SCENARIO STATE PROCESSING SYSTEMS AND METHODS FOR OPERATION WITHIN A GRID COMPUTING ENVIRONMENT

摘要

Systems and methods are provided for generating multiple system state projections for one or more scenarios using a grid computing environment. A central coordinator software component executes on a root data processor and provides commands and data to a plurality of node coordinator software components. A node coordinator software component manages threads which execute on its associated node data processor and which perform a set of matrix operations. Stochastic simulations use results of the matrix operations to generate multiple state projections. Additional processing can be performed by the grid computing environment based upon the generated state projections, such as to develop risk information for users.

主权项

1. A computer-program product comprising a non-transitory computer-readable medium having instructions stored thereon, the instructions operable to cause a processor to perform operations including:
accessing a multi-dimensional sample of risk factor historical data, wherein the sample includes multiple observations with respect to each of the dimensions, wherein each of the dimensions is associated with a unique risk factor, and wherein the multi-dimensional sample is accessed on a computing device; computing a cross-product matrix based on the historical data, wherein computing is performed using distributed computing and includes:
partitioning the multi-dimensional sample into multiple data partitions; anddistributing the data partitions among multiple grid computing nodes, wherein distributing includes using a wave distribution technique such that one of the partitions is communicated between a pair of the nodes simultaneous to another of the partitions being communicated between another pair of the nodes, and wherein each of the nodes computes and stores a unique portion of the cross-product matrix, each of the unique portions computed using at least one of the data partitions; communicating with the nodes, wherein communicating causes the nodes to decompose the cross-product matrix; providing each of the nodes with a unique set of random vectors, wherein each of the nodes generates multiple market state projections using the decomposed cross-product matrix and the set of random vectors with which the node is provided; distributing a predetermined asset pricing function to the nodes, wherein each of the nodes projects and stores asset prices based on the respectively generated market state projections and the asset pricing function; receiving a query; retrieving multiple asset prices from the nodes at which they are stored; and generating a response to the query, wherein generating is based on the retrieved asset prices.