07-23, 17:25–17:35 (US/Eastern), Room 349
We will talk about how a risk management use case got sped up ~150x using multi-core parallel computing techniques in a Docker environment.
Western Asset is a fixed income asset manager. We recently replaced the portfolio risk aggregation process with a Julia implementation, and the run-time performance has improved tremendously. This talk will focus on system architecture, performance optimization, and deployment to a Docker swarm environment.
Tom Kwong (github: tk3369) specializes in the financial services domain and currently works at Western Asset Management Company as a Software Engineering Manager