UnRisk PRICING ENGINE is an ultra-fast pricing and calibration engine to solve the needs of front office professionals and product controllers for the immediate valuation of derivatives.
The UnRisk PRICING ENGINE for Mathematica is a universal tool for fast
and precise valuation of financial derivatives.
It combines
a computationally optimized numerical engine realized in C++
the symbolic manipulation and visualization capabilities of Mathematica
The advantage of UnRISK
The numerical schemes for the pricing of financial derivatives implemented
in the UnRisk PRICING ENGINE for Mathematica are based on Adaptive Integration,
developed by MathConsult. Adaptive Integration
allows the decoupling of discretization in time and underlying
typically needs drastically fewer time steps than, say, binomial trees
to obtain the same precision
The adaptive choice guarantees that key dates and conditions - like dividend
days, coupon days, barriers - are always hit.
Typical user categories of UnRISK:
Traders, Risk Managers, Treasurers
immediate valuation of financial derivatives
sensitivity analysis with respect to various market data
insight into complex contracts by means of visual exploration
what-if analysis with respect to contractual rules and market developments
UnRISK the Solution for Derivatives
The UnRisk PRICING ENGINE covers a large variety of
equity based derivatives
interest-rate based derivatives
It supports contract features like early exercise, discrete dividends,
callable / putable interest instruments, rounding rules for floating payments,
in-arrears structures
