webUnRisk shows the valuation of constant-maturity floaters under a generalized Hull-White stochastic interest rate model. Either by using the sample data on the site or by uploading their own, users can determine swap rates and cap prices for various maturities and cap rates. The swap and cap data can then be used to calibrate the Hull-White model and to demonstrate how well this model fits actual market prices for caps. Finally, webUnRisk allows users to valuate a constant maturity floater under the Hull-White model and to perform a sensitivity analysis for the instrument.
In this way, webUnRisk highlights some of the new features present in
UnRisk 1.5 and the power of webMathematica.
"Since the UnRisk launch in March 2001, its developers have constantly been adding new features for immediate use as well as for customization, development, and integration," says Roman MÃ¤der, Zurich, integrator of advanced mathematical financial solutions. "Coupled with its full compatibility with webMathematica, this allows me to implement ground-breaking integrated solutions for web based computational finance applications in an amazingly short time."