UnRisk FACTORY 5.2 Released: Closing the FACTORY - Excel Gap

Today we have released Version 5.2 of the UnRisk FACTORY.
By combining the following two technologies
  • UnRisk Web Service: enables our users to import data from the UnRisk FACTORY database into Mathematica
  • UnRisk PRICING ENGINE: enables our users to use all of the UnRisk functionality from within Excel
our users have now the possibilities to import data from the UnRisk FACTORY database directly into Excel - without having the need of .csv files or database views.
These data, e.g., may be:
  • Market Data
  • Calibrated (automatically within the UnRisk FACTORY) interest rate models
  • Valuation Results of individual instruments and portfolios
  • VaR Results of Portfolios including the contribution VaRs of the underlying instruments
In addition this new functionality allows us to offer the following service to our customers:
If the customers wants to see information in a certain way, which is not part of the basis functionality of this, let's call it,  "UnRisk FACTORY for Excel Link", we can easily implement this new functionality within days and in most of the cases without extra costs for the customers.
At the end of this post I give a small example of such an extension:
The user wants to know
"What are the aggregated expected cashflows of the instruments from my portfolio for a list of given date intervals."
The implementation, which consits of 12 lines of Mathematica code, of the corresponding function took me around 45 minutes. The main steps are:
  • Extract the valuation results of the portfolio
  • Loop over all underlying instruments and extract the expected cashflows
  • Aggregate the expected cahsflows for the given date intervals
Here is a screenshot of the output in Excel: