A distributed compute engine for pricing financial derivatives using QuantLib with Spark running in Docker containers on YARN with HDP 3.0.

1. Ensure you have access to a Hortonworks Cloudbreak 2.7.0 instance. You can set one up locally by using this project. Please refer to the documentation to meet the prerequisites and setup credentials for the desired cloud provider.

2. Clone this repo

3. Update the following as desired:

   • Infrastructure definition under cloudbreak/clusters/openstack/hwx-field-cloud/hwx-pe-hdp3.json. Ensure you refer to right Cloudbreak base image
   • Ambari blueprint under cloudbreak/blueprints/hwx-pe-hdp3.json

4. Upload the following to your Cloudbreak instance:

   • Ambari Blueprint: cloudbreak/blueprints/hwx-pe-hdp3.json
   • Recipe to install Docker CE with custom Docker daemon settings: cloudbreak/recipes/pre-ambari/install-docker.sh
   • Recipe to setup Hive Metastore DB: cloudbreak/recipes/pre-ambari/setup-hive-db.sh

5. Execute the following using Cloudbreak CLI to provision the cluster:

   cb cluster create --cli-input-json cloudbreak/clusters/openstack/hwx-field-cloud/hwx-pe-hdp3.json --name hwx-pe
   

6. Once cluster is up, update yarn-site.xml and container-executor.cfg with configurations under conf/ to enable Docker on YARN and restart YARN

7. SSH into the cluster gateway node and download the following from repo

   compute/compute-engine-spark-1.0.0.jar

   wget https://github.com/amolthacker/hwx-pricing-engine/blob/master/compute/compute-engine-spark-0.1.0.jar
   

   compute/scripts/compute-price.sh

   #!/bin/bash
   
   metric=$1
   numTrades=$2
   umSplits=$3
   
   appJAR='compute-engine-spark-0.1.0.jar'
   dockerImg='amolthacker/qlib'
   
   spark-submit --master yarn \
            --conf spark.executorEnv.YARN_CONTAINER_RUNTIME_TYPE=docker \
            --conf spark.executorEnv.YARN_CONTAINER_RUNTIME_DOCKER_IMAGE=$dockerImg \
            --conf spark.executorEnv.YARN_CONTAINER_RUNTIME_DOCKER_MOUNTS=/etc/passwd:/etc/passwd:ro \
            --conf spark.executor.memory=4g \
            --conf spark.executor.extraLibraryPath=/usr/local/lib \
            --supervise --driver-memory 4g --driver-library-path /usr/local/lib \
            --class com.hwx.pe.valengine.spark.Valengine $appJAR $metric $numTrades $numSplits
   

   This uses the pre-built Docker image: amolthacker/qlib

8. Alternatively, you can build the project and the Docker image as follows:

   • Clone the repo

   $ git clone https://github.com/amolthacker/hwx-pricing-engine.git
   

   • Add the provided QuantLib.jar to local Maven repo

   $ cd hwx-pricing-engine/compute
   $ mvn install:install-file -Dfile=lib/QuantLib.jar -DgroupId=org.quantlib -DartifactId=ql -Dversion=1.9 -Dpackaging=jar
   

   • Build the project

   $ mvn clean package
   

   • Build the Docker image

   $ cd hwx-pricing-engine/docker
   $ sudo docker build -t qlib .
   

   • Update compute/scripts/compute-price.sh script to use the JAR and Docker image built above

9. Compute price

   $ ./compute-price.sh <metric> <numTrades> <numSplits>
   

   where metric:

   • FwdRate: Spot Price of Forward Rate Agreement (FRA)
   • NPV: Net Present Value of a vanilla fixed-float Interest Rate Swap (IRS)
   • OptionPV: Net Present Value of a European Equity Put Option average over multiple algorithmic calcs (Black-Scholes, Binomial, Monte Carlo)

   eg:

   $ ./compute-price.sh OptionPV 5000 20