New Improvements

UnRisk Consortium has released a new version of its ultrafast, industrial-strength UnRisk PRICING ENGINE. By combining Mathematica's symbolic and numeric paradigms with specialized C++ code, UnRisk PRICING ENGINE bypasses the traditional dilemma of accuracy versus speed.

New in Version 2.3

• New utilities
• Monte Carlo simulation under Hull-White model
• Local equity volatility surface
• Local FX volatility surface
• New instruments
• Target redemption swaps
• Callable/putable ratchet swaps
• Callable/putable digital range accrual swaps
• Target redemption steepeners
• Callable/putable general steepener swaps
• Callable/putable quanto swaps
• Callable/putable general steepener type 2 swap

Features Added in Version 2.2

• New function for the calibration of a generalized Hull-White model
• Redesign of the Excel template structure
• New instruments
• Callable/putable digital range accruals
• Callable/putable digital spread range accruals
• Callable/putable general steepeners of type 2
• Target redemption quantos
• Callable/putable general steepener zeros

Features Added in Version 2.1

• Bootstrapping routine that generates the yield (zero) curve due to given money market rates, swap rates, and futures quotes
• Introduction of a redemption schedule that allows the treatment of amortizing structures
• New features for existing instruments:
  • Calculation of survival probabilities of callable/putable fixed rate bonds
  • Calculation of survival probabilities of callable/putable general constant maturity floaters
• New instruments:
  • Callable/putable general zeros
  • Callable/putable snowball floaters
  • Target redemption notes
  • Callable/putable ratchet floaters
  • Callable/putable amortizing general constant maturity swaps

Features Added in Version 2

The major innovation in UnRisk PRICING ENGINE 2 is the complete reorganization of the numerical schemes to solve and calibrate two-factor models with unprecedented accuracy and speed. Numerical techniques include adaptive integration, finite elements, streamline diffusion, and regularization.

• Hull-White general two-factor model
• Calibration of the two-factor Hull-White model
• General steepener schedules
• Callable/putable general constant maturity swaps under one-factor valuation
• Instruments under two-factor valuation
  • Callable/putable quantos
  • Callable/putable general steepeners
  • Fixed rate bonds
  • Vanilla caps/floors
  • General constant maturity floater
  • Fixed rate bond options
  • Callable/putable fixed rate bonds
  • Forward-start swaptions
  • Callable/putable constant maturity floater

Features Added in Version 1.8

• Finite elements with streamline diffusion
• General CMF (constant maturity floater) schedules
• New functions to calculate hazard rates, survival probabilities, and implied credit spreads
• Demonstration of how parameters such as the correlation between interest rates and equities can be estimated by the use of historical market data
• Credit default swaps
• Equity digital double-barrier options
• FX digital double-barrier options
• General constant maturity floaters
• Options on general constant maturity floaters
• Callable/putable general constant maturity floaters
• Callable/putable CMF range accruals
• Quantos evaluated under the generalized Hull and White interest-rate model for the interest rates and the generation of the coupon rates
• Convertible bonds evaluated under the generalized Hull and White model for the interest rates and the stochastic model for the movement of the underlying equity price

Features Added in Version 1.7

• Inclusion of dozens of exotic options, including Asian, double barrier, chooser, digital, lookback, and supershare options.
• Forward-start swaptions in a Black 76 framework for compatibility reasons
• Put notice in callable/putable fixed-rate bonds
• Call/put notice in callable/putable floaters with and without caps/floors
• Options on constant-maturity floaters with and without caps/floors
• Callable/putable constant-maturity floaters with and without caps/floors
• Convertible bonds with incorporated soft-call or reset features
• Switch obligations
• CMF range accruals
• Digital range accruals

Features Added in Version 1.6

• Ability to take a swap curve when working with the Excel link (previously only a yield curve)
• Nonconstant credit spreads
• Expected coupons
• Date shift
• Vanilla caps and floors with a Black 76 approach
• Holiday calendars until 2050
• Volatility available as scalar
• Call notice on callable/putable fixed-rate bonds
• Forward-start swaptions
• Excel macros to export data in files that can be loaded by UnRisk PRICING ENGINE