Sommario » Introduzione » Caratteristiche Generali » Nuove caratteristiche v 4 » Strumenti Finanziari » Soluzioni » Requisiti di Sistema

 

Introduzione in italiano torna su

Link Utili » Manuale UnRisk 3.0

UnRisk: quando il passo veloce e l’accuratezza analitica contano!

UnRisk è stato creato per combinare velocità e precisione nell’analisi dei derivati finanziari.

E’ un modulo add on di Mathematica che integra il più potente ambiente di calcolo e sviluppo al mondo con ottimizzate librerie C++ e fornisce una soluzione estremamente affidabile e pronta all’uso.
UnRisk offre la flessibilità di un linguaggio di programmazione ad alto livello con la velocità necessaria per la produzione di analisi e risultati affidabili.

Grazie a UnRisk la potenza e affidabilità di calcolo necessaria nel processo industriale e di controllo del rischio è stata trasferita nella finanza computazionale.

UnRisk è lo strumento ideale per analisti quantitativi e ricercatori in istituzioni finanziare, operatori di borsa, tesorieri e chi opera come professionista nell’analisi e nel controllo dei rischi, nella gestione dei fondi di investimento e di patrimoni o nella finanza computazionale.

General Features torna su

UnRisk offers a selected range of products that enable financial institutions to focus on in-time decision support for managing risk from the single deal type to the large and diversified portfolio. For enterprise-wide pricing and analytics strategies all products access the same ultrafast but accurate and robust valuation engines that avoid cross model & method risk which usually becomes horrible in interplay.

For Whom?

Sectors: Financial institutions, especially Banks, Capital Markets, Asset Management, Hedge Funds. Insurance. Corporate. Auditors and Regulators.

Professionals: Trader, Treasurer, Asset Manager, Quant, Product- and Risk Conroller, Risk Manager, Auditor,  Revisor.

Asset Classes: Fixed Income, Inflation, Equity, FX, Convertibles.

When accurate derivatives analytics counts

UnRisk PRICING ENGINE enables the pricing and analytics of the most sophisticated deal types of equities, FX and interest rates.

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.

Customers enjoy the following key benefits

·           Immediate Results – it comes with instant instruments in 2 front-ends

o          Mathematica

o          Excel

·           High Accuracy and Robustness – numerical schemes are based on the most advanced solvers

·           High Performance Valuation - with built-in parallel computing UnRisk comes standard with computation kernels over multiple-core architectures, local or grid, fully supported by Mathematica and the Excel front-end.

·           Quick Development – the fast growing financial knowledge empowers the implementation of new instruments with minimal efforts

·           Better interpretation – results can be easily combined and visualized

UnRisk PRICING ENGINE offers a key benefit to its customers: They can build large books and receive a system with customized instruments in unprecedented short time, because unlike other systems we have integrated ultra-fast computational engines into the declarative development environment of Mathematica.

New Features torna su

UnRisk 4 is the 16th release and the fastest and most accurate release ever.

With built-in parallel computing, every copy of UnRisk 4 comes standard with parallelized computation kernels over multiple local cores or over networks of UnRisk 4 deployed across a grid. Every copy of UnRisk 4 comes with four computation kernels that can be extended easily.

UnRisk manages parallelization in the Mathematica and the Excel front-end.

“UnRisk’s single-core speed is already first class”, says Andreas Binder, CEO of the UnRisk makers MathConsult, “coarse grain parallelization steps up performance with little communication losses”. “Local and networked multi-core computers are now widely used, and we want quantitative finance experts to have access to their power”, he adds.

Best efforts to avoid risky model & method horrors.

New in UnRisk 4:
a vast variety of interest rate based contracts can be analyzed across short rate and market models. Expected coupons rates, as well as survival probabilities (of callable/putable instruments) are calculated.

Option analytics can be performed across generalized Black Scholes, Dupire and Heston models.

The valuation and calibration engines are implemented the UnRisk way: with the most advanced numerical schemes, parameter identification and optimization techniques transferred from the most complex technical system solving to finance.

