Agenda 2012 - The All-New UnRisk

We achieved our objectives described in the Agenda 2011.
We made the box blazingly fast and even whiter. And we continuously unleashed our innovations empowering quant developers to use the same programming power, we use to swiftly develop solutions, like the UnRisk FACTORY and FACTORY Capital Manager.

UnRisk engines are now at version 5 and the FACTORY at version 3. The VaR universe runs atop the UnRik-Q and the FACTORY providing information cubes resulting from time travels of portfolios and simulation for the most advanced risk management processes.
UnRisk goes cross platform.
And we have added tools for a tighter integration of UnRisk-Q and the FACTORY, linking UnRisk-Q to the FACTORY data base.
This enables system integrators to exploit our combined valuation and data management and transform results into insight with unprecedented low efforts.

In 2012 we will go far beyond this.
This year I describe the Agenda from a common view of the core team: Andreas, Michael and Michael, Sascha and myself. It will not be detailed, but I will keep you informed during the year.

What does this mean? Is it to remove weak points? A simple optimization task?

Not at all.  I like Wittgenstein's Ladder in Tractatus Logico-Philosophicus: to go beyond you must throw away the ladder you climbed up (but you need to have climbed up).
In our business the ladder, a pattern, can be at the algorithms and implementations level, but also the design and programming language level.

OpenCL driven over Grids
We have transferred the most sophisticated numerical schemes from solving complex technical problems to finance and in thousands of practical tests, we have proven their advantages over the most widely used methods to solve financial PDEs, PIDEs, ..  in accuracy, speed, stability and robustness.
With the new computing muscles we get new opportunities of solving. We can apply simpler methods for multiple usage.

We were early adopters of this future technologies and we are now able to re-implement the code base optimized and platform-agnostic for heterogenous architectures - in OpenCL - and verify new methods and implementations with our most advanced solvers running in the traditional architectures.

A Unified Description Layer in C++
Having integrated our optimized C++ engines into Mathematica, we have designed financial objects and operations to be described in a declarative, domain specific language, exploiting Mathematica's functional programming paradigm and extending its language into the universe of derivatives, portfolios, scenarios, models, methods, schedules, events, .... In not so rare cases, we develop UnRisk engine features in UnRisk. And quants develop their customized solutions quickly.
This symbolic layer made it easy to parallelize and make applications web enabled.

Having gained deep insight into the power of such structures, we will introduce a new layer with a unified description of the financial objects and their manipulation - in C++.
The design of the interface of this layer will be generic in the sense that interfaces to any other programming languages can be built with unprecedented low effort.

This all-new UnRisk Core will provide all bank-proof instruments, models and methods, organized orthogonally by the UnRisk systems. And much more.
In addition to the existing programming front-end a programming layer will be provided that makes it a programming Chameleon. Quant developers, and ourselves, will rely on the same unified description and accessing the identical blazingly fast pricing and calibration engines on traditional or new computing muscles.
A new intelligence in instrument-model-method combinations will allow the even quicker introduction of new (hybrid) deal types.