High Performance Computing in Financial Services (Part 1)

In the past 8 months, I was leading a team of 3 to perform a High Performance Computing (HPC) professional service for one of the largest banks in China. I think it will be a good idea to summarize what I have learned during the process so that other can make use of it if they also find themselves in similar situations. It will be nice to hear comments from others as well.

A Brief Description of the HPC Professional Service

The goal of the HPC professional service is to enable the bank who uses Excel in a structured products pricing scenario to:

• improve the manageability of their IT assets
• scale their use of Excel to prevent bottlenecks
• parallelize Monte Carlo pricing computation
• automate Excel batch revaluation

all of the above benefits on top of a highly available and fault tolerant platform.

Traditionally, traders and sales use Excel to run their pricing models in their standalone workstation. While this environment works great for them in the past, this can no longer cope with the growing demands from their customers since the computation power is limited to a single workstation. In fact, the effect of the growing demand from their customers increases exponentially their demands on the computation power for reevaluation in risk management.

Additionally, with the computation power limited to a single workstation, new algorithms which require more computation power will take longer time to run. This reduces the number of deals that one could make in a day and affects also the team productivity.

While Excel has an ideal GUI for traders and sales, I challenge that it is not meant to be used for computation as it is definitely not design for it. Bounding the computation in Excel will not scale in the long run. Also, the data in Excel cannot be shared with other applications easily. Making it difficult to collaborate with other applications which is often required in the financial industry.

Lastly, but not least, the manageability of Excel is an important aspect to be considered in this project. When every trader and sale has his/her own copy of Excel, version control of Excel becomes a nightmare. Each person can make changes to his/her own copy of Excel which poses a serious challenge for management.

The HPC professional service that we offer addresses the above challenges by distributing and parallelzing the computation using cloud computing technologies, and xmlizing the data to decouple it from the Excel GUI. Additionally, we take version control to the next level by providing version control for both the data and the Excel spreadsheet. So that while the Excel spreadsheet changes, the data can be imported to the new spreadsheet without any manual procedure.

My Responsibility in Brief

I assumed the following responsibilities along the timeline of the project:

• Technical Sales
• Business Development
• Senior Software Engineer
• Project Leader

I was started as a technical sales engineer to demonstrate the feasibility of the solution and to perform proof of concept that I mentioned above. I was actively involved in the negotiation of the agreement regarding the project (number of manpower, functional deliverable, delivery schedule, training, etc).

After the agreement was settled, I designed the software based on user requirements and start to lead a team of 3 to implement the required functionality. By the end of the project, my role in project management starts to grow in order to secure the expected delivery schedule, to match user expectation and solution QA.

Each of the roles I played in this project has some interesting things to learn about and I will talk about them individually in the next installments.

~Salute~