You might already know I’m interested in the application of FPGAs in the financial markets, a field that has been growing over the last few years. JP Morgan has been working on this over the last 3 years and its paying off.
Prior to the implementation, JP Morgan would take eight hours to do a complete risk run, and an hour to run a present value, on its entire book. If anything went wrong with the analysis, there was no time to re-run it.
It has now reduced that to about 238 seconds, with an FPGA time of 12 seconds.