ClearSpeed Finance Examples
The ClearSpeed Finance Examples have been created to demonstrate the performance capabilities when porting standard quantitative financial codes to the ClearSpeed Advance accelerator card. With the Black-Scholes pricing model as the main function, examples with additional numerical methods are available within each package to demonstrate the pricing on vanilla options. ClearSpeed Finance Examples each have an accompanying source code implementation that consists of:
- European Option Black-Scholes Analytic Solution
- European Option via Binomial Tree
- European Option via Monte Carlo (available only in Software Release 3.00 compatible files)
- American Option via Brodie-Glasserman Tree
- American Option via Explicit Finite Differences
- Asian Option via Monte Carlo
Downloads
Each download is a single file (a gzipped tarball for the 2.51 Linux files, rpms for the 3.0 Linux files, or a Windows installer).
Operating Systems |
Software Rel. 2.51 compatible files |
Software Rel. 3.00 |
|
|---|---|---|---|
| Linux® 32-bit and 64-bit | (.tgz)
Download |
(.rpm)
Download |
(.tgz)
Download |
| Microsoft™ Windows™ 32-bit and 64-bit | (.exe)
Download |
(.exe)
Download |
(.zip)
Download |
Each Download contains:
- Finance examples using various numerical methods
- C and Cn source code for each example
- Documentation explaining the steps to port to C code to run on the ClearSpeed Advance cards
Associated Documentation
For compatibility with Software Release 2.50
ClearSpeed Finance Technical Examples (PDF)
- Instructions for installing the ClearSpeed Finance Examples package and a discussion of the implementation for each finance example
For compatibility with Software Release 3.0
ClearSpeed Finance Technical Examples (PDF)
- Instructions for installing the ClearSpeed Finance Examples package and a discussion of the implementation for each finance example
Scalability
Unless otherwise specified in the documentation, performance will scale linearly.
Hardware Requirement
The ClearSpeed Finance Examples will run on:
- An x86-based workstation or cluster with either the Advance X620 or e620 accelerators
For ClearSpeed Accelerated Monte Carlo benchmark information please click here.