Windows Azure SQL Database Marketplace
At Sibos, last week in Toronto, Numerix, leading independent analytics provider for derivatives and structured products, highlighted how clients Sumitomo Trust, Banking Co. and Samsung Securities and others are leveraging Windows Azure in their Numerix implementations to address their real-time demands for trading and risk analytics.
Quantitative analysts rely on Numerix CrossAsset to model, price and manage their structured products portfolios. Traditionally, these analysts run risk calculations using extremely CPU -intensive simulations on the Numerix desktop platform on-premise. To reduce the time it took to run these simulations so they would be able to run them more frequently and produce better, more granular results, Numerix and Microsoft explored ways to cost-effectively extend their mutual clients’ on-premise compute capability.
In conjunction with a major Australian financial institution, Numerix and Microsoft successfully completed a proof of concept in which calculations from the Numerix analyst’s desktop were offloaded to Windows High Performance Computing (HPC) and Windows Azure. By shifting the Numerix workload off the PC and onto the grid, what took more than 5 hours to compute in a local workstation only took around 15 minutes using Windows HPC Server 2008 R2 and Windows Azure. Recent benchmarks show that running Numerix CrossAsset on a Windows HPC Server 2008 and Services for Excel 2010 increased portfolio calculation speed almost linearly as more compute nodes were added to the HPC cluster. (Download a copy of the complete benchmark whitepaper here.)
Two other client examples:
Steven R. O’Hanlon, President and COO of Numerix sums up the key benefits of moving to the cloud for financial institutions: “Mounting regulatory compliance pressures compounded with unprecedented market volatility and counterparty risk concerns require our clients to calculate more granular, compute intensive risk metrics in near real time across a broad range of assets. Numerix CrossAsset’s ability to seamlessly burst pricing calculations to the cloud lets our clients leverage cost effective high performance and cloud computing environments such as Windows Azure in innovative new ways to address all these new demands.”
Visit the Windows Azure HPC Scenario Page for more information and additional resources about Windows Azure and Windows HPC Server. You may also want to check out a great blog post from Microsoft Senior Technical Specialist Buck Woody that provides a great use case for HPC.
Read the press release. Learn more about Numerix.
Read how other companies are using the Windows Azure platform.