April 10-12, Chicago, IL

Parallelizing Large Excel-Based

Calculations on Windows HPC Server &

Azure

April 10-12, Chicago, IL

Please silence cell phones

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Computational Finance

Computational Finance emphasizes practical numerical methods rather than mathematical proofs and focuses on techniques that apply directly to economic analyses.

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Quantitative AnalyticsMany problems in mathematical finance entail the computationof a particular integral. In many cases these integrals can be valuedanalytically, and in still more cases they can be valued using numerical integration, or computed using a PDE. However when the number of dimensions (or degrees of freedom) in the problem is large, PDEs and numerical integrals become intractable, and in these cases Monte Carlo Methods often give better results.

Black-Scholes Formula Equity Options

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Monte Carlo Methods

Any method which solves a problem by generating suitable random numbers and observing that fraction of the numbers obeying some property or properties. The method is useful for obtaining numerical solutions to problems which are too complicated to solve analytically.

• Generate a set of (pseudo) random numbers in a known domain• Check whether each point is within the Area• Estimate the Area as a subset of the known domain

The higher the number of samples the more precise the calculation

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Add-ins XLLs

Data Sources

Data Feeds RTDs

Microsoft Excel Computational Environment

VBA

Application.ScreenUpdating = False Calculate Range(Cells(36 + 5 * (k - 1), 22), Cells(40 + 5 * (k - 1), 60)).Select Selection.Copy Range("V26").Select Selection.PasteSpecial Paste:=xlPasteValues, Operation:=xlNone, SkipBlanks

Application.ScreenUpdating = True

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On-premise

HPC – Deployment Choices

Spreadsheet

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On-Premise

Traditional HPC environmentDedicated compute nodes

Workstation nodes (CoW) & Server Scavenging

Supports specialized hardware (Infiniband, GPU, etc.)

2008 R2

On-premise head node and broker nodesAdministration- deployment, monitoring, diagnostics, & reporting

Scheduler – FCFS, Balanced, Pools, Preemption

Runtimes - Parametric sweep, MPI, SOA

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Hybrid HPC – Burst to Azure

2008 R2SP1/SP2

Combine power of on-premise compute resources with scale-out capability of Azure.Cluster burst to Azure –

Add cloud resources as necessary

Worker Roles

VMs

On-premise head node & broker nodesFull Admin and Scheduler capabilities

Work (jobs/tasks) pushed to Azure nodes when available

Workloads: parametric sweep, MPI, SOA

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HPC Hosted in Azure (HPC Scheduler on Azure)

Application hosted entirely in Azure No on-premise Head Node

Application is accessed fromRich client on premise

Portal

Web Application

Multiple business modelsPackaged application is sold to a customer

Application is available as a service in the cloud

Scheduler and Runtimes Supported in AzureWorkloads: Parametric Sweep, SOA, MPI

No Head Node (Scheduler Service, no Admin Services)

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Compute Nodes

Spreadsheet

Head Node

Brokers

Request S

ession

Broker

Assignment

Task Submission

Task Assignment

Results

Results

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Offloading Excel Calculations on a Cluster

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WCF BrokerNode(s

)

Applications

Excel 2010

HPC/Excel Client

HPC/Excel Add-in

Macros

VBA Driver

Excel Driver

Excel Driver

HPC/Excel Service

Excel 2010

.NET / COM

CLI

Network ShareExcel Workbook

Desktop Client Windows HPC Cluster

Network Resources

Excel Components

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Overview

Save temporary copy of workbook

Start Excel and Load Workbook

HPC_Initialize

HPC_Partition (Loop) HPC_Execute

HPC_Merge

Desktop HPC Cluster

HPC_ExecuteHPC_Execute

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OverviewPorting a workbook for the cluster (1)Identify Iterative CalculationUsually a loop or similar construct

Identify Business LogicBusiness logic should be unchangedRe-use code for desktop, cluster calculation

Identify Startup CodeUsually some pre-run or startup requirements

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OverviewPorting a workbook for the cluster (2)Add Client "Control" CodeAdd Skeleton MacrosConvert Desktop Code to Cluster Functions

Add Local Test FunctionsConsolidate Desktop and Cluster Code

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Original VBA CodeIterative loop calculation

Function RunModel()

' set up variables NumIterations = Range("C8").Value

' run calculation in a loop For n = 1 To NumIterations rslt = CalculateSingleIteration(n) ConsolidateResults rslt Next n

' complete call UpdateCharts

End Function

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Modified VBA CodeBusiness logic is moved, but

unchangedFunction HPC_Execute( data As Variant ) As Variant

' run single iteration HPC_Execute = CalculateSingleIteration(data)

End Function

Function HPC_Merge( data As Variant )

' insert results into workbook ConsolidateResults data

End Function

April 10-12, Chicago, IL

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April 10-12, Chicago, IL

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