Wolfram Computation Meets Knowledge

Wolfram Archive

webUnRisk: Analyze Financial Derivatives with UnRisk and webMathematica

Published March 7, 2002

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.