  Financial institutions have massive computations to carry out overnight which
are very demanding in terms of the consumed CPU. The challenge is to price many
different products on a cluster-like architecture. We have used the Premia
software to valuate the financial derivatives. In this work, we explain how
Premia can be embedded into Nsp, a scientific software like Matlab, to provide
a powerful tool to valuate a whole portfolio. Finally, we have integrated an
MPI toolbox into Nsp to enable to use Premia to solve a bunch of pricing
problems on a cluster. This unified framework can then be used to test
different parallel architectures.
