Middleware and Performance Issues for Financial Risk Analytics on Blue Gene/L

We describe a set of middleware components for supporting the execution of financial risk analytics applications on Blue Gene/L. Although, motivated by the requirements of a specific proprietary application involving a Value-at-Risk (VaR) computation for an asset portfolio using Monte Carlo simulation, this middleware is equally relevant to any application where the input and output data are stored in externally in SQL databases for example, where an automatic pre-staging and post-staging of the data between these external data sources and the computational platform is required. More generally, in order to support such applications on Blue Gene/L, the middleware provides a number of core features including an automated data extraction and staging gateway, a standardized high-level job specification schema, a well-defined web services (SOAP) API for interoperability with other applications, and a secure HTML/JSP web-based interface suitable for general users (i.e., non-developers). Finally, continuing with the focus on the data movement requirements, we describe generic I/O performance optimizations that were used for this application on the Blue Gene/L platform.