Pricing of Cross-Currency Interest Rate Derivatives on Graphics Processing Units

8 Pages Posted: 4 Nov 2009 Last revised: 17 Feb 2010

See all articles by Duy-Minh Dang

Duy-Minh Dang

University of Queensland - School of Mathematics and Physics

Date Written: October 31, 2009

Abstract

We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel computation of the price of long-dated foreign exchange interest rate hybrids, namely Power Reverse Dual Currency (PRDC) swaps with Bermudan cancelable features. We consider a three-factor pricing model with foreign exchange skew which results in a time-dependent parabolic PDE in three spatial dimensions. Finite difference methods on uniform grids are used for the spatial discretization of the PDE, and the Alternating Direction Implicit technique is employed for the time discretization. We then exploit the parallel architectural features of GPUs together with the Compute Unified Device Architecture (CUDA) framework to design and implement an efficient parallel algorithm for pricing PRDC swaps. Over each period of the tenor structure, we divide the pricing of a Bermudan cancelable PRDC swap into two independent pricing subproblems, each of which can efficiently be solved on a GPU. Using this approach on two NVIDIA Tesla C870 GPUs of an NVIDIA 4-GPU Tesla S870 to price a Bermudan cancelable PRDC swap having a 30 year maturity and annual exchange of fund flows, we have achieved an asymptotic speedup by a factor of 44 relative to a single thread on a 2.0GHz Xeon processor.

Keywords: Power Reverse Dual Currency swaps, Bermudan cancelable, Partial Differential Equation, Alternating Direction Implicit, finite differences, Graphics Processing Units, parallel computing

JEL Classification: E40, E43, G12, G13, C61, C63

Suggested Citation

Dang, Duy-Minh, Pricing of Cross-Currency Interest Rate Derivatives on Graphics Processing Units (October 31, 2009). Available at SSRN: https://ssrn.com/abstract=1498563 or http://dx.doi.org/10.2139/ssrn.1498563

Duy-Minh Dang (Contact Author)

University of Queensland - School of Mathematics and Physics ( email )

Priestly Building
St Lucia
Brisbane, Queesland 4067
Australia

HOME PAGE: http://people.smp.uq.edu.au/Duy-MinhDang/

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