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Philip Bull
Azure Business Development Manager
Microsoft UK
HPC in Finance on Windows Azure
3
Major datacenter
West US, North Central US, S. Central US, East US, N. Europe, W. Europe, E. Asia, S.E. Asia + 24 Edge CDN Locations
3
virtual machines web sites cloud services SQL database noSQL database blob storage connect virtual network traffic manager
. . .
Fra
mew
ork
s S
erv
ices
Fab
ric
Infr
ast
ructu
re
N Central US, S Central US, N Europe, W Europe, E Asia, SE
Asia + 24 Edge CDN Locations
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Automated
Managed Resources
Elastic
Usage Based
3
Virtual Machines
6
>_
Server
3
Lock-InWindows Azure
Customer Data Center
Other Service Providers
Windows
Virtual Machine
3
Windows Azure feature ISO
27001
SSAE 16
SOC 1
Type 2
EU
Model
Clauses
HIPAA
BAA
Web Sites
Virtual Machines
Cloud Services
Storage (Tables, Blobs, Queues)
SQL Database
Caching
Content Delivery Network
Networking (Connect, TM, VNet)
Azure Active Directory
Service Bus
Media Services
Program Description
ISO 27001 • Internationally recognized information security standard, broadly accepted outside U.S.,133 controls across 11 domains
• Annual surveillance audits with continual improvement
EU Data Protection
Directive
• Law that sets a baseline for handling personal data in the EU, Microsoft complies through EU-US Safe Harbor Framework
• EU regulators and customers asking for EU Model Clauses
HIPAA BAA • Specifies privacy, security, and disaster recovery guidelines for electronic storage of health records in the United States
• Business Associate Agreement (BAA) enables third parties to build HIPAA compliant solutions
SSAE 16 / ISAE 3402 • Accounting standard relied upon as the authoritative guidance for reporting on service organizations (SOC 1, SOC 2, SOC 3)
• Annual audit, controls monitored for 6 months, 10 domains, detailed audit report shared with customers under NDA
FISMA • U.S. Federal law enacted in 2002, based on NIST 800 series, 18 control domains, in-depth audit, documentation heavy
• Applies to all U.S. Federal agencies, New FedRAMP became effective in June 2012
FISMA
ISO
HIPAA
“Microsoft Azure Blob Storage has taken a significant step
ahead of last year’s leader, Amazon S3”
“Microsoft emerged as a top performer in every category”
“It is clear that Microsoft’s investments in Azure are starting to
pay dividends and that the technology they are providing to the
market is second to none.”
Nasuni Benchmark Comparison of Performance, Availability and Scalability
Qualify/Develop: Competitive Differentiation
10
FSI/HPC customer solutions
on Azure
11
Task Flow
Blobs
2 –
Up
load
In
pu
t fi
les HPC Head Node
4 – Distribute Job/Tasks
5 – Read Input Blob 6 – Execute Pricer
7 – Write Output Blob
9 –
Do
wn
load
ou
tpu
t fi
les
Solution/Proof: Large UK Bank
13
Customer Needs
Avoid CAPEX (looking a
purchasing additional Data
Center)
Reducing time to delivery -
report exotic VAR regulatory
position on a daily basis after
an overnight run on Windows
Azure
Meet expansion demands
Align costs to business strategy
Proposed Solution
Bursting Scenario using HPC in
the cloud
Moved 2000+ cores per day to
the cloud
Migration from Datasynapse
(Tibco) grid to a Microsoft HPC
server grid
Used in concert with On-
premise datacenters allowing
maximum flexibility
Proven burst Scenario model
Cloud Economics (elasticity key
in this scenario - and cost-
effective set of resources (both
compute and storage)
Turn-key Hybrid cloud
proposition
Executable commercial Model
(piloted EA reservation model)
Why Microsoft Azure?
MG-Alfa – Actuarial Modelling Solution
http://www.insuranceerm.com/news-comment/milliman-to-transform-phoenix-groups-actuarial-systems.html
http://www.microsoft.com/casestudies/Windows-Azure/Milliman/Actuarial-Firm-Works-to-Transform-Insurance-Industry-with-Cloud-based-Solution/710000001018
Video:
http://insight.milliman.com/article.php?cntid=8200
15
Customer Needs
Towers Watson, a global
professional services company,
launched a new software
integration product designed
to enable life insurers to run
MoSes financial models in
Microsoft Windows Azure
Cloud Services.
