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UnRisk PRICING ENGINE 2.3 Adds New Tools for High-Level Derivatives Analytics

April 25, 2006--UnRisk PRICING ENGINE 2.3, an upgrade to the sophisticated Mathematica add-on for high-level derivatives analytics, is now available for download from Wolfram Research.

Relied on by traders, treasurers, risk managers, financial engineers, and quantitative analysts around the world, UnRisk provides an integrated environment for unprecedentedly fast valuations of complex equities, FX, and interest rates. In addition to immediate pricing and analytics, UnRisk is designed for rapid modeling and product building on any scale.

Flexible, dual front-end compatibility allows UnRisk to be run from within Mathematica or, with the addition of Mathematica Link for Excel, as an add-in to Excel. In either platform, UnRisk also integrates seamlessly into larger database-oriented architectures.

The new version introduces:

  • Monte Carlo simulation under the general Hull-White model
  • Local equity and FX volatility surfaces
  • New callable/putable financial instruments, including ratchet swaps, digital range accrual swaps, general steepeners, and quanto swaps
  • New target redemption swaps and steepeners
  • Equity and FX derivatives valuation under local volatility surfaces
Developed and supported by UnRisk Consortium, UnRisk PRICING ENGINE 2.3 requires Mathematica 4.0 or higher for Windows.

More information is available on the UnRisk PRICING ENGINE website.