This initiative involved a re-architecture of the calibration software and its port. The benefits are massive:
- Overall reduction of electrical consumption by a factor of 190
- Overall reduction of response times by a factor of 15
- Improved legibility of market prices by traders.
- Significant reduction in total cost of operation
- Significant reduction in environmental impact
Within BNP Paribas, one of the missions of Global Equities & Commodity Derivatives (GECD) is to manage portfolios of complex financial instruments. The GECD quantitative research team simulates the behaviour of financial markets and is constantly striving to improve the performance of the software. With this goal in mind, the team decided to take advantage of NVIDIA Tesla solutions for the calibration of some of our models' parameters, a process which involves their estimation based on raw financial instrument prices using numerical optimization algorithms.
“We are extremely pleased with these performances, which significantly exceed our initial expectations. We hope to transfer more calculations to the GPU architecture in the near future” says Stéphane Tyc, Head of GECD Quantitative Research, BNP Paribas CIB.
About BNP Paribas Corporate and Investment Banking
BNP Paribas Corporate and Investment banking division (http://cib.bnpparibas.com/) has almost 16,000 employees, deployed in 53 countries around the world. BNP Paribas CIB excels in three fundamental sectors in particular :
Derivatives - it is one of the leading global players in rates, credit, forex, commodity and equity derivatives
Capital markets - it is amongst the top ten Euro houses for both ECM and DCM (bond issues, securitization, convertibles and shares).
Structured finance - it is amongst the world leaders for acquisition, export, project and commodity finance.