Speeding-up the execution of credit risk simulations using desktop grid computing: A case study

This paper describes a case study that was undertaken at a leading European Investment bank in which desktop grid computing was used to speed-up the execution of Monte Carlo credit risk simulations. The credit risk simulations were modelled using commercial-off-the-shelf simulation packages (CSPs). The CSPs did not incorporate built-in support for desktop grids, and therefore the authors implemented a middleware for desktop grid computing, called WinGrid, and interfaced it with the CSP. The performance results show that WinGrid can speed-up the execution of CSP-based Monte Carlo simulations. However, since WinGrid was installed on non-dedicated PCs, the speed-up achieved varied according to users’ PC usage. Finally, the paper presents some lessons learnt from this case study. It is expected that this paper will encourage simulation practitioners and CSP vendors to experiment with desktop grid computing technologies with the objective of speeding-up simulation experimentation

Grid-enabling FIRST: Speeding up simulation applications using WinGrid

The vision of grid computing is to make computational power, storage capacity, data and applications available to users as readily as electricity and other utilities. Grid infrastructures and applications have traditionally been geared towards dedicated, centralized, high performance clusters running on UNIX flavour operating systems (commonly referred to as cluster-based grid computing). This can be contrasted with desktop-based grid computing which refers to the aggregation of non-dedicated, de-centralized, commodity PCs connected through a network and running (mostly) the Microsoft Windowstrade operating system. Large scale adoption of such Windowstrade-based grid infrastructure may be facilitated via grid-enabling existing Windows applications. This paper presents the WinGridtrade approach to grid enabling existing Windowstrade based commercial-off-the-shelf (COTS) simulation packages (CSPs). Through the use of a case study developed in conjunction with Ford Motor Company, the paper demonstrates how experimentation with the CSP Witnesstrade and FIRST can achieve a linear speedup when WinGridtrade is used to harness idle PC computing resources. This, combined with the lessons learned from the case study, has encouraged us to develop the Web service extensions to WinGridtrade. It is hoped that this would facilitate wider acceptance of WinGridtrade among enterprises having stringent security policies in place

Discrete-event simulation: from the pioneers to the present, what next?

Discrete-event simulation is one of the most popular modelling techniques. It has developed significantly since the inception of computer simulation in the 1950s, most of this in line with developments in computing. The progress of simulation from its early days is charted with a particular focus on recent history. Specific developments in the past 15 years include visual interactive modelling, simulation optimization, virtual reality, integration with other software, simulation in the service sector, distributed simulation and the use of the worldwide web. The future is then speculated upon. Potential changes in model development, model use, the domain of application for simulation and integration with other simulation approaches are all discussed. The desirability of continuing to follow developments in computing, without significant developments in the wider methodology of simulation, is questioned