The UnRisk consortium takes UnRisk 5 to financial institutions, to valuate new deal types, make valuations blazingly fast by CUDA support and unleash the programming power behind its solutions.

30-May-11 – UnRisk today announced it has released UnRisk PRICING ENGINE and UnRisk-Q version 5, introduced as UnRisk 5. 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 5 is the 18th release.

New in UnRisk 5: the vast variety of instruments has been extended by new inflation linked products based on a stochastic model for inflation, a generalized all-in-one pricing function for the valuation of hybrid instruments, like interest rate / FX linked products. Also new are bund futures, options on bund futures, equity index futures and more. New stochastic equity models are added: Variance gamma model and normal inverse Gaussian model.

Blazing Engines

The valuation and calibration engines are implemented the UnRisk way: UnRisk 5 melts high end numerics and the next generation NVIDIA Tesla 20 series GPU's. With the amazing result that single valuations can be performed in microseconds enabling the in-time calibration of complex models and scenario runs.

And Declarative Programming - For Creators

UnRisk-Q version 5 is offered to quant developers as culmination of the co-evolutionary development of the bank-proof UnRisk PRICING ENGINE, now on version 5, and UnRisk FACTORY. UnRisk-Q integrates numerically optimized C++ engines into Mathematica 8. Before its release UnRisk-Q was the hidden driver of the swift UnRisk growth - parts of UnRisk are programmed in UnRisk.

The VaR Universe on top of UnRisk-Q has been released recently.

"Making UnRisk-Q available to quant developers, we re-invented our business", summarizes Andreas Binder, CEO of the UnRisk consortium, "UnRisk's engines perform blazingly fast whilst maintaining accuracy and robustness. This is achieved through advanced numerical schemes, CUDA support, principle component application, Taylor series expansions and surrogate models", he adds.

In special cases millions of valuations that took 8 hours could be accelerated to 8 seconds.

In UnRisk-Q, al those calculations can be programmatically manipulated in its task-oriented language.  It is CUDA-, grid- and web-enabled.