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.
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