Automatic Generation and Optimisation of Reconfigurable Financial Monte-Carlo Simulations

Monte-Carlo simulations are used in many applications, such as option pricing and portfolio evaluation. Due to their high computational load and intrinsic parallelism, they are ideal candidates for acceleration using reconfigurable hardware. However, for maximum efficiency the hardware configuration must be parametrised to match the characteristics of both the simulation task and the platform on which it will be executed. This paper presents a methodology for the automatic implementation of MonteCarlo simulations, starting from a high-level mathematical description of the simulation and resulting in an optimised hardware configuration for a given platform. This process automatically generates fully-pipelined hardware for maximum performance; it also maximises thread-level parallelism by instantiating multiple pipelines to optimise device utilisation. The configured hardware is used by an associated software component to execute simulations using run-time supplied parameters. The propo...

• Type: Conference
• Year: 2007
• Where: ASAP
• Authors: David B. Thomas, Jacob A. Bower, Wayne Luk
• Keywords: ASAP 2007, Hardware, Hardware Configuration, Monte-Carlo Simulations, Optimised Hardware Configuration