STAC Reports: Cascade Lake & Skylake solutions under STAC-A2

Cascade Lake solution computed Greeks 23-84% faster than Skylake solution

10 May 2019

STAC recently performed STAC-A2 Benchmark tests on two stacks from Intel, one using Intel Xeon Platinum 8280 (Cascade Lake) processors, and the other using Intel Xeon Platinum 8180 (Skylake) processors.

STAC-A2 is the technology benchmark standard based on financial market risk analysis. Designed by quants and technologists from some of the world's largest banks, STAC-A2 reports the performance, scaling, quality, and resource efficiency of any technology stack that is able to handle the workload (Monte Carlo estimation of Heston-based Greeks for a path-dependent, multi-asset option with early exercise).

The Cascade Lake system (SUT ID INTC190402) involved the STAC-A2 Pack for Intel Parallel Studio XE (Rev M) with 2 x Intel Xeon Platinum 8280 processors. The Skylake system (SUT ID INTC190401) involved the STAC-A2 Pack for Intel Parallel Studio XE (Rev K2) with 2 x Intel Xeon Platinum 8180 processors. Both systems used Red Hat Enterprise Linux 7.6 in an Intel Purley 2S SDP server. Both systems had patches applied to mitigate Spectre & Meltdown security vulnerabilities.

In all, the STAC-A2 specifications deliver over 200 test results, which are detailed in this report. Of these, Intel would like to point out the following:

  • Compared to the solution using Intel Xeon Platinum 8180 ("Skylake") processors, the solution using Intel Xeon Platinum 8280 processors:
    • Had 32% higher throughput and space efficiency (STAC-A2.β2.HPORTFOLIO.SPEED and STAC-A2.β2.HPORTFOLIO.SPACE_EFF, respectively)
    • Was 41% faster in warm runs of the large problem size (STAC-A2.β2.GREEKS.10-100k-1260TIME.WARM)
    • Was 84% faster in cold runs and 23% faster in warm runs of the baseline problem size (STAC-A2.β2.GREEKS.TIME.COLD and STAC-A2.β2.GREEKS.TIME.WARM, respectively)
    • Was able to handle 16% more assets in the max assets test (105 assets vs 90 assets) (STAC-A2.β2.GREEKS.MAX_ASSETS)

For details, please see the reports at the links above.

Premium subscribers also have access to the code used in this project and the micro-detailed configuration information for the solution. If your firm does not have access to the materials,  please contact us to discuss subscription options.

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