STAC Report: STAC-A2 (derivatives risk) on 8 x Ampere GPUs in an NVIDIA DGX A100

NVIDIA DGX A100 system with new GPUs sets three records

19 October 2020

STAC recently performed STAC-A2 Benchmark tests on a stack consisting of CUDA 11 with 8 x NVIDIA A100 (Ampere) SXM 40 GiB GPUs in a DGX A100 server.

The STAC Report is now available here.

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).

NVIDIA wished to highlight several results from this report:

  • Compared to all publicly reported solutions to date, this GPU-based solution set three records:
    • the highest maximum paths (STAC-A2.β2.GREEKS.MAX_PATHS)
    • the highest maximum assets (STAC-A2.β2.GREEKS.MAX_ASSETS)
    • the fastest warm time in the baseline Greeks benchmark (STAC-A2.β2.GREEKS.TIME.WARM)
  • Compared to the best results for any non-NVIDIA-based single server solution, this solution had:
    • 2.15x the speed in the baseline Greeks benchmark (STAC-A2.β2.GREEKS.TIME.WARM vs. SUT ID INTC181012)
    • 1.78x the speed in the large Greeks benchmark (STAC-A2.β2.GREEKS.10-100k-1260.TIME.WARM vs. SUT ID INTC190903)
    • 14% higher energy efficiency (STAC-A2.β2.HPORTFOLIO.ENERG_EFF vs. SUT ID INTC190903)
  • Compared to the previous best results for NVIDIA-based solutions, this solution:
    • had 61% higher maximum paths (STAC-A2.β2.GREEKS.MAX_PATHS vs. SUT ID NVDA181105)
    • was 54% faster in the large Greeks benchmark (STAC-A2.β2.GREEKS.10-100k-1260.TIME.WARM vs. SUT ID NVDA181105)

For details, please see the report at the link above. Premium subscribers have access to the code used in this project the micro-detailed configuration information for the solution. To learn about subscription options, please contact us.

 

About STAC News

Read the latest about research, events, and other important news from STAC.

Subscribe to notifications of research, events, and more.

Enter your email above, then click "Sign Up" to join the STAC mail list and (optionally) register to access materials on the site. Click for terms.