Proposed Solution
The user interface built with Microsoft
.NET technology for the look and feel
that users expect
The MoSes architecture readily
supports the use of distributed
processing or grid computing to
enable projections to be run in much
less time.
The MoSes HPC product enables
MoSes Version 6.3 or higher to work
with Microsoft Windows HPC Server
2008, and now with Windows Azure.
With the introduction of
MoSes Azure, insurers can
now run their MoSes models
distributed either in-house
with MoSes HPC, in Windows
Azure Cloud Services or in a
seamless combination of both,
according to Towers Watson.
Towers Watson is a professional services firm that helps organizations improve their performance through innovative human capital and risk and financial services solutions. In the area of risk and financial services, the firm provides solutions in risk and capital management, reinsurance intermediary services and actuarial consulting, including: enterprise risk management, financial reporting and management, mergers and acquisitions, pension and retirement risks, product and market strategies, and reinsurance intermediary and analytical services.
Partner: Towers Watson (1/2)
Why Windows Azure?
Partner: Towers Watson (2/2)
16
“Insure the World” The calculation used a 28,000 Azure cores based run Completed in about 4 hours Turns out that: – The cost to insure all people alive today using Whole of Life assurances
(with a Sum Assured of USD 100,000) is USD 189 trillion This total cost is roughly equivalent to 2.5 times the World GDP (of around USD 70
trillion). The breakdown of the cost is as follows: – Claims cost of USD 186 trillion (that is, the PV of all future claims payments). – Expense cost of USD 2.7 trillion (that is, the PV of all future expenses, at USD 20 per policy per
year).
Every person on earth was simulated “Towers Watson was able to leverage existing insurance industry applications to
perform the calculations.” Now working on a “Feed the World” calculation.
OVERVIEW
More than 400 financial institutions and 45 partners across 25 countries rely on Numerix analytics for speed and accuracy in
valuing and managing the most sophisticated financial instruments. Founded in 1996, Numerix has offices in New York,
London, Tokyo, Hong Kong, Singapore and Dubai, bringing together unparalleled expertise across all asset classes and
engineering disciplines.
Numerix CrossAsset is a highly flexible and fully transparent framework for structuring any type of financial instrument,
from vanillas and “semi-exotics” to bespoke derivatives and structured products, allowing users to calculate prices and
Greeks and perform scenario analysis using any data set.
CAPITAL MARKETS SOLUTIONS
SALES GEOGRAPHY
• Currently Selling Into: US, Europe, Asia
CONTACT INFORMATION
Stig Panduro, Global Alliance Manager
Tel: +1 (425) 722-8952 X28952
Email: [email protected]
Contact here
Tel: +1 860.35.0573
Email:
Partner: Numerix (1/2)
• Private and public cloud-enabled for parallel Excel computations Built-in support for Windows
Azure and Windows HPC Server
Running multiple instances of Excel spreadsheets on Azure or HPC Clusters
• Bursts to private or public Azure Portfolio calculation speeds
increase almost linearly across nodes
http://www.numerix.com/Resources/files/LibraryDocuments/Factsheets/NXCrossAsset_Azure_FactSheet.pdf
Partner: Numerix (2/2)
‘In our experience traditional EoD
implementations provide an average EoD of 6
hours for portfolios of around 1 million trades,
this solution has been shown to do an equivalent
EoD in 3 minutes’
Picture of solution / diagram
Count of Options Execution Time Options / Minute 1,000 1mins, 2sec 0.27
10,000 1mins, 4sec 2.60
100,000 1mins, 20sec 20.83
500,000 2mins, 1sec 68.87
1,000,000 3mins, 7sec 89.13
5,000,000 12mins, 33sec 110.67
50,000,000 50mins, 55sec 272.78
100,000,000 1hrs, 37mins, 48sec 284.03
1,000,000,000 17hrs, 50mins, 55sec 259.38
Key features Large volumes of rapidly changing data whose value decays with time
Many organisations, especially in the Financial and Energy sectors, need to process high volumes of rapidly changing data
Large data volume, complex processing needs and hardware capacity today forces organisations to depend on daily (EoD) valuations …. a.k.a OLD data
Lost Market Opportunity & Business Edge Being able to process and react to this data at near real time reduces risk and
provides market opportunity Total Cost of Ownership
The current cost to purchase, maintain and scale these EoD environments is huge and it still doesn’t fulfil the business needs
Benefits Competitive, Real-time, Business Intelligence
near real time visibility of trends and risk in a volatile market enhances the ability to manage risk and financial exposure allows more analysis to be done, providing market advantage
Significantly lowers TCO Elastic, pay per use model Integrates well with existing systems and allows leveraging existing investment
Increased Business Opportunity
Avanade’s Azure Based Cloud Trading and Risk management solution uses the scale and commoditisation of the web to deliver EoR VAR
calculations in a few minutes at very low cost
Market Price, Interest Rates &
Volatilities
Trade Data Data Store
Trade BlotterPrice DeviationPrice Deviation
Market TrendsMarket Trends
Trigger Portfolio Valuation & Risk Analysis
Analysis Engine
Valuation&
Risk Analysis
Quantlib
Valuation&
Risk Analysis
Quantlib
Black Scholes
Active Position Monitor
Position & RiskPosition & Risk
Cloud Based Trading & Risk Management
More for FSI/HPC solutions
on Azure?
