputerworldUK

JP Morgan supercomputer offers risk analysis in near real-time - ComputerworldUK: Prior to the implementation, JP Morgan would take eight hours to do a complete risk run, and an hour to run a present value, on its entire book. If anything went wrong with the analysis, there was no time to re-run it.


It has now reduced that to about 238 seconds, with an FPGA time of 12 seconds...

Instead of using existing standard multi-core machines, JP Morgan adopted FPGA technology to enable it to ‘pipeline’ instructions.

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