Exclusive Online Only ContentBloomberg Begins Using Graphics Processors to Calculate Bond Prices
September 23, 2009
Bloomberg said it had become the first major supplier of market data to commit to and begin using graphical processing units, to speed up the calculation of security prices.
Shawn Edwards, chief technology officer of the New York supplier of trading terminals and market information, said Wednesday that the company began to use Tesla cards from Nvidia to calculate prices on 1.3 million bonds each night as part of its pricing of asset-backed securities.
Bloomberg, he said, had been using 800 "x86-type core" processors in a modeling approach that put each bond through three different future event scenarios and 32 different potential “interest rate paths” that might follow. A new modeling tack that would run bonds through 19 scenarios and 256 paths each was likely to require 8,000 such processors.
Instead, Bloomberg employed 48 Tesla cards, each of which can execute close to a trillion calculations a second.
Each card is sized to fit inside a personal computer. Nvidia’s graphics processors have been used to power machines used by advanced video games and game players.
The use of the graphics cards meant Bloomberg could install the equivalent of 96 new blade servers, instead of 1,000. That cut expected power consumption by two-thirds and overall space needs by 75 percent.
The switchout saved nothing in the portion of the process where Bloomberg gathers the data that gets fed into the pricing engine. The speed-up, Edwards said, comes from increasing the speed of the 90% of the process, where cash flow that can be expected to be generated by the bonds is calculated.
The injection of graphical processing units into the calculations, which Bloomberg has not discussed before now, took place in March 2008, Edwards said.
