SC09 If the quants in financial services get tools for running their models more quickly, will the economy get better or worse? Who knows? But thanks to Microsoft, we're all going to find out.
At the SC09 supercomputing trade show in Portland, Oregon, this week, Microsoft is trumpeting the parallel programming smarts its baking into future Visual Studio 2010 development tools - and how its Windows HPC Server 2008 R2 will reach parity with Linux performance for MPI-style parallel applications.
But the most interesting thing that Microsoft is actually talking about at the show - well, the second most interesting thing after the full-sized flight simulator in its booth - is a future combination of Excel 2010 and Windows HPC Server 2008 that will allow companies to bolt an x64 cluster to their workstations to radically improve the performance of macro-based models built in Excel workbooks.
This may not seem like a big deal, but it will be. While all kinds of companies use parallel supercomputers to simulate physical objects or to chew through data of one kind or another to make a decision. according to Vince Mendillo, senior director of high performance computing at Microsoft's Server and Tools Business Group, even the most sophisticated users - and plenty of unsophisticated ones - build models in plain old Excel rather than do "real" programming. Real or not, companies have made an enormous investment in their Excel models, and many of them have run up against severe performance barriers.
And so, Microsoft will allow users to lash the future Excel 2010 to a Windows HPC Server 2008 R2 cluster (both programs are in beta now), turning an x64 cluster into an Excel workbook co-processor, radically speeding up the performance of macros running inside the workbooks.
This may not sound like HPC, but it is if you are making money at it, which Microsoft very likely will. By Mendillo's reckoning, there are an estimated 500 million active Excel users worldwide and somewhere between 50 and 55 million quant workers among them who use spreadsheets to build models of all kinds and across all industries.
Microsoft estimates there are hundreds of millions of "heavy users" of Excel that might benefit from having a server or a cluster to offload workbook crunching duties to. These users have their own user defined functions buried in their workbooks, which create the models, and in some cases, Mendillo says shops have 400,000 to 600,000 lines of code buried in their spreadsheet models.
And thus, it comes as no surprise that at one financial services firm, a workbook run for a model that took 45 hours to run on a beefy, high-end Windows workstation was able to run in about two hours when backed up by a 16-node server cluster.
Mendillo also boasted that the Excel 2010-HPC Server combo, which hasn't even shipped yet, was behind the single largest server operating system deal that Microsoft has done in its history. While Mendillo won't say how big the deal was, or who did it, he did say that it was at a financial services firm with very complex Excel models that was also interested in Microsoft's F# programming language, which is a functional language akin to Pascal that quants have taken a shining to.