NDLI: Pricing of cross-currency interest rate derivatives on Graphics Processing Units

Content Provider	IEEE Xplore Digital Library
Author	Duy Minh Dang
Copyright Year	2010
Description	Author affiliation: Department of Computer Science, University of Toronto, ON, Canada (Duy Minh Dang)
Abstract	We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel computation of the price of long-dated foreign exchange interest rate hybrids, namely Power Reverse Dual Currency (PRDC) swaps with Bermudan cancelable features. We consider a three-factor pricing model with foreign exchange skew which results in a time-dependent parabolic PDE in three spatial dimensions. Finite difference methods on uniform grids are used for the spatial discretization of the PDE, and the Alternating Direction Implicit (ADI) technique is employed for the time discretization. We then exploit the parallel architectural features of GPUs together with the Compute Unified Device Architecture (CUDA) framework to design and implement an efficient parallel algorithm for pricing PRDC swaps. Over each period of the tenor structure, we divide the pricing of a Bermudan cancelable PRDC swap into two independent pricing subproblems, each of which can efficiently be solved on a GPU via a parallelization of the ADI scheme at each timestep. Using this approach on two NVIDIA Tesla C870 GPUs of an NVIDIA 4-GPU Tesla S870 to price a Bermudan cancelable PRDC swap having a 30 year maturity and annual exchange of fund flows, we have achieved an asymptotic speedup by a factor of 44 relative to a single thread on a 2.0GHz Xeon processor.
Starting Page	1
Ending Page	8
File Size	279630
Page Count	8
File Format	PDF
ISBN	9781424465330
e-ISBN	9781424465347
DOI	10.1109/IPDPSW.2010.5470708
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2010-04-19
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Algorithm design and analysis Economic indicators Alternating Direction Implicit Partial Differential Equation Graphics Processing Units ADI Parallel algorithms Graphics processing unit Concurrent computing PDE Parallel computing Bermudan cancelable Finite differences Pricing Computer architecture Power Reverse Dual Currency swaps Finite difference methods
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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