Benchmark of Tree Engine¶

Overview¶

This is a benchmark based on tree structure using the Xilinx Vitis environment to compare with QuantLib, where the Rate Model supports multiple models, including Vasicek, HullWhite, BlackKarasinski, CoxIngersollRoss, ExtendedCoxIngersollRoss, Two-additive-factor gaussian, and the Instrument supports multiple Instruments, including swaption, swap, capfloor, callablebond. It supports software and hardware emulation as well as running the hardware accelerator on the Alveo U250.

Highlights¶

the benchmarks include 2 parts: TreeSwaptionEngineHWModel and TreeHWModelEngine.

Baseline is Quantlib, a Widely Used C++ Open Source Library, running on platform with 2 Intel(R) Xeon(R) CPU E5-2667 v3 @3.200GHz, 8 cores per procssor and 2 threads per core.

TreeSwaptionEngine¶

The performance of the TreeEngine based on the swaption and different models is shown in the table below.

Table 22 performance based on swaption¶
Model	platform	Timesteps
Model	platform	50	100	500	1000
HWModel	Baseline (ms)	1.0	4.8	353.9	2493.5
	FinTech on U250 (ms)	0.018	0.042	0.485	1.650
	Accelaration Ratio	55X	114X	729X	1511X
BKModel	Baseline (ms)	1.9	8.6	438.2	2813.1
	FinTech on U250 (ms)	0.069	0.156	1.471	4.601
	Accelaration Ratio	27X	55X	297X	611X
CIRModel	Baseline (ms)	0.5	1.4	26.2	100.7
	FinTech on U250 (ms)	0.007	0.014	0.119	0.361
	Accelaration Ratio	71X	100X	223X	278X
ECIRModel	Baseline (ms)	1.1	5.5	439.5	3322.5
	FinTech on U250 (ms)	0.058	0.114	0.997	3.088
	Accelaration Ratio	19X	48X	440X	1093X
VModel	Baseline (ms)	0.5	1.8	40.1	161.7
	FinTech on U250 (ms)	0.005	0.010	0.096	0.322
	Accelaration Ratio	100X	180X	417X	502X
G2Model	Baseline (ms)	258.0	2133.5
	FinTech on U250 (ms)	0.574	4.496
	Accelaration Ratio	449X	474X

TreeHWModelEngine¶

The performance of the TreeEngine based on the HullWhite model and different instruments is shown in the table below.

Table 23 performance based HullWhite¶
Instrument	platform	Timesteps
Instrument	platform	50	100	500	1000
Swaption	Baseline (ms)	1.0	4.8	353.9	2493.5
	FinTech on U250 (ms)	0.018	0.042	0.485	1.650
	Accelaration Ratio	55X	114X	729X	1511X
Swap	Baseline (ms)	1.0	4.3	291.2	2056.5
	FinTech on U250 (ms)	0.014	0.032	0.361	1.226
	Accelaration Ratio	71X	134X	806X	1677X
CapFloor	Baseline (ms)	0.7	3.4	217.6	1581.3
	FinTech on U250 (ms)	0.014	0.031	0.344	1.160
	Accelaration Ratio	50X	109X	632X	1363X
Callable	Baseline (ms)	1.4	3.5	155.2	1142.1
	FinTech on U250 (ms)	0.015	0.033	0.374	1.260
	Accelaration Ratio	93X	106X	414X	906X

Profiling¶

The resource utilization and performance of Engine on U250 FPGA card is listed in the following tables.

Table 24 Resource utilization report on U250¶
Engine	PUs	BRAM	URAM	DSP	REG	LUT	FPGA Clock
treeSwaptionEngineHWModel	16	1136	0	6128	1080922	1051628	198.3MHz
treeSwaptionEngineBKModel	12	936	0	5128	951861	970889	223.6MHz
treeSwaptionEngineCIRModel	20	1064	0	4896	977294	870446	266.5MHz
treeSwaptionEngineECIRModel	12	932	0	4456	963209	962656	229.8MHz
treeSwaptionEngineVModel	20	1276	0	6636	1166999	1076988	249.4MHz
treeSwaptionEngineG2Model	8	308	1088	4112	736199	699702	204.9MHz
treeSwapEngineHWModel	16	1056	0	5552	1045252	1024854	252.9MHz
treeCapFloorEngineHWModel	16	1036	0	5040	981075	1009950	267.2MHz
treeCallableEngineHWModel	16	1056	0	4528	961311	983068	242.0MHz