Using Premia And Nsp For Constructing A Risk Management Benchmark For Testing Parallel Architecture
Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like architecture. The authors have used the Premia software to evaluate the financial derivatives. In this work, they explain how Premia can be embedded into Nsp, scientific software like Matlab, to provide a powerful tool to evaluate a whole portfolio. Finally, they have integrated an MPI toolbox into Nsp to enable to use Premia to solve a bunch of pricing problems on a cluster. This unified framework can then be used to test different parallel architectures.