EveryWare - UnRisk an Example

In the mid 90ies, being lucky, we were asked to develop some tools fo some exotic convertible bonds for a London based trading desk. How we did it and have now UnRisk FACTORY an EveryWare for risk analytics.

1. Optimize the number crunching

In a risk management workflow you are crunching numbers millions of times. Pricing and calibration engines are optimized in C++.

2. Provide declarative programming

To described financial objects in the language of mathematics, we integrated our engines into Mathematica and inherit a vast variety of technologies.

3. Parallelize it

We multiply performance by applying coarse grain symbolic parallelization techniques from Mathematica. In a few lines of code UnRisk became gridUnRisk.

4. Make data persistent

UnRisk's I/O relations and and control objects are represented in MS SQL. Mathematica's JDBC support and Java was the natural choice.

5. Web it

UnRisk interaction patterns, represented as JSPs, part of a Java implementation are wrapped up as Servelet web application.

6. Tie everything together

Web browser - UnRisk servelet - data base - UnRisk service - gridUnRisk - numerical engines; using a mix of Mathematica link technologies and communication protocols.

7. Scale it

Scalability is "outsourced" to license management.

Web browsers on smart phones and cloud computing makes UnRisk FACTORY a pervasive computing solution.