Fixstars and Mizuho Securities Succeeds in Accelerating Derivative Valuation System by 30-folds with Intel Xeon Phi Coprocessor
Tuesday, June 3, 2014
Mizuho Securities becomes the first Financial Institution to deploy the coprocessor in the Production Environment
TOKYO — June 2, 2014 — Fixstars Corporation today announced that Fixstars and Mizuho Securities Co., Ltd achieved a 30-folds speed-up by porting Mizuho Securities’ Derivative Valuation System to Intel’s many-core processor, “Intel® Xeon Phi™ coprocessors”. Mizuho Securities has become world’s first financial institution to utilize the Xeon Phi™ coprocessor in the Production Environment.
The recent low interest rates have increased the demand for structured bonds, which combines the use of bonds in conjunction with derivatives. To meet these customer demands, Mizuho Securities had been investigating ways to efficiently perform the vast amount of computations required by their Derivative Valuation Systems, which led them to consider the use of Intel’s High-Performance Xeon Phi™ coprocessors.
Mizuho Securities, with the aid of their development partner Fixstars, succeeded in devising an algorithm to efficiently distribute the workloads across the cores of Intel® Xeon Phi™ coprocessor. The Xeon Phi™ replaces an 8-core Xeon® system, which resulted in out-performing the previous system by a factor of 30. In addition, by placing an emphasis on source-code readability, a highly maintainable system was created.
“I am happy to announce that Fixstars’ expertise in parallel processing in conjunction with Intel’s Technology had been able to improve upon Mizuho Securities’ Derivative Valuation System,” said Kosuke Hirano, Senior Executive Officer, Intel K.K.. “Intel will continue innovating with the highly parallel processing capability of Intel® Xeon Phi™ coprocessors.”
“I am very excited that our expertise in parallel programming techniques has enabled us to aid Mizuho Securities in the deployment of the New Derivative Valuation System,” said Miki Satoshi, CEO, Fixstars. “We had been involved in the project from the researching phase on what hardware to use, and I believe the smooth progress that led to this deployment could not have occurred without the mutual, underlying trust present in the partnership between Mizuho Securities’ and Fixstars, as well as the high capability and the reliability of Intel® Xeon Phi™ coprocessors.”
Mizuho Securities is already using the new system for Plain Vanilla Derivatives, with plans to shift to the new system this summer with Exotic Derivatives.
Fixstars will continue to speed up Mizuho Security’s business through provision of technical expertise in parallel processing.
* Intel, Xeon and Xeon Phi are trademarks of Intel Corporation in the U.S. and/or other countries.