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[inria-00387324, v2] A financial engineering benchmark for performance analysis of grid middlewares

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INSTITUTNATIONALDERECHERCHEENINFORMATIQUEETENAUTOMATIQUEA financial engineering benchmark for performanceanalysis of grid middlewaresVietDungDoan —AbhijeetGaikwad—MireilleBossy—FrançoiseBaude—FrédéricAbergelN°365Version2-June2009ThèmesCOMetNUMapport technique inria-00387324, version 2 - 18 Jun 2009ISSN0249 0803 ISRNINRIA/RT 365 FR+ENGinria-00387324, version 2 - 18 Jun 2009theocumarisosedPbdecomplextraleaCenresultEcoleerifyrSystèmeslauxaAppliquéestheMathématiquescomparabledeareoratoireendorsLabandareareI3Scomputational-middlewCNRSidealeNiceofealuatedmiddlewersitéaUnivneolisevtiptionedAnbSophiaproblemsINRIAevthepricingalgorithms.fordata,algorithmsgridArnancialsevengineeringvbsomeencdevhmarksforcriticalpconerformanceisanalysishmarkofthegridosedmiddlewotharestheVietThisDungardsDoanarenoand,middlewAbhijeetareGaikwgadtooseal,pMireilylebBossyandpropp,theFinrançoiseelopBaudeoftothese,theFalsorédéricnanceAbhniquesergelFyrThèmes,COMgrietsolutionsNUMiteSystèmesselectcommtunicannancialtstecantwithSystèmesdemandnrequests.umériquesri-ProrepjetspresenOasisbandtoTquanoscaofRapperheadortyteconhniquethroughputnand°times365gridhVto-ersionduc2a-endenJunerepro2009pof30ThepageencstAbstract:anPricingidandresphedgingsofthigherects ...
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INSTITUTNATIONALDERECHERCHEENINFORMATIQUEETENAUTOMATIQUE
A financial engineering benchmark for performance
analysis of grid middlewares
VietDungDoan —AbhijeetGaikwad—MireilleBossy—FrançoiseBaude—Frédéric
Abergel
N°365
Version2-June2009
ThèmesCOMetNUM
apport
technique

inria-00387324, version 2 - 18 Jun 2009
ISSN0249 0803 ISRNINRIA/RT 365 FR+ENGinria-00387324, version 2 - 18 Jun 2009∗ † ∗ ∗



UnitéderechercheINRIASophiaAntipolis
2004,routedesLucioles,BP93,06902SophiaAntipolisCedex(France)
Téléphone: +33492387777—Télécopie: +33492387765
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inria-00387324, version 2 - 18 Jun 2009and2wV.D.alysDo,an,evA.sucGaikwadaandwhical.ofandhmarkheddsginghmaofshighGriddimensionalPlugtestoptionsorganizedmoredemonstrateecienttlyords:.ares,InMonthisoftecbhnicalkrepsuccessfullyortdwIneconexplain2008theConmotivwationyandwthehedetailsexpofduringthet.propbosedgridberformanceencoptionhmarkCarlosuite.INRIATconcept,ohourencknorwlsuiteeasdge,uthiseisintnhternationaleProgrammingrsttestattemptthetoGridmakandetestsuchhasbbeINRIAncnallyhmarkseputbliresultcinitiallerimenysathisvenailableKey-wtonancialbencothsuite,tmiddlewhepcommanuis,nitpricing,ies.teAsmethoaproof
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inria-00387324, version 2 - 18 Jun 2009w4nancialV.D.er,Doacan,wA.hGaikwaddlewand5al.in1hmarksInoftroforductionaOvAllianceerProAtheispastpfewthis,decadestarenancialencengineeringinducedhas5bcecomehievaiscriticalthedisciplineeandsuchaAlcv7eosegainedastghrategbiellcnancialreputationloadforpitsysisoGridwn.arcFinancialaluatedmathematicianssuckheep7comingeup.withcannotnothouvioneltandtscomplex1nancialtlproseenductsmiddlewandLitnarallelumericalcocomputingandtecNohniquesarewhicapplications?htoofteneincreaseimplemen-vmiddlewolumemputatiofadataneedorccomputationalatimeinstancewhilecouldpareosingcommonlycriticalaluationtimePconhmarking,sytrainetsrfor,transac-hastionalcreatingprosystem.cessing.hmarksGenerally2,4Monhemi/teINRIACaofrolo.(MC)ysimopulationsebasedwmethopadsattenaresucutils.izeddhadtoeginningoProvtheercome.t,ypicavlupsurgeproblemsandlikproeascurse3ofe/GCMdimen4s.NETionframewaliUnicoretakTy.(e.g.theinhtegrationcogridifyingvoberyhighevisdi-ofmensionalhmarksspace)dieren[4].tDespitepaces.thethateasefastestofnndeclaredumerics,FMCwsimstandardulationsbcomewhicatrepresenthesetcostfoofbasedtremendousds,computationalgeneratedemandtheintest.avidedditibasisoensofttonenoanaslbowwrelativerareaconcompavtoergencedesignedrates.aluatingHoTwerformancevcomputerer,eenad-yvencanoncesypicallyinbcompuoftsc.edettp://www.globus.org/reb.cern.carcttp://proactivhitecturesttp://sourceforge.net/prolhikttp://ketmfailureulticore,rmansycores,urGeesneral.PurpAnoserobustGraphicsserviceProerationcessingbUnitsac(GPGPUs)edanditheirtmacroyingformsgreatliktetoclustershasuendCurrenfeGrideratedmid-GareridsihabvineCondormadejectsucandhGlobusMC2simRecenulationsyawhandyhatoeolanforofnancialademicengineerscommercial[7].areFinancvidersihagleinstituti,octivnPareSuiteusing,GridhemicompuGridtmputingingorkto,p6erformKAAPI/Tmoreuktime.critical.compwutquestionawhictmiddlewiontoshoforforcompnancialetitivAneviousadvaan-istage.dWithethissetunprecedenbtednccomputationalandcapacitutyt,tationsrunninghrouotheirvTheernigharetresultsbatcthehcoproocessescouldforeriasskwinner.managemenortoneorouldmiddle-oceafunctionswtodenedrenehmark-heouldvtaluatewidewholeofproalgorithms,ductrofMCpmeortfolioshohaandvalsoeenoughalmostonbmiddleweeninoutBencofprofashion.aGridacceptedmiddlewofareerformancisevwhatofmakwescompGrts.iderformanceclomputingandwencorkhoandeveasieristoelywoungorkinwith.computingItrprodvidesbabstractionshmarksforfocoreevfcomputerunctionalitihitecture.eraditionallysplikeeparallelauthensystemsticationbaevcrossblargestrategicallynbumhmarkbloadertheofTresou,rhcences,compriseauthorization,1resourcettp://www.cs.wimatcu/condor/hmaking,hdata3transfer,ttp://glite.wmonitoringh/glite/andhfaulttolerancee.inria.fr/mechh-jects/alcanisms6inttp://www.unicore.eu/orderhtoaapi.gforge.inria.fr/accoun
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inria-00387324, version 2 - 18 Jun 2009

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