Benchmark results 5.1

Approach: “IMA-DRC”

Please see the DRC Vectors section on DRC Vectors length and density.

Due to a known issue around IMA-DRC load time, it was only possible to get data for our small and medium datasets.

IMA-DRC: Dataset Size Breakdown

MDX

WITH
 Member [Measures].[Trades] AS Count(
  Descendants(
    [Booking].[Trades].CurrentMember,
    [Booking].[Trades].[TradeId]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
 Member [Measures].[Obligors] AS Count(
  Descendants(
    [Default Risk Charge].[DRC Obligor].CurrentMember,
    [Default Risk Charge].[DRC Obligor].[DRC Obligor]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
SELECT
  NON EMPTY {
    [Measures].[contributors.COUNT],
    [Measures].[Trades],
    [Measures].[Obligors]
  } ON COLUMNS
  FROM [IMADRCCube]

Fact Level	Small Dataset Facts	Medium Dataset Facts
Count	440,461	861,263
Trades	296,025	577,127
Obligors	24,901	37,309

IMA-DRC: Environment Memory Usage

Heap Memory Usage

CPUs	Small Dataset	Medium Dataset
Average	39.94 GiB	38.24 GiB

IMA-DRC: Initial Data Load Times

Number Of CPUs	Small Dataset	Medium Dataset
16	26 Min 17 Sec	49 Min 17 Sec
32	25 Min 24 Sec	44 Min 56 Sec
64	23 Min 32 Sec	44 Min 45 Sec

IMA-DRC: Query Performance

Query: “DRC IMA (Spot)“

MDX

SELECT
  [Measures].[DRC - IMA Spot] ON COLUMNS
  FROM [IMADRCCube]

Number Of CPUs	Small Dataset	Medium Dataset
16	0.26 Sec	0.26 Sec
32	0.27 Sec	0.27 Sec
64	0.26 Sec	0.26 Sec

Approach: “IMA-ES”

IMA-ES: Dataset Size Breakdown

MDX

WITH
 Member [Measures].[Trades] AS Count(
  Descendants(
    [Booking].[Trades].CurrentMember,
    [Booking].[Trades].[TradeId]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
 Member [Measures].[Risk Factors] AS Count(
  Descendants(
    [Risk].[Risk Factors].CurrentMember,
    [Risk].[Risk Factors].[Risk Factor]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
SELECT
  NON EMPTY {
    [Measures].[contributors.COUNT],
    [Measures].[Trades],
    [Measures].[Risk Factors]
  } ON COLUMNS
  FROM [InternalModelApproachCube]

Fact Level	Small Dataset Facts	Medium Dataset Facts	Large Dataset Facts
Risk Factors	35,297	52,922	70,547
Trades	1,687,770	3,375,270	6,750,270
Count	20,178,228	40,353,228	80,703,228

IMA-ES: Environment Memory Usage

Heap Memory Usage

CPUs	Small Dataset	Medium Dataset	Large Dataset
Average	5.58 GiB	8.13 GiB	15.67 GiB

IMA-ES: Initial Data Load Times

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	2 Min 46 Sec	4 Min 55 Sec	9 Min 25 Sec
32	2 Min 4 Sec	3 Min 46 Sec	7 Min 40 Sec
64	1 Min 58 Sec	3 Min 14 Sec	6 Min 4 Sec

IMA-ES: Query Performance

Query: “IMA ES (Spot)“

MDX

SELECT
  [Measures].[CA Spot] ON COLUMNS
  FROM [InternalModelApproachCube]

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	0.01 Sec	0.02 Sec	0.02 Sec
32	0.01 Sec	0.01 Sec	0.02 Sec
64	0.02 Sec	0.02 Sec	0.02 Sec

Approach: “SA-SBM”

SA-SBM: Dataset Size Breakdown

MDX

WITH
 Member [Measures].[Trades] AS Count(
  Descendants(
    [Booking].[Trades].CurrentMember,
    [Booking].[Trades].[TradeId]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
 Member [Measures].[Risk Factors] AS Count(
  Descendants(
    [Risk].[Risk Factors].CurrentMember,
    [Risk].[Risk Factors].[Risk Factor]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
 Member [Measures].[Underlyings] AS Count(
  Descendants(
    [Market Data].[Underlying].CurrentMember,
    [Market Data].[Underlying].[Underlying]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
SELECT
  NON EMPTY {
    [Measures].[contributors.COUNT],
    [Measures].[Trades],
    [Measures].[Risk Factors],
    [Measures].[Underlyings]
  } ON COLUMNS
  FROM (
    SELECT
    Except(
      [Risk].[Risk Measures].[Risk Measure].Members,
      {
        [Risk].[Risk Measures].[ALL].[AllMember].[DRC]
      }
    ) ON COLUMNS
    FROM [StandardisedApproachCube]
  )

Fact Level	Small Dataset Facts	Medium Dataset Facts	Large Dataset Facts
Risk Factors	858,718	1,251,199	N/A
Underlyings	109,220	162,218	N/A
Trades	6,580,329	13,160,329	N/A
Count	95,024,751	188,604,715	N/A

