This is just a brief introduction to the subject. Few years ago programmers realized that GPU (graphical processor unit, those on NVIDIA and ATI) can be used for various (Float Point, Matrix/Vector, etc.) calculations. So NVIDIA started its CUDA project:
http://www.ddj.com/cpp/207200659
Recently (almost), Microsoft decided to continue this idea in a more standard way, by defining DirectCompute API, as part of DirectX:
http://www.nvidia.com/object/directcompute.html
And Microsoft decided to develop Windows 7 based on this addition to DirectX:
http://www.ditii.com/2009/08/22/gpu-computing-via-directcompute-in-windows-7/
So, it seems that DirectCompute is going to become standard API for super fast calculations in Windows, especially in finance for real time pricing computation.
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