A 2014 Retrospect

The year 2014 was, from the computational finance view, quite challenging. With interest rates at a historical low level, lognormal models become impossible.

See Black versus Bachelier how we at UnRisk handle the difficulties with Black 76 models in that case.

Another 2014 story is credit / debt valuation adjustment. When regulators go the limit  (and sometimes beyond) of reasonability, when computational requirements get higher and higher, when millions of scenario values have to be calculated, then the UnRisk option is worthwhile to have a closer look.

In UnRisk's CVA project, cofunded by the Austrian Research Promotion agency, we have been working (and work is still ungoing) on bringing the xVA challenges to the ground.

UnRisk is not only about clever math, but also about stable and up-to-date realisations in modern software environments. Being a stone-age Fortran programmer myself, I enjoyed Sascha's post on the goats, wolves and lions problem very much.

There were more targest achieved by the UnRisk team in 2014: the releases of the UnRisk Engine version 8 and of the UnRisk FACTORY versions 5.1 and 5.2, the implementation of an HDF5 file format as a bsis for the CVA calculations and more things to come.