2H 2015

Comparative Performance
Monte Carlo* RNG
European Options; Double Precision
1 NODE
APPROVED FOR PUBLIC PRESENTATION
2
1
0
Monte Carlo* RNG European Options – Double Precision
.72X
1
1.87X
2S Intel® Xeon® processor E5-2697 v2
2S Intel® Xeon® processor E5-2697 v3
2S Xeon E5-2697 v3 + Xeon Phi 7120A
2S Xeon E5-2697 v3 + 2 Xeon Phi 7120A
“Xeon E5-2697 v3” = Intel® Xeon® processor E5-2697 v3
“Xeon Phi 7120A” = Intel® Xeon Phi coprocessor 7120A
2.77X
Application: Monte Carlo* RNG European option pricing; double
precision.
Description: Monte Carlo RNG is a popular derivative pricing
benchmark widely used by investment banks such as UBS*, Bank of
America* and Goldman-Sachs*. More at
https://software.intel.com/en-us/articles/case-study-achieving-highperformance-on-monte-carlo-european-option-using-stepwise.
Availability:
• Code: Available here.
• Recipe: Available here.
Usage Model: Hybrid or Asynchronous offload on one shared
memory host node with up to two coprocessor devices.
Highlights:
• One of two most computational intensive workloads in FSI
benchmark suites.
• More operations per option data set.
• Benefits from Intel® AVX2 FMA.
Results: The baseline Intel® Xeon® processor E5-2697 v3 is 1.39X
higher performance than Intel® Xeon® processor E5-2697 v2. Adding
one coprocessor card nearly doubles the baseline performance;
adding two coprocessors nearly triples it.
For configuration details, go here.
SOURCE: INTEL MEASURED RESULTS AS OF JUNE, 2014
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
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