By Penny Crosman
Each night, Bloomberg calculates pricing for 1.3 million hard-to-price asset-backed securities such as collateralized mortgage obligations (including cash flows, key rate duration and such). Since 1996, the market news giant has performed these calculations — single-factor stochastic models based on Monte Carlo simulations — on a farm of Linux servers in its data centers in New York and New Jersey. “These models are ideal for doing things in parallel, and we did parallelize them over traditional x86 Linux computers,” says CTO Shawn Edwards.
In 2005, Bloomberg released a more precise two-factor model that calibrates itself to the current volatility surface, but only for for ad-hoc, on-demand pricing, not overnight batch mode. In early 2008, Bloomberg considered scaling up its Linux farm to accommodate this customer demand. “It turned out that in order to compute everything within that eight-hour window, we would need to go from 800 cores to 8,000 cores,” Edwards. Bloomberg went live in 2009 running its two-factor models on a farm of traditional servers paired with nVidia Tesla GPUs. Instead of having to scale up to 1,000 servers, Bloomberg is using 48 server/GPU pairs.
