2H 2015
intel-xeon-phi-sw-ecosystem-guide-2h-2015-public3 intel-xeon-phi-sw-ecosystem-guide-2h-2015-public3
Comparative Increase Monte Carlo* Microsoft Excel*-based option pricing 1 NODE APPROVED FOR PUBLIC PRESENTATION NEW Microsoft Excel*-based Monte Carlo Option Pricing Speed Up 2.09X 2 1 1 0 Intel® Xeon® processor E5-2697 v2 Xeon E5-2697 v2 + Intel® Xeon Phi coprocessor 7120P “Xeon E5-2697 v2” = Intel® Xeon® processor E5-2697 v2 Application: Microsoft Excel*-based Monte Carlo option pricing. Description: This application uses Excel to price Monte Carlo European Options. Traditionally these calculations are done on CPUs. This framework demonstrates how Excel can offload calculations to Intel® Xeon Phi x100 (Knights Corner) using Windows* stack. Availability: • Code: Available here. • Recipe: Available here. Usage Model: Offload, OpenMP*. No processing on the host; host offloads all data from Excel to the Intel® Xeon Phi coprocessor. All calculations were performed on the Intel Xeon Phi Coprocessor. Highlights: Excel users can speed-up their compute intensive applications by offloading these tasks to the Intel Xeon Phi Coprocessor. Results: Offloading calculations to Intel® Xeon Phi coprocessor 7120P resulted in up to 2.09X performance improvement compared to the Intel® Xeon® processor E5-2697 v2. For configuration details, go here. SOURCE: INTEL MEASURED RESULTS AS OF MARCH, 2015 Software and workloads used in performance tests may have been optimized for performance only on Intel microprocessors. Performance tests, such as SYSmark and MobileMark, are measured using specific computer systems, components, software, operations and functions. Any change to any of those factors may cause the results to vary. You should consult other information and performance tests to assist you in fully evaluating your contemplated purchases, including the performance of that product when combined with other products. For more information go to http://www.intel.com/performance *Other names and brands may be claimed as the property of others 62
Comparative Performance QuantLib* Single Precision Monte Carlo 1 NODE APPROVED FOR PUBLIC PRESENTATION NEW 7 6 5 4 3 2 1 0 QuantLib* SP Monte Carlo Speed Up 6.93X 1.82X 1.34X 1 Intel® Xeon® processor E5-2697 v2 Intel® Xeon® processor E5-2697 v3 Xeon E5-2697 v2 + 1 Intel® Xeon Phi coprocessor 7120A Intel® Xeon® processor E5-2697 v2 + 1 NVIDIA Tesla* K40c “Xeon E5-2697 v2” = Intel® Xeon® processor E5-2697 v2 Application: QuantLib* Single Precision Monte Carlo Description: Monte Carlo is a popular simulation mathematical model to value and analyze complex financial instruments, in this case European options. This version is single-precision. More at Accelerating Financial Applications on the GPU. Availability: • Code and Recipe: Available here. Usage Model: Multi-option scenario; 400k paths, 4k options. This model uses a time-step of 250 per path. Uses OpenMP* for threads and Intel® MKL Library for vector of random numbers Highlights: The optimized Intel® Architecture code is compared with the reference CUDA* version. Results: • Intel® Xeon® processor E5-2697 v3 demonstrates a speed up of up to 1.82X over Intel Xeon processor E5-2697 v2. • Intel® Xeon Phi (native) demonstrates a speed up of up to 6.93X over Intel Xeon processor E5-2697 v2. • NVIDIA Tesla* K40c demonstrates a speed up of up to 1.34X over Intel Xeon processor E5-2697 v2 (measurements do not include data transfer time). For configuration details, go here. SOURCE: INTEL MEASURED RESULTS AS OF MARCH, 2015 Software and workloads used in performance tests may have been optimized for performance only on Intel microprocessors. Performance tests, such as SYSmark and MobileMark, are measured using specific computer systems, components, software, operations and functions. Any change to any of those factors may cause the results to vary. You should consult other information and performance tests to assist you in fully evaluating your contemplated purchases, including the performance of that product when combined with other products. For more information go to http://www.intel.com/performance *Other names and brands may be claimed as the property of others 67
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Comparative Performance<br />
QuantLib*<br />
Single Precision Monte Carlo<br />
1 NODE<br />
APPROVED FOR PUBLIC PRESENTATION<br />
NEW<br />
7<br />
6<br />
5<br />
4<br />
3<br />
2<br />
1<br />
0<br />
QuantLib* SP Monte Carlo Speed Up<br />
6.93X<br />
1.82X<br />
1.34X<br />
1<br />
Intel® Xeon® processor E5-2697 v2<br />
Intel® Xeon® processor E5-2697 v3<br />
Xeon E5-2697 v2 + 1 Intel® Xeon Phi coprocessor 7120A<br />
Intel® Xeon® processor E5-2697 v2 + 1 NVIDIA Tesla* K40c<br />
“Xeon E5-2697 v2” = Intel® Xeon® processor E5-2697 v2<br />
Application: QuantLib* Single Precision Monte Carlo<br />
Description: Monte Carlo is a popular simulation mathematical<br />
model to value and analyze complex financial instruments, in<br />
this case European options. This version is single-precision.<br />
More at Accelerating Financial Applications on the GPU.<br />
Availability:<br />
• Code and Recipe: Available here.<br />
Usage Model: Multi-option scenario; 400k paths, 4k options.<br />
This model uses a time-step of 250 per path. Uses OpenMP* for<br />
threads and Intel® MKL Library for vector of random numbers<br />
Highlights: The optimized Intel® Architecture code is compared<br />
with the reference CUDA* version.<br />
Results:<br />
• Intel® Xeon® processor E5-2697 v3 demonstrates a speed up<br />
of up to 1.82X over Intel Xeon processor E5-2697 v2.<br />
• Intel® Xeon Phi (native) demonstrates a speed up of up to<br />
6.93X over Intel Xeon processor E5-2697 v2.<br />
• NVIDIA Tesla* K40c demonstrates a speed up of up to 1.34X<br />
over Intel Xeon processor E5-2697 v2 (measurements do not<br />
include data transfer time).<br />
For configuration details, go here.<br />
SOURCE: INTEL MEASURED RESULTS AS OF MARCH, <strong>2015</strong><br />
Software and workloads used in performance tests may have been optimized for performance only on Intel microprocessors. Performance tests, such as SYSmark and MobileMark, are measured using specific computer systems,<br />
components, software, operations and functions. Any change to any of those factors may cause the results to vary. You should consult other information and performance tests to assist you in fully evaluating your contemplated<br />
purchases, including the performance of that product when combined with other products. For more information go to http://www.intel.com/performance *Other names and brands may be claimed as the property of others<br />
67
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