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JP Morgan Uses FPGAs Accelerators for Risk Analysis in Near Real-time

In this video, Peter Richards and Stephen Weston from J.P. Morgan present a Stanford Computer Systems Colloquium discussing their use of Maxeler Technology. The company has acquired a 20 percent stake in Maxeler.

Computerworld UK is reporting that JP Morgan is now able to run risk analysis and price its global credit portfolio in near real-time after implementing Maxeler Technologies FPGA-based accelerators.

Prior to the implementation, JP Morgan would take eight hours to do a complete risk run, and an hour to run a present value, on its entire book. If anything went wrong with the analysis, there was no time to re-run it. It has now reduced that to about 238 seconds, with an FPGA time of 12 seconds.

Being able to run the book in 12 seconds end-to-end and get a value on our multi-million dollar book within 12 seconds is a huge commercial advantage for us,” Stephen Weston, global head of the Applied Analytics group in the investment banking division of JP Morgan, said at a recent lecture to Stanford University students.JP Morgan uses mainly C++ for its pure analytical models and Python programming for the facilitation. For the new Maxeler system, it flattened the C++ code down to a Java code.

Read more at insideHPC
 

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