UnRisk PRICING ENGINE

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derivatives and risk analytics platform

UnRisk PRICING ENGINE

Financial Instruments

A wide range of derivatives and structured instruments of equities, FX and interest rates
European, Bermudan, American, Asian and vast universe of exotic contract features
multiple callability

See full list of supported financial instruments.

Interest Rate Models

Black76
Ho-Lee
Vasicek
Generalized Hull-White
Black-Karasinski
LIBOR Market Model

with advanced calibration schemes.

Front Ends

Mathematica
Microsoft Excel via Mathematica Link for Excel

System Requirements

Microsoft Windows platforms
Mathematica
Microsoft Excel
Mathematica Link for Excel

UnRisk FACTORY

Administration

Flexible definitions of users and their roles, data and parameter settings
Task scheduling and monitoring

Market Data

Definitions, settings, qualifiers, templates for the relevant market data
Data, history and events
Models and calibration

Instruments, Portfolios, Scenarios

Deal types and models of PRICING ENGINE
Instrument groups/portfolios and events
Scenarios and scenario groups

Valuation

Instrument groups
Scenario groups
Interactive runs or batch schedules and runs

Simulation and VaR

See front-end prototype.

System Requirements

Microsoft Windows Compute Cluster Server
gridMathematica and gridUnRisk (PRICING ENGINE)
Microsoft SQL Server