SA-SBM: Environment Memory Usage

Heap Memory Usage

CPUs	Small Dataset	Medium Dataset	Large Dataset
Average	10.97 GiB	16.93 GiB	29.79 GiB

SA-SBM: Initial Data Load Times

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	5 Min 27 Sec	10 Min 35 Sec	25 Min 29 Sec
32	4 Min 34 Sec	8 Min 18 Sec	21 Min 0 Sec
64	4 Min 47 Sec	9 Min 25 Sec	21 Min 58 Sec

SA-SBM: Query Performance

Query: “SA SBM”

MDX

SELECT
  [Measures].[SBM Risk Charge] ON COLUMNS
  FROM [StandardisedApproachCube]

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	1.03 Sec	1.41 Sec	1.80 Sec
32	1.03 Sec	1.33 Sec	1.39 Sec
64	0.88 Sec	1.10 Sec	1.48 Sec

Approach: “SA-DRC”

SA-DRC: Dataset Size Breakdown

MDX

WITH
 Member [Measures].[Trades] AS Count(
  Descendants(
    [Booking].[Trades].CurrentMember,
    [Booking].[Trades].[TradeId]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
 Member [Measures].[Risk Factors] AS Count(
  Descendants(
    [Risk].[Risk Factors].CurrentMember,
    [Risk].[Risk Factors].[Risk Factor]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
 Member [Measures].[Underlyings] AS Count(
  Descendants(
    [Market Data].[Underlying].CurrentMember,
    [Market Data].[Underlying].[Underlying]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
SELECT
  NON EMPTY {
    [Measures].[contributors.COUNT],
    [Measures].[Trades],
    [Measures].[Risk Factors],
    [Measures].[Underlyings]
  } ON COLUMNS
  FROM [StandardisedApproachCube]
  WHERE [Risk].[Risk Measures].[ALL].[AllMember].[DRC]

Fact Level	Small Dataset Facts	Medium Dataset Facts	Large Dataset Facts
Risk Factors	2,741,467	4,117,592	5,493,717
Underlyings	26,500	39,750	53,000
Trades	6,432,500	12,865,000	25,692,120
Count	8,757,500	17,515,000	34,992,120

SA-DRC: Environment Memory Usage

Heap Memory Usage

CPUs	Small Dataset	Medium Dataset	Large Dataset
Average	17.47 GiB	29.55 GiB	51.27 GiB

SA-DRC: Initial Data Load Times

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	1 Min 48 Sec	3 Min 9 Sec	6 Min 49 Sec
32	1 Min 45 Sec	3 Min 19 Sec	6 Min 11 Sec
64	1 Min 48 Sec	3 Min 31 Sec	6 Min 56 Sec

SA-DRC: Query Performance

Query: “SA DRC”

MDX

SELECT
  [Measures].[Default Risk Charge] ON COLUMNS
  FROM [StandardisedApproachCube]

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	1.98 Sec	4.37 Sec	6.10 Sec
32	2.05 Sec	3.52 Sec	3.25 Sec
64	1.33 Sec	1.82 Sec	2.54 Sec

Documentation Index

​Approach: “IMA-DRC”

​IMA-DRC: Dataset Size Breakdown

​IMA-DRC: Environment Memory Usage

​Heap Memory Usage

​IMA-DRC: Initial Data Load Times

​IMA-DRC: Query Performance

​Query: “DRC IMA (Spot)“

​Approach: “IMA-ES”

​IMA-ES: Dataset Size Breakdown

​IMA-ES: Environment Memory Usage

​Heap Memory Usage

​IMA-ES: Initial Data Load Times

​IMA-ES: Query Performance

​Query: “IMA ES (Spot)“

​Approach: “SA-SBM”

​SA-SBM: Dataset Size Breakdown

​SA-SBM: Environment Memory Usage

​Heap Memory Usage

​SA-SBM: Initial Data Load Times

​SA-SBM: Query Performance

​Query: “SA SBM”

​Approach: “SA-DRC”

​SA-DRC: Dataset Size Breakdown

​SA-DRC: Environment Memory Usage

​Heap Memory Usage

​SA-DRC: Initial Data Load Times

​SA-DRC: Query Performance

​Query: “SA DRC”

Approach: “IMA-DRC”

IMA-DRC: Dataset Size Breakdown

IMA-DRC: Environment Memory Usage

Heap Memory Usage

IMA-DRC: Initial Data Load Times

IMA-DRC: Query Performance

Query: “DRC IMA (Spot)“

Approach: “IMA-ES”

IMA-ES: Dataset Size Breakdown

IMA-ES: Environment Memory Usage

Heap Memory Usage

IMA-ES: Initial Data Load Times

IMA-ES: Query Performance

Query: “IMA ES (Spot)“

Approach: “SA-SBM”

SA-SBM: Dataset Size Breakdown

SA-SBM: Environment Memory Usage

Heap Memory Usage

SA-SBM: Initial Data Load Times

SA-SBM: Query Performance

Query: “SA SBM”

Approach: “SA-DRC”

SA-DRC: Dataset Size Breakdown

SA-DRC: Environment Memory Usage

Heap Memory Usage

SA-DRC: Initial Data Load Times

SA-DRC: Query Performance

Query: “SA DRC”