HPC in Finance on Windows Azure Philip Bull Azure Business Development Manager Microsoft UK
Major datacenter West US, North Central US, S. Central US, East US, N. Europe, W. Europe, E. Asia, S.E. Asia + 24 Edge CDN Locations
Infrastructure Fabric Services Frameworks... virtual machines web sites cloud services SQL database nosql database blob storage connect virtual network traffic manager... Automated Managed Resources Elastic Usage Based N Central US, S Central US, N Europe, W Europe, E Asia, SE Asia + 24 Edge CDN Locations
Virtual Machines Server >_ 6
Lock-In Windows Azure Windows Virtual Machine Other Service Providers Customer Data Center
Program Description ISO 27001 Internationally recognized information security standard, broadly accepted outside U.S.,133 controls across 11 domains Annual surveillance audits with continual improvement EU Data Protection Directive Law that sets a baseline for handling personal data in the EU, Microsoft complies through EU-US Safe Harbor Framework EU regulators and customers asking for EU Model Clauses HIPAA BAA Specifies privacy, security, and disaster recovery guidelines for electronic storage of health records in the United States Business Associate Agreement (BAA) enables third parties to build HIPAA compliant solutions SSAE 16 / ISAE 3402 Accounting standard relied upon as the authoritative guidance for reporting on service organizations (SOC 1, SOC 2, SOC 3) Annual audit, controls monitored for 6 months, 10 domains, detailed audit report shared with customers under NDA FISMA U.S. Federal law enacted in 2002, based on NIST 800 series, 18 control domains, in-depth audit, documentation heavy Applies to all U.S. Federal agencies, New FedRAMP became effective in June 2012 Windows Azure feature Web Sites ISO 27001 SSAE 16 SOC 1 Type 2 EU Model Clauses HIPAA BAA Virtual Machines Cloud Services Storage (Tables, Blobs, Queues) SQL Database Caching Content Delivery Network Networking (Connect, TM, VNet) Azure Active Directory Service Bus Media Services FISMA ISO HIPAA
Nasuni Benchmark Comparison of Performance, Availability and Scalability Microsoft Azure Blob Storage has taken a significant step ahead of last year s leader, Amazon S3 Microsoft emerged as a top performer in every category It is clear that Microsoft s investments in Azure are starting to pay dividends and that the technology they are providing to the market is second to none.
Qualify/Develop: Competitive Differentiation 10
FSI/HPC customer solutions on Azure 11
2 Upload Input files 9 Download output files Task Flow HPC Head Node 4 Distribute Job/Tasks 5 Read Input Blob 6 Execute Pricer Blobs 7 Write Output Blob
Solution/Proof: Large UK Bank Customer Needs Avoid CAPEX (looking a purchasing additional Data Center) Reducing time to delivery - report exotic VAR regulatory position on a daily basis after an overnight run on Windows Azure Meet expansion demands Align costs to business strategy Proposed Solution Bursting Scenario using HPC in the cloud Moved 2000+ cores per day to the cloud Migration from Datasynapse (Tibco) grid to a Microsoft HPC server grid Used in concert with Onpremise datacenters allowing maximum flexibility Why Microsoft Azure? Proven burst Scenario model Cloud Economics (elasticity key in this scenario - and costeffective set of resources (both compute and storage) Turn-key Hybrid cloud proposition Executable commercial Model (piloted EA reservation model) 13
MG-Alfa Actuarial Modelling Solution Video: http://insight.milliman.com/article.php?cntid=8200 http://www.insuranceerm.com/news-comment/milliman-totransform-phoenix-groups-actuarial-systems.html http://www.microsoft.com/casestudies/windows- Azure/Milliman/Actuarial-Firm-Works-to-Transform- Insurance-Industry-with-Cloud-based- Solution/710000001018
