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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.
UnRisk 5 Released - Written by Herbert Exner
The UnRisk consortium takes UnRisk 5
to financial institutions, to valuate new
deal types, make valuations blazingly fast
by CUDA support and unleash the programming
power behind its solutions.
30-May-11 – UnRisk today announced it
has released UnRisk PRICING ENGINE and UnRisk-Q
version 5, introduced as UnRisk 5. This
release is free for all UnRisk Premium Service
users and will be shipped to all new customers
immediately. The UnRisk PRICING ENGINE has
been introduced 2001. Now, UnRisk 5 is the
18th release.
New in UnRisk 5: the vast variety of
instruments has been extended by new inflation
linked products based on a stochastic model
for inflation, a generalized all-in-one
pricing function for the valuation of hybrid
instruments, like interest rate / FX linked
products. Also new are bund futures, options
on bund futures, equity index futures and
more. New stochastic equity models are added:
Variance gamma model and normal inverse
Gaussian model.
Blazing Engines
The valuation and calibration engines
are implemented the UnRisk way: UnRisk 5
melts high end numerics and the next generation
NVIDIA Tesla 20 series GPU's. With the amazing
result that single valuations can be performed
in microseconds enabling the in-time calibration
of complex models and scenario runs.
And Declarative Programming - For Creators
UnRisk-Q version 5 is offered to quant
developers as culmination of the co-evolutionary
development of the bank-proof UnRisk PRICING
ENGINE, now on version 5, and UnRisk FACTORY.
UnRisk-Q integrates numerically optimized
C++ engines into Mathematica 8. Before its
release UnRisk-Q was the hidden driver of
the swift UnRisk growth - parts of UnRisk
are programmed in UnRisk.
The VaR Universe on top of UnRisk-Q has
been released recently.
"Making UnRisk-Q available to quant
developers, we re-invented our business",
summarizes Andreas Binder, CEO of the UnRisk
consortium, "UnRisk's engines perform
blazingly fast whilst maintaining accuracy
and robustness. This is achieved through
advanced numerical schemes, CUDA support,
principle component application, Taylor
series expansions and surrogate models",
he adds.
In special cases millions of valuations
that took 8 hours could be accelerated to
8 seconds.
In UnRisk-Q, al those calculations can
be programmatically manipulated in its task-oriented
language. It is CUDA-, grid- and web-enabled
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.
In focus
1. UnRisk
PRICING ENGINE for front and mid-office
professionals
2. Unrisk-Q
for quant developers
3. UnRisk
FACTORY for front and mid-professionals
in tight cooperation with risk managers
UnRisk incorporates a mix of the latest
technologies that can be easily tied together
to new uses and solutions:
- Technology
- Coverage
- Solutions
- Services
1. UnRisk
PRICING ENGINE for front and mid-office
professionals
UnRisk PRICING ENGINE enables the pricing
and analytics of the most sophisticated
deal types of equities, FX and interest
rates.
See full list of supported financial
instruments.(lasciare il link al sito WR)
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.
Financial Instruments
· A
wide range of derivatives and structured
instruments of equities, FX, interest rates
and inflation
· European,
Bermudan, American, Asian and vast universe
of exotic contract features
· multiple
callability
See full list of supported financial
instruments. .(lasciare il link al sito
WR)
Interest Rate Models
· Black76
· Vasicek
· Generalized
Hull-White
· Black-Karasinski
· LIBOR
Market Model
with advanced calibration schemes.
Equity Models
· Generalized
Black Scholes
· Dupire
· Heston
· Variance
Gamma Model
· Normal
Inverse Gaussian Model
FX Models
· Garman-Kohlhagen
· Dupire
Inflation Models
· Stochastic
Inflation Model in combination with 1 Factor
Hull & White Model
Front Ends
· MATHEMATICA
· Microsoft
Excel via a proprietary Link with built-in
parallelisation
System Requirements
· Microsoft
Windows platforms
· MATHEMATICA
· Microsoft
Excel
System Extensions
· NVIDIA
Tesla 20 series GPU cards with CUDA support
2. UnRisk-Q
For Creators of advanced Quant Finance solutions
The UnRisk version for quant developers
who want to create their own sophisticated
quant finance solutions
UnRisk-Q comes with a Mathematica front-end
enabling developers to quickly develop quantitative
finance solutions in a compute - develop
- deploy cycle. It integrates optimized
pricing and calibration engines into Mathematica;
so that proven models for a broad variety
of deal types are tuned by the most advanced
numerical schemes and the inverse problems
of model calibration are solved correctly.
What Quants will enjoy from using UnRisk-Q
· The
valuation of individual structures under
different models, definition of stress tests
and extensive what-if analysis
· Hundreds
of deal types and nasty details fully implemented
· The
declarative programming style and tools
for technology integration
· Built-in
parallel computing and NVIDIA Tesla 20 series
GPU's support
· The
combination of SDE and PDE solvers. Advanced
calibration techniques.
· The
production of dynamic visualization with
so little source code that could be read
on a smart phone
· Its
low total cost of ownership
webUnRisk
the option to deploy high-powered UnRisk
applications as interactive websites. It's
powered by webMathematica's robust, automatic
server deployment that scales for high traffic
and works with modern web services and standards.
VaR Universe
We have developed one of the most comprehensive
VaR system. VaR can be calculates across
the major methods - historic, parametric,
Montecarlo - and a vast variety of risk
factors. The calculations produce cubes
of VaRs spanning the portfolio VaR into
individual, component and composite VaRs
providing a deeper understanding of sources
and impact of different risk factors.
Enabling the fast risk analytics of portfolios
with sophisticated deal types.
3. UnRisk
FACTORY is a risk analytics platform used
to valuate portfolios of a broad variety
of instruments in scenarios in a high performance
computing environment with web access.
Banks, capital management firms, hedge
funds, … enjoy the following benefits from
using the UnRisk FACTORY
· Faster
Time-to-Insight – thousands of positions
across scenarios are Valuated in short time
· High
Accuracy – computational speed allows for
uncompromised model precision
· Complete
Evidence – all valuations are made persistent
for unlimited historical analysis
· Wide
Access – via an easy to use web front-end
· Lower
Total Cost of Ownership – high throughput
with a high utilization of a minimalist
infrastructure
UnRisk FACTORY offers a key benefit to
customers:
Based an scalable grid-computing it can
valuate many thousands of instrument positions
across hundreds of scenarios over night.
It integrates a grid-enabled version
of the UnRisk PRICING ENGINE with an application
data base and an import/export adapter,
all accessible from a simple web browser.
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 UnRisk 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
· Instrument
groups
· Scenario
schedules
· Interactive
runs or batch schedules and runs
System Requirements
· Microsoft
Windows Compute Cluster Server
· gridMATHEMATICA
and gridUnRisk (PRICING ENGINE)
· Microsoft
SQL Server
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