GPU vs CPU results

[vannarho-fas]

Hi Team,

We’ve observed discrepancies between XVA results generated using GPU (OpenCL) and CPU configurations, despite identical input parameters and model settings. The differences are non-trivial in certain metrics.

Key Observations - Example 24 XVA Results

• GPU results differ systematically from CPU results across metrics like CVA, DVA, FCA, and BaselEPE/EEPE.
• Larger variances appear in columns involving collateral adjustments (DVA, FBAexAllSP) and exposure aggregation (BaselEPE).
• Full diff report and files (xva_o.csv [GPU] and xva_e.csv [CPU]) are attached for reference.

Possible Factors to Investigate:

• Precision Settings: Are GPU kernels using single-precision (float32) while CPU uses double-precision (float64)?
• Non-Determinism: Do parallel GPU executions (e.g., OpenCL workgroups) introduce order-of-operations variability in summations or Monte Carlo paths?
• Algorithmic Approximations: Are there GPU-specific optimizations (e.g., reduced convergence thresholds, simplified math ops) that differ from CPU logic?
• RNG Seeds: Are stochastic components (e.g., Monte Carlo simulations) using identical seeds across GPU/CPU runs?
• Math Libraries: Could differences between GPU (e.g., OpenCL) and CPU (e.g., MKL) math libraries explain the variances?
• Error Handling: How are #N/A values or edge cases handled differently between configurations?

Request:

Could you review the attached results and share your insights on:

• Likely root causes for the discrepancies (e.g., precision, parallelism, or RNG issues).
• Whether these differences fall within expected tolerances for GPU vs. CPU implementations.
• Recommendations to align results (e.g., enforcing double-precision on GPU, locking RNG seeds).

We’re particularly keen to understand if the larger variances (e.g., 30% in DVA) indicate a potential bug or are an artifact of hardware-driven approximations.

Differences in column: FCAexOwnSP
File1 File2 Difference % Difference
0 -13203.64 -13525.63 True 2.438646
1 -132.72 -122.25 True 7.888788
2 -8497.15 -8595.22 True 1.154152
3 -12165.43 -11334.98 True 6.826310
4 -326.87 -328.68 True 0.553737
5 -588.97 -596.16 True 1.220775

Differences in column: BaselEPE
File1 File2 Difference % Difference
0 2398705.37 2405735.10 True 0.293064
1 23192.67 22987.52 True 0.884547
2 532423.01 501898.61 True 5.733111
3 2112582.71 2095955.48 True 0.787057
4 55258.92 52011.90 True 5.876011
5 162012.20 162361.74 True 0.215749

Differences in column: DVA
File1 File2 Difference % Difference
0 1231.88 861.91 True 30.032958
2 78857.98 68649.12 True 12.945881
4 6422.02 5808.41 True 9.554782

Differences in column: FBAexAllSP
File1 File2 Difference % Difference
0 644.09 451.90 True 29.838998
2 41312.52 35992.05 True 12.878590
4 3312.53 2997.22 True 9.518706

Differences in column: CVA
File1 File2 Difference % Difference
0 79153.01 81082.78 True 2.438025
1 795.61 732.83 True 7.890801
2 50928.33 51515.37 True 1.152679
3 72927.54 67949.86 True 6.825515
4 1959.95 1970.80 True 0.553586
5 3532.20 3575.31 True 1.220486

Differences in column: AllocatedDVA
File1 File2 Difference % Difference
0 1231.88 861.91 True 30.032958

Differences in column: FBAexOwnSP
File1 File2 Difference % Difference
0 623.77 436.95 True 29.950142
2 39960.93 34799.29 True 12.916716
4 3232.25 2923.92 True 9.539175

Differences in column: AllocatedCVA
File1 File2 Difference % Difference
0 79153.01 81082.78 True 2.438025

Differences in column: FCAexAllSP
File1 File2 Difference % Difference
0 -13566.43 -13900.11 True 2.459601
1 -136.47 -125.64 True 7.935810
2 -8779.92 -8885.08 True 1.197733
3 -12506.21 -11648.12 True 6.861311
4 -334.17 -336.32 True 0.643385
5 -599.26 -606.64 True 1.231519

Differences in column: FBA
File1 File2 Difference % Difference
0 591.03 412.92 True 30.135526
2 37798.29 32891.76 True 12.980825
4 3102.36 2805.35 True 9.573679

Differences in column: FCA
File1 File2 Difference % Difference
0 -12620.64 -12923.89 True 2.402810
1 -126.71 -116.80 True 7.821009
2 -8044.48 -8131.27 True 1.078876
3 -11618.17 -10832.03 True 6.766470
4 -315.02 -316.32 True 0.412672
5 -572.14 -579.01 True 1.200755

Differences in column: BaselEEPE
File1 File2 Difference % Difference
0 2411948.36 2414412.91 True 0.102181
1 23260.81 23165.26 True 0.410777
2 532423.01 501898.61 True 5.733111
3 2112582.71 2099129.86 True 0.636796
4 55258.92 52696.95 True 4.636301
5 162030.68 162426.68 True 0.244398

xva_24_o.csv
xva_24_e.csv