21
Big Compute Options http://www.windowsazure.com/en-us/home/features/big-compute/
Windows Azure provides the best infrastructure for your Compute Intensive Applications
• New offerings on Windows Azure will provide an additional powerful infrastructure with faster processors, more memory, and low-latency high bandwidth
networking
• Applications which require fast CPU’s, large memory configurations or very fast network connectivity between servers in order to solve a problem that are
too big to fit in the memory of one machine
• Initial offer of two configurations (instances) for Big Compute:
• 8 compute cores with 60 GB of RAM and 16 compute cores with 120 GB of RAM
• Delivered on systems consisting of:
•Intel Sandy Bridge processors at 2.6 GHz
•DDR3 1600 MHz RAM
•5 x 1 TB disks
•Two network connections
• 10 GigE network for storage and internet access
• RDMA + InfiniBand (IB) 40 Gbps network for inter node communication
Outstanding Performance and Efficiency for your Big Compute Application
• The InfiniBand network in Windows Azure supports remote direct memory access (RDMA) communication between compute nodes
• For applications, this allows memory on multiple computers to act as one.
• Our testing shows latency of 2.1 microseconds to send a 4 byte packet across machines, and network bandwidth of over 3500 MB per sec
• Windows Azure is the very first cloud provider to offer a virtualized InfiniBand RDMA network capability for MPI applications
• The LINPACK benchmark achieved 151.3 TFlops on 8064 cores with 90.2% efficiency
Next Steps:
•Try HPC Pack 2012 now
HDInsights – Big Data Analysis
HDInsight Service (Preview)
Gain insight from any data, any size, anywhere Microsoft’s Hadoop-based service that brings a 100% Apache Hadoop solution to the
cloud. HDInsight gives you the ability to gain the full value of Big Data with a modern, cloud-based data platform that manages data of any type, whether structured or unstructured, and of any size.
With HDInsight you can seamlessly store and process data of all types through Microsoft’s modern data platform that provides simplicity, ease of management, and an open Enterprise-ready Hadoop service all running in the cloud. Analyze your Hadoop data with PowerPivot, Power View and other Microsoft BI tools, thanks to integration with Microsoft data platform.
Simplicity of Windows Azure HDInsight enables simple and straightforward installation of your Hadoop clusters. You
can accelerate the deployment with the cloud by deploying a Hadoop cluster on Windows Azure in instead of days or weeks. Use simple web-based tools and APIs to interact with and monitor your cluster.
Seamless scale and elasticity HDInsight allows you to quickly create a Hadoop cluster scaled to fit your demand,
when you need it, run your analysis, and shut down the cluster when you are done – leading to cost savings only possible on a cloud environment.
Insights with Microsoft Business Intelligence tools Through the Hive Open Database Connectivity (ODBC) Driver you can now glean
insights on all your data with familiar tools like Microsoft Office. In addition, you analyze all your data easily with BI tools like Microsoft SQL Server Analysis Services (SSAS), PowerPivot, and Power View.
Why Windows Azure ?
Why Microsoft ?
Support
Time to Mkt. Faster time to
functionality
Total Cost
Decrease Total Cost
Make Fixed cost
Variable
Application
Performance
Increase Availability **
Increase Scalability
Why Public Cloud ?
IT Control + Cloud
Benefits
Get Started with Azure
://www.windowsazure.com/
en-us/pricing/free-trial/
