Parallelising a financial system

Abstract This paper reports on the parallelising of a financial system that calculates actuarial liabilities. The purpose of such a system is to evaluate the liabilities of a pension scheme by calculating the expected cost of each member to the system in the future. An analysis of the system has been carried out and two levels of parallelism have been detected. From the more coarse-grained of these levels a parallel model has been proposed. A parallel simulation of this model has been developed both on a Meiko Computing Surface distributed store machine populated with Inmos transputers and Intel i860 microprocessors, and on a network of workstations to enable detailed evaluation of the potential speedup. Figures are given and various metrics are used to analyse the speedup and efficiency factors. The potential for making use of virtual shared memory and lightweight thread packages at this coarse-grained level of parallelism is considered. The more fine-grained level of parallelism identified is discussed with a view to massively parallel architectures.