Partner: Towers Watson (1/2) Towers Watson is a professional services firm that helps organizations improve their performance through innovative human capital and risk and financial services solutions. In the area of risk and financial services, the firm provides solutions in risk and capital management, reinsurance intermediary services and actuarial consulting, including: enterprise risk management, financial reporting and management, mergers and acquisitions, pension and retirement risks, product and market strategies, and reinsurance intermediary and analytical services. Customer Needs Towers Watson, a global professional services company, launched a new software integration product designed to enable life insurers to run MoSes financial models in Microsoft Windows Azure Cloud Services. Proposed Solution The user interface built with Microsoft.NET technology for the look and feel that users expect The MoSes architecture readily supports the use of distributed processing or grid computing to enable projections to be run in much less time. The MoSes HPC product enables MoSes Version 6.3 or higher to work with Microsoft Windows HPC Server 2008, and now with Windows Azure. Why Windows Azure? With the introduction of MoSes Azure, insurers can now run their MoSes models distributed either in-house with MoSes HPC, in Windows Azure Cloud Services or in a seamless combination of both, according to Towers Watson. 15
Partner: Towers Watson (2/2) 16
Insure the World The calculation used a 28,000 Azure cores based run Completed in about 4 hours Turns out that: The cost to insure all people alive today using Whole of Life assurances (with a Sum Assured of USD 100,000) is USD 189 trillion This total cost is roughly equivalent to 2.5 times the World GDP (of around USD 70 trillion). The breakdown of the cost is as follows: Claims cost of USD 186 trillion (that is, the PV of all future claims payments). Expense cost of USD 2.7 trillion (that is, the PV of all future expenses, at USD 20 per policy per year). Every person on earth was simulated Towers Watson was able to leverage existing insurance industry applications to perform the calculations. Now working on a Feed the World calculation.
Partner: Numerix (1/2) OVERVIEW More than 400 financial institutions and 45 partners across 25 countries rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. Founded in 1996, Numerix has offices in New York, London, Tokyo, Hong Kong, Singapore and Dubai, bringing together unparalleled expertise across all asset classes and engineering disciplines. CAPITAL MARKETS SOLUTIONS Numerix CrossAsset is a highly flexible and fully transparent framework for structuring any type of financial instrument, from vanillas and semi-exotics to bespoke derivatives and structured products, allowing users to calculate prices and Greeks and perform scenario analysis using any data set. SALES GEOGRAPHY Currently Selling Into: US, Europe, Asia CONTACT INFORMATION Stig Panduro, Global Alliance Manager Tel: +1 (425) 722-8952 X28952 Email: stigp@microsoft.com Contact here Tel: +1 860.35.0573 Email:
Partner: Numerix (2/2) http://www.numerix.com/resources/files/librarydocuments/factsheets/nxcrossasset_azure_factsheet.pdf Private and public cloudenabled for parallel Excel computations Built-in support for Windows Azure and Windows HPC Server Running multiple instances of Excel spreadsheets on Azure or HPC Clusters Bursts to private or public Azure Portfolio calculation speeds increase almost linearly across nodes
Cloud Based Trading & Risk Management Avanade s Azure Based Cloud Trading and Risk management solution uses the scale and commoditisation of the web to deliver EoR VAR calculations in a few minutes at very low cost Key features Large volumes of rapidly changing data whose value decays with time Many organisations, especially in the Financial and Energy sectors, need to process high volumes of rapidly changing data Large data volume, complex processing needs and hardware capacity today forces organisations to depend on daily (EoD) valuations. a.k.a OLD data Lost Market Opportunity & Business Edge Being able to process and react to this data at near real time reduces risk and provides market opportunity Total Cost of Ownership The current cost to purchase, maintain and scale these EoD environments is huge and it still doesn t fulfil the business needs Benefits Competitive, Real-time, Business Intelligence near real time visibility of trends and risk in a volatile market enhances the ability to manage risk and financial exposure allows more analysis to be done, providing market advantage Significantly lowers TCO Elastic, pay per use model Integrates well with existing systems and allows leveraging existing investment Increased Business Opportunity Market Price, Interest Rates & Volatilities Trade Data Count of Options Execution Time Options / Minute 1,000 1mins, 2sec 0.27 10,000 1mins, 4sec 2.60 100,000 1mins, 20sec 20.83 500,000 2mins, 1sec 68.87 1,000,000 3mins, 7sec 89.13 5,000,000 12mins, 33sec 110.67 50,000,000 50mins, 55sec 272.78 100,000,000 1hrs, 37mins, 48sec 284.03 1,000,000,000 17hrs, 50mins, 55sec 259.38 Picture of solution / diagram Trigger Portfolio Valuation Price Deviation Market Trends Trade Blotter Data Store Position & Risk & Risk Analysis Active Position Monitor Analysis Engine Valuation Valuation & Risk & Analysis Risk Analysis Quantlib Quantlib Black Scholes In our experience traditional EoD implementations provide an average EoD of 6 hours for portfolios of around 1 million trades, this solution has been shown to do an equivalent EoD in 3 minutes Nicholas.Merriman@Avanade.com
More for FSI/HPC solutions on Azure? 21
Big Compute Options http://www.windowsazure.com/en-us/home/features/big-compute/ Windows Azure provides the best infrastructure for your Compute Intensive Applications New offerings on Windows Azure will provide an additional powerful infrastructure with faster processors, more memory, and low-latency high bandwidth networking Applications which require fast CPU s, large memory configurations or very fast network connectivity between servers in order to solve a problem that are too big to fit in the memory of one machine Initial offer of two configurations (instances) for Big Compute: 8 compute cores with 60 GB of RAM and 16 compute cores with 120 GB of RAM Delivered on systems consisting of: Intel Sandy Bridge processors at 2.6 GHz DDR3 1600 MHz RAM 5 x 1 TB disks Two network connections 10 GigE network for storage and internet access RDMA + InfiniBand (IB) 40 Gbps network for inter node communication Outstanding Performance and Efficiency for your Big Compute Application The InfiniBand network in Windows Azure supports remote direct memory access (RDMA) communication between compute nodes For applications, this allows memory on multiple computers to act as one. Our testing shows latency of 2.1 microseconds to send a 4 byte packet across machines, and network bandwidth of over 3500 MB per sec Windows Azure is the very first cloud provider to offer a virtualized InfiniBand RDMA network capability for MPI applications The LINPACK benchmark achieved 151.3 TFlops on 8064 cores with 90.2% efficiency Next Steps: Try HPC Pack 2012 now
HDInsights Big Data Analysis HDInsight Service (Preview) Gain insight from any data, any size, anywhere Microsoft s Hadoop-based service that brings a 100% Apache Hadoop solution to the cloud. HDInsight gives you the ability to gain the full value of Big Data with a modern, cloud-based data platform that manages data of any type, whether structured or unstructured, and of any size. With HDInsight you can seamlessly store and process data of all types through Microsoft s modern data platform that provides simplicity, ease of management, and an open Enterprise-ready Hadoop service all running in the cloud. Analyze your Hadoop data with PowerPivot, Power View and other Microsoft BI tools, thanks to integration with Microsoft data platform. Simplicity of Windows Azure HDInsight enables simple and straightforward installation of your Hadoop clusters. You can accelerate the deployment with the cloud by deploying a Hadoop cluster on Windows Azure in instead of days or weeks. Use simple web-based tools and APIs to interact with and monitor your cluster. Seamless scale and elasticity HDInsight allows you to quickly create a Hadoop cluster scaled to fit your demand, when you need it, run your analysis, and shut down the cluster when you are done leading to cost savings only possible on a cloud environment. Insights with Microsoft Business Intelligence tools Through the Hive Open Database Connectivity (ODBC) Driver you can now glean insights on all your data with familiar tools like Microsoft Office. In addition, you analyze all your data easily with BI tools like Microsoft SQL Server Analysis Services (SSAS), PowerPivot, and Power View.
Why Windows Azure? Why Public Cloud? Time to Mkt. Faster time to functionality Why Microsoft? Total Cost Application Performance Decrease Total Cost Make Fixed cost Variable Increase Availability ** Increase Scalability IT Control + Cloud Benefits Support
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