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21  Towards Application-Specific Service Level Agreements

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level for a given time horizon. In previous work, we have implemented three approaches for VaR using Java – Historical Simulation (HS), Variance–Covariance (VC) and Monte Carlo Simulations (MCS) – focussed on linear option-free financial portfolios [11, 12]. These VaR methods can be characterised to promote reusability in implementation, and results of HS and VC can be used to validate the expected loss produced by the MCS. For VaR in general, job completion is potentially the most vital factor: the faster the result, the more useful it may be and the lower the likelihood that the ‘history’ has now changed with new data that renders the analysis meaningless.

For our experiments, we capture the total completion time of MCS VaR for 95% confidence with 20 assets, with an evenly distributed notional (investment), and using 1 year of historic market data with 640,000 simulations. This application requires a relatively short run time, so the time taken before the application starts is significant.

21.3.2  Target Systems

Our target systems comprise a Condor pool, Amazon EC2 and a private cloud based on Eucalyptus. We do not attempt to equate the configurations of these systems, since the relative performance figures are of interest. Furthermore, we control data transfer by having input data local to the analysis. The MCS is run using up to 32 nodes on all three systems, and also on 64 for EC2 and Condor. Furthermore, we have produced a Directed Acyclic Graph of the MCS for Condor’s DAGman; however, for a better comparison we run jobs independently (non-DAG).

21.3.2.1  Condor

Software for distributed computing is based on a scheduler, typically used in grids, developed by the University of Wisconsin in Madison. Our Condor pool comprises 128 cores provided by 32 IBM HS21 Woodcrest Blades (two Intel dual core processors, 2.66 GHz, 1,333 MHz FSB with 4 GB RAM per blade), with Red Hat Enterprise Linux 4 and Condor version 6.6.6.

21.3.2.2  Amazon EC2

Our choice of public cloud is offering on-demand servers. We built an Ubuntu 9.04 (jaunty) 32-bit image containing the MCS application with all necessary input files. The 32-bit image works in EC2 as m1.small and c1.medium instance types. The application executes immediately once the image has been started, captures results and timing information using web requests to a publicly available web server and self-terminates following successful completion.

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