Financial Risk Management Systems

Selling Linux solutions to the financial industry is a tough job. This traditionally conservative industry has been a slow adopter of the Open Source movement. Even as this is gradually changing, better, cheaper, faster Linux solutions aimed at the financial industry begin to appear. Last year Reuters developed Value at Risk, a statistical approach predicting how much your financial investments can lose given a financial horizon. The targeted development platform for the engine was Solaris 2.7. Once it was completed, we decided to give Linux a try. Most of the third-party libraries being available—a sure sign Linux is gaining weight in the financial industry—I ported the core of the engine itself (about 100 KLOC) to Linux 2.2.14 SMP (Red Hat flavor, multiprocessor).

We tested the financial engine with Solaris on a Sun 450, a four-processor machine running at 300MHz, and with Linux on a two-processor Pentium III running at 733MHz. Table 1 shows the results on a typical individual portfolio (30+ stocks).

Table 1. Performance Comparison

On Linux the optimized engine was built using GCC 2.95.2.1 with -O3 and on Solaris using SPARCworks 5.0 with -xO3. A financial engine like ours is not I/O-bound but CPU-bound (the financial properties are cached). Most of the time is spent calculating hypothetical future prices of a financial instrument and manipulating these prices (additions/multiplications, and sorting operations are involved in the financial algorithms). These tests would suggest the combination Linux/Intel is at least twice as fast than the Solaris equivalent. They are designed not to put one platform over another but as the typical request an on-line broker might send to our engine. They are real life examples, taken from common portfolio configurations.

To be fair we did not anticipate such performance gain by switching to Linux. We had in mind the deployment costs for our customers, and we were even ready to lose a bit of speed. Surprised by these tests, we ran the following test case simulating a common financial algorithm, which led to similar results (see Table 2):

for(int j=0; j<10000; j++)
  {
    // Build a time series
    std::vector<double> ts;
    ts.reserve(2000);
    for(int i=0; i<2000; ++i)
      ts.push_back(random());
    // Simulate the perturbation
    for(int i=0; i<2000; ++i)
      ts[i]+=5.0;
    // Sort the time series
    std::sort(ts.begin(), ts.end());
  }

Table 2. Performance Comparison II

We proved here that Linux is a viable alternative to Solaris for our product offering. Customers can choose their own deployment platform, Linux, Solaris or a combination of the two, in which case our engines will communicate with one another, some running on Solaris, some on Linux. We knew a Linux box was as reliable as Solaris. We knew it was cheaper. We know today, at least for our type of application, that it is faster. It is definitely our platform of choice, and that will contribute to the adoption of Linux in the financial community, which is a very good thing.

—Sebastien Marc

On May 28th, ZDNet reported that J. S. Wurzler Underwriting Managers—a company that offers “hacker insurance”--now charges between 5 and 15% more to companies who employ Windows NT for internet operations (www.zdnet.com/intweek/stories/news/0,4164,2766045,00.html). Of course the numerous security holes for which Microsoft is famous were cited as one of the reasons for the increase, but more surprising was the effect of higher employee turnover in companies that use Microsoft NT. The article relates:

The turnover results in reduced implementation of security patches, compounding the difficulties of weak MS security.

In the August 1996 issue of Linux Journal we ran an article about Mobile-IP and its potential for allowing trouble-free mobile connectivity. With the advent of inexpensive 802.11b hardware and community projects such as Seattle Wireless (http://www.seattlewireless.net/) and the Bay Area Wireless User Group (http://www.bawug.org/), Mobile-IP is today just a few short steps from reality.

Don't forget the Annual Perl Community Gathering—The O'Reilly Perl Conference 5 held July 23-27, 2001 in San Diego, California. As their web site says: “The O'Reilly Perl Conference has been a mainstay of Perl culture since 1997, gathering the leaders and young guns of Perl in an unequaled meeting of minds. TPC, as it is known, is a place where all Perl programmers can learn and share in the fun and diversity that is Perl.” See http://conferences.oreilly.com/perl/ for more details.

Microprocessors and operating systems are companion technologies, but storytellers (folks like us) usually treat the characters separately—even given major exceptions like Wintel and PowerPC. Now, as we look toward next-generation 64-bit chips from Intel and AMD, the stories tend to be about what those companies are doing vs. each other, rather than with the communities of developers surrounding the operating systems that put CPUs to work.

As we go to press, Intel's Itanium (aka IA-64) is rolling into production, almost exactly seven years after Intel and Hewlett-Packard announced the partnership that would work on the new chip design, which reportedly began its life in HP's labs as “PA-RISC Wide-Word”. The new joint design was code-named Merced and later given its elementine brand name. Sun Microsystems came to market with its UltraSPARC III 64-bit processor last fall, but that's bound to be less interesting to the Linux community than both Itanium and AMD's Sledgehammer, currently slated for release about a year from now.

