Microsoft Research:Accelerator
Having finally had time to download Accelerator, I have to agree with Damien that Accelerator does pose an interesting extension to the standard 2 CPU 2+G RAM hardware that client trading applications currently typically execute on. The ComputePi (Monte Carlo pi approximation) gives an inkling of what could be possible with any GPU supporting DirectX 9 (e.g. and NVIDIA’s GeForce 6xxx and 7xxx series). With release 1.0 you can general do the following:
- Array creation
- Arithmetic operations
- Boolean operations
- Type conversion
- Reductions
- Transformations
- Basic linear algebra
I suspect it won’t be long before an one of the banks goes down the GPU route, and we have Excel invoking analytics running in GPU land.
The code is available under Microsoft Research Shared Source License Agreement.
Video here. 9:15 gives some ideas of Accelerator usages.
Tales from a Trading Desk 
Hi, I work in a finance bank in the city also.
Found a number of links in Wikipedia
http://en.wikipedia.org/wiki/GPGPU
I wonder if GPU scalability could be applied for the computation of non-montecarlo products. For example, can we implement analytic solution for multi-barrier options on the GPU?
Btw, this is my blog entry on this
http://bubbafuzz.blogspot.com/2006/08/accelerator-project.html
funny, i sent john a over to get accelerator friday… I have a collegue that is trying to get with the GPU agenda for options related stuff. i am sure it will not be long as you say before a/ some banks get on with it and go the gpu route.
-Chris