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Microsoft Office Excel has found a home deep rooted in computational finance. Many of the world’s best kept financial secrets are housed in spreadsheets. Even though more advanced software packages exist, history has proven that quantitative analysts prefer the flexible and familiar environment Microsoft Excel provides. While spreadsheets may provide the ubiquitous environment for financial modeling they are not always known for high performance. How can financial institutions balance the need for flexibility with the need for performance?
Moore's Law generally states that the number of transistors on an integrated circuit doubles every 24 months. Historically this trend coincided with the increased clock speeds of processors. As clock speeds increased you generally got increased performance from your spreadsheets. Today the number of transistors is still doubling and increases in clock speeds are slowing in pace. The increased computing power now comes from multi-core technology. The ability to capitalize on multi-core technology is only realized through the ability to run calculations in parallel.
Computing has also seen an increase in available memory. 32-bit machines are limited to a 4GB (2³²) address space. 64-bit machines can theoretically address memory into the terabytes, through there are practical limitations based on density of memory currently provided by hardware vendors. Though even with these advancements in desktop computing there are limits to which a single machine running Microsoft Excel can achieve.
Processing power: Prior to the release of Microsoft Excel 2007, all spreadsheets were single threaded and could take advantage of today’s multi-core technology.
Spreadsheet size and memory limitations: Excel 2003 can have 256 columns by 64K rows and can use 1GB of memory. Excel 2007 can have 16K columns by 1M rows, but is still constrained by a 32-bit address space.
Desktop computing: Excel has historically been a desktop application without a server complement.
Microsoft High Performance Computing allows financial services customers to be more competitive by improving time to market, reduce operational risk by taking advantage of more computational intense calculation methods, and deal with regulatory compliance and date driven mandates.
Microsoft High Performance Computing platform allows companies to run financial applications, such as Microsoft Excel, on a Windows HPC Cluster. This allows firms to analyze and run simulation models on complex financial instruments and portfolios, price options, detect fraud, and predict currency shifts. It lets companies analyze risk across portfolios as well as the enterprise, and enables quantitative analysts, traders and portfolio managers to understand the relationship between risks and profitability.
Take the example of pricing calculations in capital markets and the use of Monte Carlo simulations for randomized scenario analysis and for calculating risk exposure. The greater the number of scenarios is, the more accurate the calculations are. Most of these simulations are executed in parallel and depend on data from multiple sources, e.g., security reference data from external sources, portfolio/position data, and compliance information. Historically, these types of calculations were performed in Excel. In the past, the intellectual property contained in the spreadsheet alone provided the competitive advantage. Today that advantage is capped if you are limited to desktop computing.
By coupling the new improvements in Excel 2007 with Windows HPC Server 2008 users are able to run increasingly complex, time sensitive models in a significantly reduced period resulting in improved responsiveness and user productivity. The end result transforms an application like Microsoft Excel into a computational powerhouse that lets you do more in less time.
Microsoft Windows HPC Server 2008: Windows HPC Server 2008 provides a secure, cost-effective solution that allows analysts to spend more time analyzing complex data sets to make better decisions. Integration with mainstream applications, such as Microsoft Office Excel 2007, enables you to prototype on a client computer while enabling production deployment on server computers. In addition, developers can leverage the familiar Windows-based integrated development environment (IDE) of Microsoft Visual Studio 2008. They can build and deploy parallel, Microsoft .NET-based applications quickly and easily.
Microsoft Office Excel 2007: Microsoft has made significant improvements in Excel 2007 guaranteed to excite spreadsheets enthusiasts. Users can now create spreadsheets with up to 16,384 columns and 1,048,576 rows and benefit from expanded memory capabilities up to the maximum amount of memory addressable within 32-bits. Finally, Excel now includes a multi-threaded calculation engine. This means, that spreadsheets can maximize computational power. When running multi-core, multi-CPU, or hyper-threaded processes, linear improvements can be seen in performance, assuming parallelization of calculations.
Excel Services: Excel Services, part of Microsoft Office SharePoint Server 2007 (MOSS), extends the capabilities of Excel 2007 by providing a server-side complement. Excel services provides the necessary components to share and maintain spreadsheets in a secure manner.
Clustered Excel
