Scientific Computing Associates

Risk Management: Enron Corporation

Out of the lab and in the real world at Enron Corporation, the energy trading-firn saved hundreds of thousands of dollars by running its highly-demanding Monte Carlo simulation program on a cluster of Compaq Professional Workstations instead of on a Unix-based server. From Denver-based Decisioneering, Enron purchased the Crystal Ball application which supports Monte Carol simulation as an add-in to Microsoft Excel. Enron then contracted with Scientific Computing Associates (SCA) to develop a parallel version of Crystal Ball using Paradise, SCA's parallel comuting middleware product that enables independent workstations to share data in memory simply and efficiently.

"Paradise makes it easy to spread a large application across processors on several workstations," explained Andrew Sherman, Vice President at SCA. "Each processor performs its part of the calculation and places its results in a virtual shared memory where they can be readby the other processors. By marrying Crystal Ball and Paradise, we have created a parallel Monte Carlo simulation solution operating within the Microsoft Excel environment.

The net result has been that Enron traders and analysts who are structuring and pricing derivatives deals can now run an extrememly time-consuming simulation with thousands of variables in a fraction of the time it once took them to run on the same job across a one or two-processor workstation.

"We use five dedicated dual-processor Compaq machines configured as a workstation farm, and with at least 100 Monte Carlo permutations to each machine," said Enron's Tollefsen. "The Paradise middleware also provides a means to grab spare cycles from traders' workstations when they are idle and return the machines for interactive use when interactive activity resumes. The time for this Monte Carlo simulation has gone down from 20 hours to 20 minutes. The more boxes we threw at it, the faster it runs."

"We opened up our labs and dedicated people to performance characterization and scalability studies of the Crystal Ball adaptation," said Compaq's Wescott, who said the Crystal Ball adaptation to Compaq's workstation farm is called Crystal Ball Turbo. Today, Compaq supports Decisioneering and SCA in marketing this solution across the financial industry. Compaq has nominated Enron for a Smithsonian Institute award based on its application of Crystal Ball, Paradise and Compaq's processing environment. Several firms in London and New York have already signed on. One New York firm converted a derivatives model to Crystal Ball Turbo and performance improved by 40 times when spreading the work over 25 Compaq dual-processor workstations.

Read more:
CB Turbo on Compaq Clusters (pdf)
Compaq White Paper on CB Turbo (pdf)
More about CBTurbo
www.decisioneering.com


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