Financial Instruments torna su

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

Interest Rate Models

·           Black76

·           Vasicek

·           Generalized Hull-White

·           Black-Karasinski

·           LIBOR Market Model

with advanced calibration schemes.

Equity Models

·           Generalized Black Scholes

·           Dupire

·           Heston

FX Models

·           Garman-Kohlhagen

·           Dupire

Full list of supported financial instruments.

Interest Rate Instruments

Coupon Paying Bonds

·           (Multi Callable and/or Putable) Fixed Rate Bonds

·           (Multi Callable and/or Putable) Step Up / Step Down Bonds

·           (Multi Callable and/or Putable) Money Market Floater with Cap / Floor

·           (Multi Callable and/or Putable) Constant Maturity Floater with Cap / Floor

·           (Multi Callable and/or Putable) Reverse Floater with Cap / Floor

·           (Multi Callable and/or Putable) Fixed-to-Floating Rate Notes

·           (Multi Callable and/or Putable) CMS Spreads (Steepener)

·           (Multi Callable and/or Putable) Snowball Floater (Memory / Cliquet Inverse Floater)

·           (Multi Callable and/or Putable) Ratchet Floater

·           (Multi Callable and/or Putable) Quantos

·           (Multi Callable and/or Putable) Quanto Spreads

·           (Multi Callable and/or Putable) Volatility Bonds (Start / End and Max / Min)

·           (Multi Callable and/or Putable) Switchable Fixed Rate Zeros

·           (Multi Callable and/or Putable) Snowball Steepener

·           Callable Multitranche Zeros

·           Autocallable Money Market Floater with Cap / Floor

·           Autocallable Constant Maturity Floater with Cap / Floor

·           Autocallable Reverse Floater with Cap / Floor

·           Autocallable Fixed-to-Floating Rate Notes

·           Autocallable CMS Spreads (Steepener)

·           Target Redemption Notes

·           Target Redemption Quantos

·           Target Redemption CMS Spreads (Steepener)

·           Target Redemption Snowball Floater (Memory / Cliquet Inverse Floater)

Zero Bonds

·           (Multi Callable and/or Putable) Fixed Rate Bond Zeros

·           (Multi Callable and/or Putable) Step Up / Step Down Bond Zeros

·           (Multi Callable and/or Putable) Money Market Floater with Cap / Floor on Zero Basis

·           (Multi Callable and/or Putable) Constant Maturity Floater with Cap / Floor on Zero Basis

·           (Multi Callable and/or Putable) Reverse Floater with Cap / Floor on Zero Basis

·           (Multi Callable and/or Putable) Fixed-to-Floating Rate Notes on Zero Basis

·           (Multi Callable and/or Putable) CMS Spreads (Steepener) on Zero Basis

Swaps

·           Vanilla Swaps

·           (Callable and/or Putable) Constant Maturity Swaps

·           (Callable and/or Putable) Amortizing Constant Maturity Swaps

·           (Callable and/or Putable) General Constant Maturity Swaps

·           (Callable and/or Putable) General Amortizing Constant Maturity Swaps

·           (Callable and/or Putable) Snowball Swaps (Memory / Cliquet Inverse Swaps)

·           (Callable and/or Putable) Ratchet Swaps

·           (Callable and/or Putable) Digital Range Accrual Swaps

·           (Callable and/or Putable) CMS Spread Swaps (Steepener Swaps)

·           (Callable and/or Putable) Quanto Swaps

·           Target Redemption Swaps

·           Target Redemption Steepener Swaps

Bond Options

·           Fixed Rate Bond Options (Bermudan or American)

·           Options on Step Up / Step Down Bonds (Bermudan or American)

·           Options on Money Market Floater with Cap / Floor (Bermudan or American)

·           Options on Constant Maturity Floater with Cap / Floor (Bermudan or American)

·           Options on Reverse Floater with Cap / Floor (Bermudan or American)

·           Options on Fixed-to-Floating Rate Notes (Bermudan or American)

Range Accruals

·           (Callable and/or Putable) CMS Range Accruals

·           (Callable and/or Putable) Digital Range Accruals

·           (Callable and/or Putable) Digital Range Accrual Zeros

·           (Callable and/or Putable) Digital Spread Range Accruals

·           (Callable and/or Putable) Dual Digital Range Accruals

·           (Callable and/or Putable) Spread Range Accruals

·           Target Redemption Digital Range Accruals

Other Interest Rate Instruments

·           Forward Rate Agreements (FRA)