But Itanium is here. As Linley Gwennap says, “Changes in servers never happen fast. But with Itanium now a reality, Intel's dominance is only a matter of time.”

And what operating system will most help achieve this dominance? The top press release linked from Intel's Itanium index page is titled “Intel Itanium-Based Systems Poised For Production”, and says this about operating systems:

Note the future tense employed by the operative verb phrase here: will support.

On May 29, SuSE announced SuSE Linux 7.2 for IA-64 and Red Hat announced Red Hat Linux 7.1 for the Itanium Processor. The next day Turbolinux announced Turbolinux Operating System 7 for the Itanium. All three expressed availability in the present tense. At this writing, three of the four headlines among Intel's Itanium “news and events” involve Linux. The fourth is “Microsoft Unveils Plans for 64-Bit Windows Platform”.

As for hardware, SGI announced (also on May 29) Silicon Graphics 750 system for Linux, which it called “The First Itanium Processor-Based System Using Linux”. IBM also said it was building the second of the world's fastest Linux supercomputers at NCSA by clustering Itanium-based boxes with Turbolinux. It's due to be installed this summer.

Credit should be spread in many directions, but perhaps that can be done at once by pointing to the Trillian Project (now called LinuxIA64.org at http://linuxia64.org/), which began in May 1999 and brought together Caldera, CERN, Cygnus (now Red Hat), HP, Intel, Linuxcare, NEC, SGI, Turbolinux and VA Linux. Most of those organizations now have something to show for the effort.

So, it's already hard to imagine that Itanium's success won't be due largely to its adoption as a penguin element.

—Doc Searls

Only the insane take themselves quite seriously.

—Sir Max Beerbohm

Before a mad scientist goes mad, there's probably a time when he's only partially mad. And this is the time when he's going to throw his best parties.

—Jack Handey

A quick change of transportation metaphors is now called for, from railroads to shipping, because however cleverly Michael Eisner, Rupert Murdoch, Steve Case and the rest of these broadband tycoons rearrange the deck chairs on their respective Titanics, an even more titanic iceberg with their names carved into it has already calved off some remote Arctic ice shelf and is inexorably drifting their way. That iceberg, of course, is the Internet.

—Christopher Locke

The network is a stochastic synchronicity generator.

—Christopher Locke

To be sexy, hackers need to learn how to emit fitness-to-reproduce signals.

—Eric S. Raymond

The average American has one breast and one testicle.

—Wiredog

Well, I think if you say you're going to do something and don't do it, that's trustworthiness.

—George W. Bush

Regular consumption of beer eliminates the weaker brain cells, making the brain a faster and more efficient machine. That's why you always feel smarter after a few beers.

—Cliff Claven, the character on Cheers

Don't bother just to be better than your contemporaries or predecessors. Try to be better than yourself.

—William Faulkner

You know, it's at times like this when I'm trapped in a Vogon airlock with a man from Betelgeuse and about to die of asphyxiation in deep space that I really wish I'd listened to what my mother told me when I was young!

Why, what did she tell you?

I don't know, I didn't listen!

—Douglas Adams

I love deadlines. I love the whooshing sound they make as they fly by.

—Douglas Adams

Science has lost a friend, literature has lost a luminary, the mountain gorilla and the black rhino have lost a gallant defender (he once climbed Kilimanjaro in a rhino suit to raise money to fight the cretinous trade in rhino horn), Apple Computer has lost its most eloquent apologist. And I have lost an irreplaceable intellectual companion and one of the kindest and funniest men I ever met. I officially received a happy piece of news yesterday, which would have delighted him. I wasn't allowed to tell anyone during the weeks I have secretly known about it, and now that I am allowed to it is too late.

—Richard Dawkins on Douglas Adams

We used the term open source not to piss off the fsf folks, but to claim a semantic space where we could talk about issues without scaring away the people whose beliefs we wanted to change.

—Eric S. Raymond

Great satire doesn't proceed from nihilism but from moral indignation. Compare Douglas Adams with Jonathan Swift.

—Eric S. Raymond

“Media relations” need to be outlawed in every country in the world. In the best case, media relations are incestuous relationships between dimwitted first cousins; on the Web it is one of the worst examples of inbreeding by the unholy alliance of ad agencies and pixel mechanics of dubious talent.

—The Head Lemur

Question: What's...

a ballpoint pena sectional bookcasea fire extinguishera vaginal fungicidea chemical for controlling eyespot or rynchosporium in barleya TV antennaa body appliancean eyeglass framea fauceta diapera hair salon

Answer: UNIX

Thanks for that information goes to none other than the operating system's most-credited creator, Dennis Ritchie. The full story is at his Bell Labs web site (cm.bell-labs.com/cm/cs/who/dmr/otherunix.html).