webUnRisk: Analyze Financial Derivatives with UnRisk and
webMathematica
March 7, 2002--With UnRisk 1.5 and webMathematica, you
can deploy interactive, complex financial calculations via a standard,
easy-to-use web interface. webUnRisk,
an interactive new risk analysis tool on the Wolfram Research web site, is just
one example of the types of financial analysis you can perform when you
combine a top-notch derivatives pricing engine like UnRisk with the
online technical computing power of webMathematica.
webUnRisk shows the valuation of constant-maturity floaters under a
generalized Hull-White stochastic interest rate model. Either by using the
sample data on the site or by uploading their own, users can determine swap
rates and cap prices for various maturities and cap rates. The swap and cap
data can then be used to calibrate the Hull-White model and to demonstrate
how well this model fits actual market prices for caps. Finally, webUnRisk
allows users to valuate a constant-maturity floater under the Hull-White
model and to perform a sensitivity analysis for the instrument.
In this way, webUnRisk highlights some of the new features present
in UnRisk 1.5, the latest release of this Mathematica application
package. UnRisk now
covers extended interest rate models and adds an intuitive, form-based,
point-and-click front end to its list of features. With this new interface
option in addition to the existing Excel workbook and Mathematica
notebook formats, financial traders,
treasurers, risk managers, quantitative analysts, and risk controllers can
now collaborate on single-source models from within their own
task-oriented front ends.
"Since the UnRisk launch in March 2001, its developers have
constantly been
adding new features for immediate use as well as for customization,
development, and integration," says Roman
Mäder, integrator of advanced mathematical financial
solutions. "Coupled with its full compatibility with
webMathematica, this allows me to implement ground-breaking
integrated solutions for web applications in an amazingly short time."
Based on the world's leading technical computing software and the proven
Java Servlet technology, webMathematica is fully compatible with
state-of-the-art dynamic web systems, making it easy to slot a customized
webMathematica-based system into a financial institution's existing
infrastructure. Furthermore, such applications can easily be updated as
new analysis techniques become available.
UnRisk covers a wide variety of equity
and interest rate derivatives and requires Mathematica 4 or later.
More information about UnRisk
and webMathematica
are available on the Wolfram Research web site.
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