UnRisk PRICING ENGINE 2.3
Introduction
UnRisk PRICING ENGINE is a tool designed to combine speed with precision in the analysis of financial derivatives. The program integrates Mathematica with optimized C++ libraries and provides an extremely reliable, ready-built solution that offers both the flexibility of a high-level programming language and the necessary speed for production use.
Speed of Computation
The algorithms for pricing of financial derivatives implemented in UnRisk PRICING ENGINE are based on the method of adaptive integration. This technique is a numerical scheme optimised for solving the types of partial differential equations found in mathematical finance. By allowing the decoupling of discretisation in time and underlying variable, adaptive integration typically requires drastically fewer time steps than tree-based methods to obtain the same precision. Furthermore, the adaptive choice of the discretisation guarantees refinement around critical events like dividend days, coupon days, and barriers.
Breadth of Coverage
UnRisk PRICING ENGINE covers a wide variety of equity and interest-rate derivatives. Instruments and instrument configurations that are not covered can be added quickly and easily by you or the UnRisk PRICING ENGINE consulting team.
Contract features such as early exercise, discrete dividends, callable/putable interest instruments, rounding rules for floating payments, and in-arrears structures are fully supported. Utilities are also included for bootstrapping and calibration algorithms, as well as for the handling of details like differing day-count and business-day conventions, compounding frequencies, holiday calendars, and so on.
Flexibility
UnRisk PRICING ENGINE's seamless integration into Mathematica creates a uniquely flexible environment for configuration and customisation of financial products, instruments, and portfolios. Mathematica's open-system architecture insures that UnRisk PRICING ENGINE can be quickly integrated into your existing and future IT structures.
Large Books
Since all of the functionality of UnRisk PRICING ENGINE can also be called from within Microsoft Excel (via Mathematica Link for Excel), large books can be valued and stress tested. The Excel interface also allows live data to be fed into the system.
Key capabilities
- Valuation of the most sophisticated deal types of equities, FX, and interest rates
- Inclusion of dozens of exotic options and complex structured products
- European, Bermudan, American, Asian, and a vast universe of exotic contract features
- Callability and multiple callability of even the most complex structures
- Calculation of hedging, sensitivity parameters, and survival probabilities
- Advanced calibration schemes for pricing and risk analysis with respect to market data
- Insight into complex contracts by means of graphical exploration
- Elegant instrument-building capabilities
- What-if analysis with respect to contract features