LIBOR Market Model Simulation on an FPGA Parallel Machine

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Provided by: Institute of Electrical & Electronic Engineers
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In this paper, the authors present a high performance scalable FPGA design and implementation of an interest rate derivative pricing engine that targets on the cap pricing. The design consists of a Gaussian random number generator, based on the Mersenne Twister uniform random generator, and a Monte Carlo path generation engine which calculates the prices of an interest rate derivative based on the LIBOR market model. They implemented this design on the Maxwell FPGA supercomputer using up to 32 Xilinx XC4VFX100 FPGA nodes.
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