Yesterday, we have taken UnRisk 5 to financial institutions to valuate new deal types of inflation, mixed interest rates and FX, offer new stochastic equity models (variance and gamma and normal inverse Gaussian), make valuations blazingly fast by CUDA support and unleash the programming power behind the UnRisk suite.
UnRisk has been introduced 2001 - it is now its 18th release. This was only possible because of the careful design and Mathematica's high-level programming and link technologies.
The valuation and calibration engines are implemented by melting high-end numerical schemes and the next generation NVIDIA Tesla 20 series GPUs. With the stunning result that single valuations can be performed in microseconds enabling 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 and FACTORY. Before its release UnRisk-Q was the hidden driver of the swift UnRisk growth - the major portion of UnRisk is programmed in UnRisk/Mathematica's task oriented, declarative programming language. Even the comprehensive VaR Universe producing cubes of VaRs across across risk factors and components has been developed with a fraction of the expected effort.
Making UnRisk-Q available to quant developers, we re-invented our business. They obtain blazing engines, programmatically manipulated in its task-oriented language, CUDA, grid- and web-enabled.