2H 2015

Comparative Performance
Monte Carlo* RNG
European Options
1 NODE
APPROVED FOR PUBLIC PRESENTATION
2
Monte Carlo* RNG European Options Speed Up
Single and Double Precision
1.64X
2.6X
1.55X
1.81X
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-achievinghigh-performance-on-monte-carlo-european-option-usingstepwise.
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Availability:
• Code: Available here.
• Recipe: Available here.
Usage Model: Single and double precision testing, host node
with up to two coprocessor devices.
0
Single Precision
2S Intel® Xeon® E5-2670
2S Intel® Xeon® E5-2697 v2
Double Precision
2x Intel® Xeon Phi Coprocessor 7120A (pre-production HW/SW)
Highlights: Intel® Xeon Phi coprocessor fast exp2 and FMA
instructions deliver high performance, high accuracy for single
and double precision computations.
Results: For double precision, the Intel® Xeon® processor E5-
2697 v2 performance improvement is up to 1.55X compared to
the baseline, and the Intel® Xeon Phi coprocessor performance
improvement is up to 1.81X.
For configuration details, go here.
SOURCE: INTEL MEASURED RESULTS AS OF NOVEMBER, 2013
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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