Accelerating the computation of portfolios of tranched credit derivatives

Huge growth in the trading and complexity of credit derivative instruments over the past five years has driven the need for ever more computationally demanding mathematical models. This has led to massive growth in data center compute capacity, power and cooling requirements. We report the results of an on-going joint project between J.P. Morgan and specialist acceleration solutions provider Maxeler Technologies to improve the price-performance for calculating the value and risk of a large complex credit derivatives portfolio. Our results show that valuing tranches of Collateralized Default Obligations (CDOs) on Maxeler accelerated systems is over 30 times faster per cubic foot and per Watt than solutions using standard multi-core Intel Xeon processors. We also report some preliminary results of further work that extends the approach to classes of interest rate derivatives.