·           Caps / Floors

·           Auto / Chooser Caps / Floors

·           American / European / Bermudan Swaptions

·           Captions / Floortions

·           Switch Obligations

Valuation under

·           Swap Curves

·           Yield Curves

·           Black76 Model

·           LIBOR Market Model

·           Generalized Hull & White 1 Factor Model

·           Generalized Hull & White 2 Factor Model

·           Black Karasinski Model

Convertible Bonds

Convertible Bonds with

·           Soft Call Feature

·           Reset Feature

·           Bermudan / American Conversion

·           Bermudan / American Call Feature

·           Bermudan / American Put Feature

Valuation under

·           Black-Scholes Model

·           Generalized Hull & White 1 Factor Model

Equity Derivatives

Vanilla Options (European / Bermudan / American)

Barrier (Quanto) Options (European / Bermudan / American)

·           Up & Out Options with / without Rebate

·           Up & In Options with / without Rebate

·           Down & Out Options with / without Rebate

·           Down & In Options with / without Rebate

·           Double Barrier Out Options with / without Rebate

·           Double Barrier In Options with / without Rebate

Path Dependent Options

·           Asian Options

·           Floating Strike Lookback Options

·           Fixed Strike Lookback Options

·           Forward Start Options

·           Time-Switch Options

Other Equity Derivatives

·           Digital Options

·           Digital (Up / Down, Out / In) Barrier Options

·           Digital Double (Out / In) Barrier Options

·           Compound Options

·           Chooser Options

·           Extendible Options

·           Gap Options

·           Supershare Options

Valuation under

·           Black-Scholes Model

·           Dupire Model (Local Volatility)

·           Heston Model

FX Derivatives

Vanilla Options (European / Bermudan / American)

Barrier Options (European / Bermudan / American)

·           Up & Out Options with / without Rebate

·           Up & In Options with / without Rebate

·           Down & Out Options with / without Rebate

·           Down & In Options with / without Rebate

·           Double Barrier Out Options with / without Rebate

·           Double Barrier In Options with / without Rebate

Path Dependent Options

·           Asian Options

·           Floating Strike Lookback Options

·           Fixed Strike Lookback Options

·           Forward Start Options

·           Time-Switch Options

Other FX Derivatives

·           Digital Options

·           Digital (Up / Down, Out / In) Barrier Options

·           Digital Double (Out / In) Barrier Options

·           Compound Options

·           Chooser Options

·           Extendible Options

·           Gap Options

·           Supershare Options

Valuation under

·           Garman-Kohlhagen Model

·           Dupire Model (Local Volatility)

Credit Linked Instruments

·           Credit Default Swaps

Solutions torna su

We make it for you We make it with you You make it

Immediate Application

·           Handle large books from an Excel interface

·           Design financial products and verify them by cross-model-and-scenario checks

·           Analyse portfolios across comprehensive scenarios, by pushing a button or in batch

·           Handle massive computation and data management within a web browser

UnRisk Customization and Integration

·           New deal types, which are not covered are yours and in short time

·           Special function aggregation for new uses

·           Customized API's and data-flow mechanism for the integration into front-to-back-office systems

Integration of the UnRisk Engines into any Financial System

·           Licensing: know-how packages on the numerically optimized pricing and calibration engines, in C++, that are grid-enabled

·           Consulting and architectural design support, based on our experience when building the UnRisk FACTORY

General Consulting and Outsourcing

·           Integrated financial system require innovative architectures, methods and tools, including but not limited to hybrid environments with MATHEMATICA, Java, C++, Web services, transaction processing and the most sophisticated mathematical kernels.

·           We build a concept, develop a prototype or conduct a whole project

System Requirements torna su

·           Microsoft Windows platforms

·           MATHEMATICA

·           Microsoft Excel

Front Ends

·           MATHEMATICA

·           Microsoft Excel via a proprietary Link with built-in parallelisation