STAC Report: STAC-A2 (derivatives risk) on Intel Ice Lake

Ice Lake solution computed Greeks at 1.5x to 2.1x the speed of Cascade Lake

5 May 2021

STAC recently completed the first audit of the STAC-A2 Benchmark tests on 3rd Generation Intel Xeon (Ice Lake) CPUs. The stack consisted of the STAC-A2 Pack for Intel oneAPI (Rev N) with 2 x Intel Xeon Platinum 8380 processors and CentOS Linux 8.3 in an Intel Server System M50CYP Software Development Platform (SDP). The server had patches applied to mitigate Spectre & Meltdown security vulnerabilities.

The STAC Report is now available here.

STAC-A2 is the technology benchmark standard based on financial market risk analysis. Designed by quants and technologists from some of the world's largest banks, STAC-A2 reports the performance, scaling, quality, and resource efficiency of any technology stack that is able to handle the workload (Monte Carlo estimation of Heston-based Greeks for a path-dependent, multi-asset option with early exercise).

Intel wished to highlight several results from this report:

• Compared to a similar 2-socket system using Intel Xeon Platinum 8280 (Cascade Lake) processors (SUT ID INTC190402), this solution had:
• 4.0x the maximum paths (STAC-A2.β2.GREEKS.MAX_PATHS)
• over 1.6x the space efficiency (STAC-A2.β2.HPORTFOLIO.SPACE_EFF)
• over 1.6x the space efficiency (STAC-A2.β2.HPORTFOLIO.SPACE_EFF)
• over 1.5x the throughput (STAC-A2.β2.HPORTFOLIO.SPEED)
• over 1.3x the energy efficiency (STAC-A2.β2.HPORTFOLIO.ENERG_EFF)
• 1.9x the speed in cold runs of the baseline problem size and over 1.5x in warm runs (STAC-A2.β2.GREEKS.TIME.COLD and .WARM)
• 2.1x the speed in cold runs of the large problem size and 1.5x in warm runs (STAC-A2.β2.GREEKS.10-100k-1260.TIME.COLD and .WARM)
• Compared to all other publicly reported solutions based on a single server, this CPU-based solution delivered the fastest cold time in the large problem size (STAC-A2.β2.GREEKS.10-100k-1260.TIME.COLD)

For details, please see the report at the link above. Premium subscribers have access to the code used in this project as well as the micro-detailed configuration information for the solution. To learn about subscription options, please contact us.