What Desktop Do I Needed To Run Simulation/Monte Carlo

[ironchef]

Can you help me determine what type of desktop I need to run simulations and Monte Carlo calculation on options.

I am running Excel VBA, using a 2017 Core i7 MacBook Pro and every simulation run took 2-4 hours of actual computation time.

Questions:

1. How much faster should I be expecting if I use a iMacPro 8 Core Xeon 3.2 GHz?

2. What about an equivalent Window work station using the same processor? It is significantly less expensive than the iMacPro.

Thank you.

 

[toon]

How many scenarios does your simulation have? It may take long time if you have too many scenarios.

 

[GRULSTMRNN]

Given your stated hardware I am willing to bet that the bottleneck is in your software/analytical setup not the hardware. Need more details of data compression, amount of data, and how you exactly set up your monte Carlo and simulations to give further advice.

Can you help me determine what type of desktop I need to run simulations and Monte Carlo calculation on options.

I am running Excel VBA, using a 2017 Core i7 MacBook Pro and every simulation run took 2-4 hours of actual computation time.

Questions:

1. How much faster should I be expecting if I use a iMacPro 8 Core Xeon 3.2 GHz?

2. What about an equivalent Window work station using the same processor? It is significantly less expensive than the iMacPro.

Thank you.

 

[TheBigShort]

Can you help me determine what type of desktop I need to run simulations and Monte Carlo calculation on options.

I am running Excel VBA, using a 2017 Core i7 MacBook Pro and every simulation run took 2-4 hours of actual computation time.

Questions:

1. How much faster should I be expecting if I use a iMacPro 8 Core Xeon 3.2 GHz?

2. What about an equivalent Window work station using the same processor? It is significantly less expensive than the iMacPro.

Thank you.

You will probably need a core i9, at least 64gb of ram and you most definitely want to increase your cache limit. You should probably look into the ibm 7030.

All joking aside, there is something wrong with your code. I can not see this taking longer than a few minutes in excel (tops). Why don't you post your VBA here and we can can try and help you find the bug.

 

[rb7]

VBA is single threaded.
So you need to find the CPU with the best single CPU performance. Like TheBigShort said, an i9 will do the trick.

But I agree again with TheBigShort, 2-4 hours to run a Monte Carlo simulation!!!!
There's probably something wrong with you code.

 

[tommcginnis]

Back in the day, I used to run an electric utility model, in which rates, financials, operations/maintenance, and generation fleet, were all taken out 20-30 years. This was computed by a high speed 80386 CPU, WITH the 80387 math co-processor. Written to a *giant* floppy disk (a 20mb Bernoulli Box, for those that remember -- 20mb! Who's ever gonna use all that?!?)

The basic engine was Monte Carlo. After some tweaking and fine-tuning, it took 3-4 hours.

"Yeah: coding issue."

 

[GRULSTMRNN]

Funny reply, I like your humor

Back in the day, I used to run an electric utility model, in which rates, financials, operations/maintenance, and generation fleet, were all taken out 20-30 years. This was computed by a high speed 80386 CPU, WITH the 80387 math co-processor. Written to a *giant* floppy disk (a 20mb Bernoulli Box, for those that remember -- 20mb! Who's ever gonna use all that?!?)

The basic engine was Monte Carlo. After some tweaking and fine-tuning, it took 3-4 hours.

"Yeah: coding issue."

 

[ironchef]

VBA is single threaded.
So you need to find the CPU with the best single CPU performance. Like TheBigShort said, an i9 will do the trick.

But I agree again with TheBigShort, 2-4 hours to run a Monte Carlo simulation!!!!
There's probably something wrong with you code.

VBA is single threaded? I have no idea, I just finished a Coursera class on VBA programming and started applying VBA on my Excel computation.

Does that mean no parallel processing? By the way when they said dual core, quard core do they mean parallel processing?

I have not even started my Monte Carlo yet. I am running backtests on a macro VBA sub on options combination for equities I own using daily historical date going back 25 years. I have a bunch of calculations for each row to determine possible option prices....

Another project I am trying to do is to simulate a bunch of daily prices and see if my filter can filter the noise and find the signal. I probably need to run a large number of simulations i.e., Monte Carlo?

 

[ironchef]

You will probably need a core i9, at least 64gb of ram and you most definitely want to increase your cache limit. You should probably look into the ibm 7030.

Where can I buy a used 7030?

If I look at clock speed, core i9 is not that much faster than my core i7?

Another question is Xeon vs i9?

 

[ironchef]

Given your stated hardware I am willing to bet that the bottleneck is in your software/analytical setup not the hardware. Need more details of data compression, amount of data, and how you exactly set up your monte Carlo and simulations to give further advice.

Very good points. I am not a good programmer, just finished my VBA class and started programming. The reason I learned VBA is I was tired of running long arrays using basic Excel spread sheet. A pain when I do long do-loop type and iterations.

Right now it is all brute force and no optimization. You are right, I should try optimize the codes first.

Thanks.