Features
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:
http://www.unrisk.com/index.php/products/coverage
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
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 parallelization
System Requirements
- Microsoft Windows platforms
- Mathematica
- Microsoft Excel
System Extensions
- NVIDIA Tesla 20 series GPU cards with CUDA support
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