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UnRisk FACTORY Powered by gridMathematica
Author

Sascha Kratky
Organization: uni software plus GmbH
Conference

2007 Wolfram Technology Conference
Conference location

Champaign, IL
Description

Abstract

The talk will highlight some of the experiences gained by using gridMathematica for the implementation of the UnRisk FACTORY. The UnRisk FACTORY combines a grid-enabled version of the UnRisk PRICING ENGINE with a database all accessible from a web browser.

The UnRisk PRICING ENGINE is a Mathematica package that allows for the analysis of derivatives and structured products. It integrates an optimized C++ engine for pricing and calibration into Mathematica. It incorporates advanced numerical schemes with record-breaking performance and easy-to-use declarative programming constructs. The user can choose from two different front ends--Mathematica notebooks and Excel workbooks.

The need for a web-based front end and the requirement to permanently store the results of valuations performed with the UnRisk PRICING ENGINE lead to the creation of the UnRisk FACTORY. With the UnRisk FACTORY, multiple users can simultaneously submit UnRisk PRICING ENGINE related tasks like the calibration of interest models, valuation of financial instruments, or the preparation of market data (e.g., bootstrapping of yield curves) to a grid of UnRisk PRICING ENGINEs. This grid has been implemented on top of gridMathematica. The results of these calculations are stored to a database where a web server picks them up and renders them as web pages. A market data adapter facilitates importing of market data and other external data.

The talk will focus on a component of system we call UnRisk Service. This is a service process implemented in Java that loads tasks submitted by the users from a database (via JDBC) and sends them to the gridMathematica master kernel via J/Link. The process schedules these tasks in a way that allows for taking advantage of the full computational bandwidth provided by the gridMathematica slave kernels. The UnRisk Service also takes care of keeping the grid up and running all the time by automatically restarting inactive slave kernels.
Subjects

*Mathematica Technology > Application Packages > Applications from Independent Developers > UnRisk PRICING ENGINE
*Mathematica Technology > Linking Technology > J/Link
*Mathematica Technology > Special Versions > gridMathematica
*Mathematica Technology
URL

http://www.wolfram.com/news/events/techconf2007/
Downloads

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UnRiskFACTORY.pdf (1.6 MB) - PDF Document