The Core of UnRisk - embeddable, scalable

UnRisk LIBRARY is our core computational engine, an optimised C++ library, based on the most advanced numerical methods available. UnRisk LIBRARY can be used for valuation and risk management of hundreds of instrument types. The library is highly scalable and supports parallel execution of calculations. Users can embed the library into their own software products using a flexible interface (file based or API).

UnRisk LIBRARY can be used for different use cases:

  • Risk control- and management (market, liquidity and credit risk)
  • Instrument and portfolio analytics
  • Counterparty risk
  • Investor advisory
  • Asset management

 

UnRisk LIBRARY covers:

  • Interest rate instruments
  • Equity derivatives
  • FX derivatives
  • Inflation linked securities

 

UnRisk LIBRARY uses a variety of numerical Methods:

  • Monte Carlo, American least squares Monte Carlo, Quasi Monte Carlo for higher dimensional problems
  • Solution methods based on PDE techniques
  • Finite elements taking into account convection (streamline diffusion, SUPG)
  • Green’s functions when available
  • Fourier transformation and Fourier cosine techniques for stochastic volatility models
  • Robust parameter calibration based on regularization techniques

Key Benefits and Key Features

The UnRisk LIBRARY offers a wide range of advantages - from what-if analyses to scalability:

    • The valuation of individual structures under different models, definition of stress tests and extensive what-if analyses

    • Hundreds of instrument types and nasty details fully implemented

    • The combination of SDE and PDE solvers

    • Advanced calibration techniques

    • A flexible interface either file based or supporting multiple languages (.NET, …)

    • scalability and support of parallel computation

 
UnRisk LIBRARY

Learn more about UnRisk LIBRARY in our Factsheet

Download Factsheet

 

Licensing

Library licensing depends on the type of the intended usage. Here you can find the license agreement.

 

Pricing

Standard licenses are annual licenses. Perpetual licenses are available upon request. Please contact sales for further information.

 

Try out UnRisk LIBRARY!

Please contact UnRisk Support to obtain your temporary UnRisk LIBRARY license file.

Full as well as evaluation licenses are subject to the acceptance of the license agreement.  If you do not agree to be bound to the license agreement, do not download an evaluation copy.