Best processor to run Monte Carlo models in excel

[petesamprs]

I work at a large bank in NY where we focus on complicated financial instruments. Our quant guys have written models (Monte Carlo) as an add-in to Excel to help us calculate the value of these instruments.

Unfortunately, on my P4 2.8Ghz system (Northwood?), it takes about 20-30 minutes PER CALCULATION. So from the time I hit calculate I have to wait 20-30 min for an answer, with the processor pegged at 100% the whole time.

Here's my question: I have the ability to switch into a system with *two* dual-core 3.20Ghz, 2x 2MB L2 cache, Xeon processors. Obviously the processor itself is faster, but will I realize any benefit from the additional cores for this type of a calculation. I'm afraid the additional expense for the new comp won't really add much value since I'm not really multitasking.

How much time savings for this type of calculation can I expect? I believe the actual code is written in C++ and runs as an add-in in Excel.

tia

 

[The Borg]

Excel is a brilliant program to work in. I have written many macros and I love the easy of creating in that environment. There are however a few snags with it. IMHO, chief amonst them is that it is rather slow compared to raw VB code.

Also, as far as I know, Excel does not split code across processors. I may be a bit out if date here.

What you can do, which will make use of the 'better' system is to run 4 instances of Excel and the add-in - one per core. That way you can be running a new calc every 5 min or less. Well, less becasue they are faster processors.

 

[dmens]

the 3.2 xeon is probably prescott or cedarmill cores, but you got a big dataset so the cache helps, but not that much. integer is not a P4 strength.

if you want massive gains on this type of work, get a woodcrest. im using a 2x2 2.6ghz woodcrest xeon and it has insane integer performance... it reduced runtime by half on some layout compiler stuff compared to a 3.6ghz cedarmill.

imo, get a single socket 3ghz woodcrest, it'll be cheaper than the 2x2 P4 xeon and suit your work perfectly.

 

[Ninjak]

There are all sorts of memory management optimizations you can make when you know something about your data and your data access patterns. Excel is built to handle the general case and it will not make these optimizations for you. Just a guess, but I'd say you will see very dramatic improvements by getting rid of Excel and optimizing the code, perhaps 10x improvement or more. It all depends on your data and your algorithms, if you post more details I can give you a better estimate.

 

[petesamprs]

THe Borg - interesting idea which I didn't consider...running an instance of Excel for each core. Since I've never work with dual-core/dual-processors, I assume it is easy to tell each instance of excel to target a different core?

dmens - I don't really know much about how processors work so can you explain how one processor has better "integer performance" than another, and what that means for my case?

ninjak - I wish I knew more about the code and how it actually runs within Excel, but I do not. I create a spreadsheet in excel where I provide inputs and call a function to price the security. The function is included in a library of functions that gets installed with the add-in provided by the quant guys.

 

[ND40oz]

Originally posted by: dmens
the 3.2 xeon is probably prescott or cedarmill cores, but you got a big dataset so the cache helps, but not that much. integer is not a P4 strength.

if you want massive gains on this type of work, get a woodcrest. im using a 2x2 2.6ghz woodcrest xeon and it has insane integer performance... it reduced runtime by half on some layout compiler stuff compared to a 3.6ghz cedarmill.

imo, get a single socket 3ghz woodcrest, it'll be cheaper than the 2x2 P4 xeon and suit your work perfectly.

They can't possibly be prescott or cedarmill cores, they're most likely 5060s, dempsey cores. Which get their asses handed to them by 5140 or higher woodcrest. The dempsey's definitely perform better then the OPs current setup, but I would not get a single socket 5160 over a dual 5060 setup if you're running apps that are capable of taking advantage of an mp setup.

Edit: I would definitely run multiple instances of excel with when you're running a multicore setup. You should be able to specify the core within task manager that each instance is running on.

 

[dexvx]

Originally posted by: ND40oz
They can't possibly be prescott or cedarmill cores, they're most likely 5060s, dempsey cores. Which get their asses handed to them by 5140 or higher woodcrest. The dempsey's definitely perform better then the OPs current setup, but I would not get a single socket 5160 over a dual 5060 setup if you're running apps that are capable of taking advantage of an mp setup.

Dempsey = Cedar Mill (Pressler = 2x Cedar Mills) based Xeons.

Isn't Monte Carlo method more FP intensive than Int? If its FP and uses the SSE2 engine, I'd imagine Dempseys to hold their own against Woodcrests.

 

[ND40oz]

Originally posted by: dexvx
Dempsey = Cedar Mill (Pressler = 2x Cedar Mills) based Xeons.

Yeah, but a 5060 (3.2) demsey runs at a 1066 fsb theoretically giving it better memory bandwidth then a pressler or cedar mill. Plus it uses the 5000 series chipsets allowing you to use quad channel memory and dual frontside busses, but also increasing the price greatly. But you can always upgrade to woodcrest...

 

[cheesehead]

A Mac Pro with 2 3ghz Woodcrests (remember, you can run WinXP on these things natively!) will beat the crap out of almost anything. Expect performance at least 25% better than a quad-core 3.2ghz P4-based Xeon.
The Mac Pro uses the equivalent of 2 3ghz Core Duos. A 3ghz Core Duo is so much faster than a 3.6ghz dual-core Pentium machine, it's almost funny.

 

[Griswold]

Originally posted by: Cheesehead
A Mac Pro with 2 3ghz Woodcrests (remember, you can run WinXP on these things natively!) will beat the crap out of almost anything. Expect performance at least 25% better than a quad-core 3.2ghz P4-based Xeon.
The Mac Pro uses the equivalent of 2 3ghz Core Duos. A 3ghz Core Duo is so much faster than a 3.6ghz dual-core Pentium machine, it's almost funny.

I dont think a company will buy Mac Pro's to run windows on it.

 

[petesamprs]

Originally posted by: Griswold

Originally posted by: Cheesehead
A Mac Pro with 2 3ghz Woodcrests (remember, you can run WinXP on these things natively!) will beat the crap out of almost anything. Expect performance at least 25% better than a quad-core 3.2ghz P4-based Xeon.
The Mac Pro uses the equivalent of 2 3ghz Core Duos. A 3ghz Core Duo is so much faster than a 3.6ghz dual-core Pentium machine, it's almost funny.

I dont think a company will buy Mac Pro's to run windows on it.

Especially my company. We're actually pretty limited in what we can choose since we have these pre-defined packaged systems from Dell that we have to select. So I don't have that much flexibility to switch around systems or CPU types. I'm just trying to figure out if the step-up I posted initially is worth the cost for my use.

 

[dmens]

don't bother with a P4 core with your workload, not worth the trouble. dell has woodcrests available, try to push for one of those.

 

[imported_SLIM]

The precision 690 is the workstation you are looking for (like in ND40oz's sig). Just make sure they put a pair of 5160s in it and enough ram to accomodate running your app x 4.

 

[ND40oz]

Originally posted by: SLIM
The precision 690 is the workstation you are looking for (like in ND40oz's sig). Just make sure they put a pair of 5160s in it and enough ram to accomodate running your app x 4.

Just remember, you can still get the 690 with dempseys (I'm glad I waited) and it defaults to them when you configure it, like SLIM said, change the processors to woodcrests, I think the 5140 or 5150 offers the best bang for the buck right now, but if the company is paying, get the 5160s.

 

[Nil Einne]

Originally posted by: petesamprs
THe Borg - interesting idea which I didn't consider...running an instance of Excel for each core. Since I've never work with dual-core/dual-processors, I assume it is easy to tell each instance of excel to target a different core?

While you usually can, you shouldn't need to. That's the function of the OS...