Design Space Exploration of the European Option Benchmark using Hyperstreams

The benchmark of pricing a European option via Monte Carlo simulation is commonly used in financial engineering for evaluating the performance of new computational techniques and to tune the parameters of the Monte Carlo simulation for improved convergence. This paper presents a comparison of different FPGA implementations of the European option benchmark against other implementations using GPUs, Cell BE, and a traditional software implementation. Error against a closed form solution is contrasted with relative acceleration for the different implementations. The FPGA approach gives significant performance advantages compared to the alternatives examined. An acceleration of 146× compared to a reference software implementation can be obtained using FPGAs, compared to only 32× in the case of the best non-FPGA alternative. Better error performance than a double precision floating point software implementation may also be obtained. In addition, the reconfigurability of an FPGA solution allows tradeoffs between acceleration and error not possible with alternative approaches. The FPGA implementations were produced using `HyperStreams', a high level abstraction for designing arithmetic pipelines built on the Handel-C programming language.