Professor Mike Flynn, Chairman of Maxeler, will present a Thalesian Seminar on FPGA accelerated processing of bespoke tranches of collateralized default obligations (CDOs) and interest rate derivatives, titled “Vertical Acceleration of Financial Algorithms” at City Pride, Canary Wharf, London, UK, March 16, 2011.

Although the explosive growth in the trading and complexity of credit derivative instruments was checked by the credit crunch, and the credit default swap spreads have only just returned to their pre-2007 levels, the post-crunch drive for more accurate and robust models has further increased the computational overhead. This has in turn led to massive growth in data center compute capacity, and consequently power and cooling requirements.

Maxeler applies a vertical acceleration process which optimizes across levels of abstraction by restructuring the software and building the computer system (rack, node, card and gate level) based on the source code rather than creating the program based on the available hardware. Our results with J.P. Morgan show that valuing bespoke tranches of collateralized default obligations (CDOs) and interest rate derivatives on Maxeler accelerated systems is over 30 times faster per cubic foot and per Watt than solutions using standard multi-core Intel Xeon processors.