Computational Finance on the GPU
Computational Finance on the GPU
Computational Finance on the GPU
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Software legacy<br />
• Milli<strong>on</strong>s of lines of code<br />
• Complex relati<strong>on</strong>ships between code blocks<br />
– E.g. Primary algorithm generates paths which are<br />
reused in multiple payoff models<br />
• Hundreds of man-years of work<br />
• Significant refactoring of applicati<strong>on</strong> required<br />
– Support/feed <strong>the</strong> parallelized algorithms
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