UnRisk PRICING ENGINE 2
Features
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 optimized for solving the types of partial differential equations found in mathematical finance. By allowing the decoupling of discretization 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 discretization 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 customization 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.
[ UnRisk PRICING ENGINE 2 | Features | Example | New in UnRisk ] [ UnRisk STANDARD ]
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