Acceleration of an analytical approach to collateralized debt obligation pricing

  • Authors:

  • Dharmendra P. Gupta;Paul Chow

  • Affiliations:

  • University of Toronto, Toronto, ON, Canada;University of Toronto, Toronto, ON, Canada

  • Venue:
  • Proceedings of the 18th annual ACM/SIGDA international symposium on Field programmable gate arrays
  • Year:
  • 2010

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Abstract

This paper proposes a hardware implementation for pricing Collateralized Debt Obligations using a recursive analytical method. A novel approach using FIFOs for storage is implemented for the recursive convolution resulting in significant memory savings and a 41-fold speedup over a software implementation for the hardware implementation.