Julia Computing has recently completed an initial implementation of the STAC-A2 benchmark. STAC-A2 is an industry standard benchmark suite for testing compute-intensive analytic workloads for options pricing and risk management. The primary application defined in the STAC-A2 benchmark consists of the computation of various “Greeks”, derivatives of the calculus variety, for a particular type of exotic option, derivatives of the financial variety. The main benchmark includes a Monte Carlo simulation of the underlying security using the Andersen QE formulation of the Heston stochastic volatility model followed by American-exercise pricing of the option using the Longstaff and Schwartz method. The particular option being evaluated is a lookback, best-of option pricing a basket of securities. The benchmark tests scaling of an implementation by discretizing the simulation over a cube of time-steps, Monte Carlo paths, and number of assets in the current basket.
The initial Julia implementation of the STAC-A2 benchmark is a single process, single threaded implementation of the benchmark using Julia 0.4.5 on an Amazon Web Services (AWS) Elastic Compute Cloud (EC2) r3.2xlarge server. This initial Julia implementation mirrors the sequential algorithms of the example STAC-A2 reference model. Access is available to the unaudited report, configuration disclosure, and code for the current Julia implementation to STAC members with a premium subscription.
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