On the one hand we have the UnRisk FACTORY, a web application which allows, in a very convinient way, to
- Set up Portfolios
- Perform automized Stress Tests and VaR Calculations
with all the corresponding data (portfolios, instruments, models, calculation results) being stored in the Database.
On the other hand we have the UnRisk PRICING ENGINE, which enables the user to
- Perform Valuations within Excel
BTW: Both products use the same Pricing Library: our Mathematica package UnRisk-Q.
Taking a look at the different Advantages of these products
- UnRisk FACTORY: comfortable user interface, automization, permanently storage of data in a database, easy access to all the data
- UnRisk PRICING ENGINE: flexibility of Excel
we thought of a possibility to combine these two products.
SOLUTION: The UnRisk Web Service.
- via UnRisk-Q functionality, the user to bring all data, which is stored in the UnRisk FACTORY database, to Mathematica.
- via our UnRisk Link for Excel, to bring this data to the Excel frontend
Now we have reached our starting point: we have set up a workflow (UnRisk FACTORY …. UnRisk Web Service … UnRisk-Q … UnRisk PRICING ENGINE) on top of which we can implement a lot of new functions, like, e.g., the following (and this, finally, is my example ;-) ):
Take the expected cashflows of all underlying instruments of a Portfolio and display the aggregation of these cashflows in a list of given time intervals.
Screenshot 1: Result of the Portfolio valuation (UnRisk FACTORY)
Screenshot 2: Result of the Cashflow Aggregation in Excel
At the end I summarize the steps needed to get these results to Excel:
- Set up the Portfolio in the UnRisk FACTORY (can be easily set up by the FACTORY user)
- Set up an automatically executed (e.g. every day) task to perform Stress Tests on this Portfolio (can be easily set up by the FACTORY user)
- Use the UnRisk Web Service (installed in the the UnRisk FACTORY environment) functionality to extract the valuation results from the UnRisk FACTORY (this functionality comes with UnRisk-Q)
- Write some simple Mathematica code to aggregate the Expected Cashflows
- Use the UnRisk Link for Excel (comes with the UnRisk PRICING ENGINE) to bring these results to Excel
The needed UnRisk software is delivered to our UnRisk FACTORY (the UnRisk FACTORY database is the basis of the UnRisk Web Service) customers in one bundle.
I am very happy that we found a way, the UnRisk Web Service, to enable our customers to combine the UnRisk products so that they get the optimal benefit of the different "worlds".