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by mmaldacker
4274 days ago
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Calculating greeks is not very difficult and bandwidth is going to be the bottleneck due to the high number of inputs necessary to calculate them. So no wonder that CPUs outperforms GPUs. Also, real time calculation of greeks is very easily achievable for the simple products (e.g. listed derivatives), banks are struggling to get real time performance for their more complex OTC products. |
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