The UnRisk consortium takes UnRisk 4 to financial institutions, to valuate deals and analyse their risk concurrently in local or server grid-environments

27-Oct-09 – UnRisk today announced it has released UnRisk PRICING ENGINE version 4, introduced as UnRisk 4. 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 4 is the 16th release and the fastest and most accurate release ever.

UnRisk 4 on Mathematica 7

With built-in parallel computing, every copy of UnRisk 4 comes standard with parallelized computation kernels over multiple local cores or over networks of UnRisk 4 deployed across a grid. Every copy of UnRisk 4 comes with four computation kernels that can be extended easily.

UnRisk manages parallelization in the Mathematica and the Excel front-end.

“UnRisk’s single-core speed is already first class”, says Andreas Binder, CEO of the UnRisk makers MathConsult, “coarse grain parallelization steps up performance with little communication losses”. “Local and networked multi-core computers are now widely used, and we want quantitative finance experts to have access to their power”, he adds.

Best efforts to avoid risky model & method horrors

New in UnRisk 4: a vast variety of interest rate based contracts can be analyzed across short rate and market models. Expected coupons rates, as well as survival probabilities (of callable/putable instruments) are calculated.

Option analytics can be performed across generalized Black Scholes, Dupire and Heston models.

The valuation and calibration engines are implemented the UnRisk way: with the most advanced numerical schemes, parameter identification and optimization techniques transferred from the most complex technical system solving to finance.

Compute – develop

UnRisk integrates a numerically optimized C+ engine into Mathematica 7. The PRICING ENGINE comes with a Mathematica and an Excel front-end. UnRisk-Q, dedicated to quant-programmers, with a Mathematica front-end.