April 10-12, Chicago, IL Parallelizing Large Excel-Based Calculations on Windows HPC Server & Azure

April 10-12, Chicago, IL Please silence cell phones

3 Computational Finance Computational Finance emphasizes practical numerical methods rather than mathematical proofs and focuses on techniques that apply directly to economic analyses.

4 Quantitative Analytics

5 Monte Carlo Methods

6 Microsoft Excel Computational Environment

7 On-premise HPC – Deployment Choices Spreadsheet

8 On-Premise 2008 R2

9 Hybrid HPC – Burst to Azure 2008 R2 SP1/SP2

10 HPC Hosted in Azure (HPC Scheduler on Azure)

11 Compute Nodes Spreadsheet Head Node Brokers Request Session Broker Assignment Task Submission Task Assignment Results 11 Offloading Excel Calculations on a Cluster

12 WCF Broker Node(s) WCF Broker Node(s) Applications Excel 2010 HPC/Excel Client HPC/Excel Add-in Macros VBA Driver Excel Driver HPC/Excel Service Excel 2010.NET / COM CLI Network Share Excel Workbook Excel Components

13 Overview Save temporary copy of workbook Start Excel and Load Workbook HPC_Initialize HPC_Partition (Loop) HPC_Execute HPC_Merge HPC_Execute

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16 Original VBA Code Iterative loop calculation Function RunModel() ' set up variables NumIterations = Range("C8").Value ' run calculation in a loop For n = 1 To NumIterations rslt = CalculateSingleIteration(n) ConsolidateResults rslt Next n ' complete call UpdateCharts End Function

17 Modified VBA Code Business logic is moved, but unchanged Function HPC_Execute( data As Variant ) As Variant ' run single iteration HPC_Execute = CalculateSingleIteration(data) End Function Function HPC_Merge( data As Variant ) ' insert results into workbook ConsolidateResults data End Function

April 10-12, Chicago, IL Demo Diamond Sponsor Platinum Sponsor

19 Win a Microsoft Surface Pro! Complete an online SESSION EVALUATION to be entered into the draw. Draw closes April 12, 11:59pm CT Winners will be announced on the PASS BA Conference website and on Twitter. Go to passbaconference.com/evals or follow the QR code link displayed on session signage throughout the conference venue. Your feedback is important and valuable. All feedback will be used to improve and select sessions for future events.

April 10-12, Chicago, IL Thank you! Diamond Sponsor Platinum Sponsor