UnRisk STANDARD

Standard Utilities, Functions, and Derivative Instruments for Mathematica Programmers in Finance

Using UnRisk STANDARD with its well-implemented functions and Mathematica's high-level programming language, you can rapidly build customized applications. The package is particularly well suited for financial professionals who want to utilize Mathematica's excellent programming capabilities and for finance educators who are interested in introducing pricing and analytics based on standard instruments.

UnRisk STANDARD offers a collection of elegantly implemented Mathematica functions and objects that map all types of dates, day-count and business-day conventions, holiday calendars, coupon and dividend schedules, and FX tables; handle swap and yield curves (bootstrapping, discounting, and forwarding); and define and valuate standard derivatives such as vanilla options and interest swaps, forwards, fixed-rate bonds, caps, and floors.

Although UnRisk STANDARD applies standard models for simple instruments, its optimized algorithms and object-oriented implementation inherit the uncompromising practice-orientation and quality standards from UnRisk PRICING ENGINE, which is used worldwide in trading, risk management, and research.

UnRisk STANDARD comes with the Mathematica front end and covers standard instruments that can be valuated analytically, such as:

• Equity forwards
• FX forwards
• Forward-rate agreements
• Vanilla equity options
• Vanilla FX options
• Fixed-rate bonds
• Vanilla interest swaps
• Caps and floors

For more complex derivatives, check out UnRisk PRICING ENGINE.

Developed and supported by UnRisk Consortium.

UnRisk STANDARD requires Mathematica 4 or 5 and is available for Windows.

[ UnRisk PRICING ENGINE 2 | Features | Example | New in UnRisk ] [ UnRisk STANDARD ]