Asian Options Pricing Video
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Windows HPC Server 2008 includes support for parallel applications that use the service-oriented architecture (SOA) programming model; these applications use compute clusters interactively to provide near real-time calculation of complex algorithms such as those used for Asian options pricing.
This video demonstrates how to use Windows HPC Server 2008 for pricing Asian options using Monte Carlo pricing runs on a Microsoft Office Excel spreadsheet; with a single click, you can perform multiple iterations and get results in approximately four seconds. In a non-cluster environment (a single desktop), the same calculations would take about 45 seconds. This example uses three nodes of a cluster, each with four cores (for a total of 12 cores).
The video then focuses on the code that performs the calculations. Beginning with an examination of the service code, the presenter identifies the six parameters from the spreadsheet. He then points out that there are two loops: the outer loop with the number of runs (1 million, in the example), and the inner loop with the Monte Carlo path period (in the example, the period is 20�this means there are 20 million calculations in this spreadsheet).
Next, the video examines the client�in this case, the client is the Excel spreadsheet. The example uses the technology "C# behind"" C# code behind the Excel spreadsheet. The presenter steps through the source code to show how to first establish the session and then attach to a running session. Finally, the video looks at the code behind the main Excel worksheet, and shows how and where the pricing results are actually calculated.
