In last week's blog Linking the UnRisk FACTORY to UnRisk-Q Chapter 1 I demonstrated how the UnRisk Web Service may be used to price a financial Instrument, which has been set up in the UnRisk FACTORY, under an interest rate curve, which has been set up in Mathematica - the valuation has been performed by the use of UnRisk-Q
Today I will describe the same procedure but the other way round, I will
- Set up a bond in Mathematica (by the use of UnRisk-Q)
- Load an interest rate curve, which has been set up and bootstrapped automatically within the UnRisk FACTORY, into Mathematica
- Price the bond under this interest rate curve within Mathematica (again, by the use of UnRisk-Q)
Here is a screenshot of the UnRisk FACTORY interest rate curve:
The necessary steps are explained in the following code of Mathematica
Conclusion: Within the UnRisk FACTORY the user can set up interest rate curves / interest rate models / all kinds of market data (being imported, bootstrapped, calibrated, etc.., automatically every night). The UnRisk Web Service enables the user to import these market data into the world of Mathematica. By the use of UnRisk-Q the user can perform valuations or analyze the behaviour of prices of instruments which the user can set up within Mathematica in a very flexible way.