A representative workload is imperative in determining the suitability of any infrastructure for HPC workloads. A performance benchmark may not represent your workload perfectly but in the absence of other data it can provide a useful starting point.

Due to the nature of the financial services industry however no such benchmark existed for FSI HPC use cases. (Till we created one). The highly proprietary and confidential nature of financial analytics code also makes it near impossible to produce such a benchmark using real world financial libraries.

Fortunately, we were able to solve this conundrum through the use of Open Risk Engine Open Risk Engine which is based on QuantLib QuantLib

The use of these components allowed the development of an FSI specific HPC benchmark that can be used to evaluate cloud and physical infrastructure.

The use of these components allowed the development of an FSI specific HPC benchmark that can be used to evaluate cloud and physical infrastructure.

The benchmark is open source and available on GitHub: https://github.com/hmxlabs/corex

Additional information relating to its development is available on Flux, our newsletter.