Automatic generation of high-throughput systolic tree-based solvers for modern FPGAs

Tree-based models are a class of numerical methods widely used in financial option pricing, which have a computational complexity that is quadratic with respect to the solution accuracy. Previous research has employed reconfigurable computing with small degrees of parallelism to provide faster hardware solutions compared with general-purpose processing software designs. However, due to the nature of their vector hardware architectures, they cannot scale their compute resources efficiently, leaving them with pricing latency figures which are quadratic with respect to the problem size, and hence to the solution accuracy. Also, their solutions are not productive as they require hardware engineering effort, and can only solve one type of tree problems, known as the standard American option. This thesis presents a novel methodology in the form of a high-level design framework which can capture any common tree-based problem, and automatically generates high-throughput field-programmable gate array (FPGA) solvers based on proposed scalable hardware architectures. The thesis has made three main contributions. First, systolic architectures were proposed for solving binomial and trinomial trees, which due to their custom systolic data-movement mechanisms, can scale their compute resources efficiently to provide linear latency scaling for medium-size trees and improved quadratic latency scaling for large trees. Using the proposed systolic architectures, throughput speed-ups of up to 5.6X and 12X were achieved for modern FPGAs, compared to previous vector designs, for medium and large trees, respectively. Second, a productive high-level design framework was proposed, that can capture any common binomial and trinomial tree problem, and a methodology was suggested to generate high-throughput systolic solvers with custom data precision, where the methodology requires no hardware design effort from the end user. Third, a fully-automated tool-chain methodology was proposed that, compared to previous tree-based solvers, improves user productivity by removing the manual engineering effort of applying the design framework to option pricing problems. Using the productive design framework, high-throughput systolic FPGA solvers have been automatically generated from simple end-user C descriptions for several tree problems, such as American, Bermudan, and barrier options.Open Acces

Energy-Efficient FPGA Implementation for Binomial Option Pricing Using OpenCL

International audienceEnergy efficiency of financial computations is a performance criterion that can no longer be dismissed, and is as crucial as raw acceleration and accuracy of the solution. In order to reduce the energy consumption of financial accelerators, FPGAs offer a good compromise with low power consumption and high parallelism. However, designing and prototyping an application on an FPGA-based platform are typically very time-consuming and requires significant skills in hardware design. This issue constitutes a major drawback with respect to software-centric acceleration platforms and approaches. A high-level approach has been chosen, using Altera’s implementation of the OpenCL standard, to answer this issue. We present two FPGA implementations of the binomial option pricing model on American options. The results obtained on a Terasic DE4 - Stratix IV board form a solid basis to hold all the constraints necessary for a real world application. The best implementation can evaluate more than 2000 options/s with an average power of less than 20W

Accelerating Reconfigurable Financial Computing

This thesis proposes novel approaches to the design, optimisation, and management of reconfigurable computer accelerators for financial computing. There are three contributions. First, we propose novel reconfigurable designs for derivative pricing using both Monte-Carlo and quadrature methods. Such designs involve exploring techniques such as control variate optimisation for Monte-Carlo, and multi-dimensional analysis for quadrature methods. Significant speedups and energy savings are achieved using our Field-Programmable Gate Array (FPGA) designs over both Central Processing Unit (CPU) and Graphical Processing Unit (GPU) designs. Second, we propose a framework for distributing computing tasks on multi-accelerator heterogeneous clusters. In this framework, different computational devices including FPGAs, GPUs and CPUs work collaboratively on the same financial problem based on a dynamic scheduling policy. The trade-off in speed and in energy consumption of different accelerator allocations is investigated. Third, we propose a mixed precision methodology for optimising Monte-Carlo designs, and a reduced precision methodology for optimising quadrature designs. These methodologies enable us to optimise throughput of reconfigurable designs by using datapaths with minimised precision, while maintaining the same accuracy of the results as in the original designs

A parallel and pipelined implementation of a Pascal-simplex based two asset option pricer on FPGA using OpenCL

With the resurgence of hardware for financial technology, several methods for accelerating financial option pricing have been investigated. This paper presents the first architecture and implementation of a two-asset option pricer based on Pascal’s simplex, which takes advantage of the parallelism and pipelining offered by FPGA technology. The theory that this architecture is constructed from is based on a recombining multinomial tree approach which in turn is a generalization of the binomial tree model. Furthermore, we show that while a significant difficulty exists in efficiently maintaining the intermediate values required for the computation, a solution exists in the form of FIFOs. Our implementation, on an Intel Stratix 10 GX FPGA, is based on the OpenCL framework and can compute 6250 two asset option prices per second for a time step of 100 and the pipelining of the option value computation show a 25 times improvement when a 50-step pipeline is created

Evaluating Multicore Algorithms on the Unified Memory Model

One of the challenges to achieving good performance on multicore architectures is the effective utilization of the underlying memory hierarchy. While this is an issue for single-core architectures, it is a critical problem for multicore chips. In this paper, we formulate the unified multicore model (UMM) to help understand the fundamental limits on cache performance on these architectures. The UMM seamlessly handles different types of multiple-core processors with varying degrees of cache sharing at different levels. We demonstrate that our model can be used to study a variety of multicore architectures on a variety of applications. In particular, we use it to analyze an option pricing problem using the trinomial model and develop an algorithm for it that has near-optimal memory traffic between cache levels. We have implemented the algorithm on a two Quad-Core Intel Xeon 5310 1.6 GHz processors (8 cores). It achieves a peak performance of 19.5 GFLOPs, which is 38% of the theoretical peak of the multicore system. We demonstrate that our algorithm outperforms compiler-optimized and auto-parallelized code by a factor of up to 7.5

Evaluating Multicore Algorithms on the Unified Memory Model

One of the challenges to achieving good performance on multicore architectures is the effective utilization of the underlying memory hierarchy. While this is an issue for single-core architectures, it is a critical problem for multicore chips. In this paper, we formulate the unified multicore model (UMM) to help understand the fundamental limits on cache performance on these architectures. The UMM seamlessly handles different types of multiple-core processors with varying degrees of cache sharing at different levels. We demonstrate that our model can be used to study a variety of multicore architectures on a variety of applications. In particular, we use it to analyze an option pricing problem using the trinomial model and develop an algorithm for it that has near-optimal memory traffic between cache levels. We have implemented the algorithm on a two Quad-Core Intel Xeon 5310 1.6 GHz processors (8 cores). It achieves a peak performance of 19.5 GFLOPs, which is 38% of the theoretical peak of the multicore system. We demonstrate that our algorithm outperforms compiler-optimized and auto-parallelized code by a factor of up to 7.5