Video: Extreme GPU Speedups on Monte-Carlo LIBOR Swaption Pricing

In this video, Xcelerit co-Founder & CEO Hicham Lahlou shows the speedup achieved on multi-core CPU and GPU (compared to sequential) using the Xcelerit platform for pricing a LIBOR Swaption.

Monte-Carlo simulations are among the most common numerical methods in computational finance. This white paper shows the benefits of using the Xcelerit platform to easily implement efficient Monte-Carlo simulations using multi-core CPUs and graphics processing units (GPUs). The generic approach for Monte-Carlo simulations using the Xcelerit platform is presented and performance figures are given for the specific example of pricing a portfolio of LIBOR swaptions.

The LIBOR Market Model (LMM) is the industry standard model for pricing interest rate derivatives. To learn more about Xcelerit acceleration of this model, Download the whitepaper.

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  1. Monte-Carlo simulations using the Xcelerit platform is presented and performance figures are given for the specific example of pricing a portfolio of LIBOR swaptions.

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