Accelerating QuantLib with an FPGA Coprocessor In this case study we will examine how to take QuantLib, an open-source library and increase its performance by replacing calls to certain subroutines with calls to IP on an FPGA. We will examine what is required to implement the connection between QuantLib and the FPGA, observe the actual […]
Hardware Acceleration of Monte Carlo Simulation for Option Pricing Using Field Programmable Gate Arrays (FPGAs) to accelerate financial derivative calculations is becoming very common. However, the practicality of FPGAs still present challenges due to extended development time [1]. In this case study we will benchmark the performance and development times of European Option Pricing using Monte Carlo simulations […]
Download PDF of this White Paper By Terry Stratoudakis – Wall Street FPGA, LLC – New York City – March 2011 Abstract This paper presents a Hardware Accelerated FIX Order Cancel System. The open source FIX Engine, QuickFIX is accelerated using Field Programmable Gate Array (FPGA) technology. The acceleration is performed by an FPGA […]
In the past, Wall Street FPGA, LLC has published several papers on using FPGAs for Financial Applications, you can access them here. Hardware Accelerated FIX Order Cancel System, Terry Stratoudakis Quantlib on an FPGA Option Pricing (Monte Carlo) on an FPGA