STAC Report: Multi-GPU Dell server under STAC-A2 (derivatives risk)

Dell’s first STAC-A2 sets 3 records.

25 October 2022

At last week’s New York STAC Summit, STAC announced the results of the first STAC-A2 Benchmark tests on a solution submitted by Dell Technologies. 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).

The stack consisted of the STAC-A2 Pack for CUDA (Rev G) using CUDA 11.6 on 4 x NVIDIA A100 (Ampere) SXM4 40GB GPUs in a Dell PowerEdge XE8545 server running Red Hat® Enterprise Linux 8.3.

Dell Technologies wished to highlight several results from this report:

• Compared to all publicly reported solutions to date, this solution set 3 records:
• The highest space efficiency (STAC-A2.β2.HPORTFOLIO.SPACE_EFF)
• The fastest cold times in the baseline Greeks benchmark (STAC-A2.β2.GREEKS.TIME.COLD)
• The fastest cold times in the large Greek benchmark (STAC-A2.β2.GREEKS.10-100k-1260TIME.COLD)
• Compared to a solution using twice as many GPUs with twice as much memory (SUT ID NVDA210914), this solution:
• Had 1.2x the space efficiency (STAC-A2.β2.HPORTFOLIO.SPACE_EFF)
• Was 2.9x the speed in the cold runs of the baseline Greeks benchmark (STAC-A2.β2.GREEKS.TIME.COLD)
• Was 1.1x the speed in the cold runs of the Greeks benchmark (STAC-A2.β2.GREEKS.10-100k-1260TIME.COLD)
• Was 67% of the speed in the warm runs of the baseline Greeks benchmark (STAC-A2.β2.GREEKS.TIME.WARM)

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