The UnRisk Communication Services

The UnRisk WebService is part of the UnRisk FACTORY. It makes the data stored in the UnRisk database available via a SOAP web service. SOAP clients can be automatically generated for different programming languages through the SOAP WSDL interface description:

By the use of this UnRiskQ financial language the user may import UnRisk objects from the UnRisk FACTORY database into an interactive Mathematica sesssion.

The following code shows an example session which retrieves instruments from the UnRisk FACTORY database:

InstallWebService["", "user", "pwd"]

MyInstrumentNames = GetInstrumentNamesFromType["General Swap"]
{56545 Swap,56720 Swap,ao_Example5,ARC Gleitzins Test 3,ARC Gleitzins Test 3 with Call,ARC Gleitzins ZS-15B,ARC Plain Vanilla Swap Test 4,ARC Plain Vanilla Swap Test 5,ARC Plain Vanilla Swap Test 5_1,ARC Plain Vanilla Swap Test 5_2,ARC Plain Vanilla Swap Test 5_3,ARC Plain Vanilla Swap Test 5_4,ARC Plain Vanilla Swap Test 5_5,ARC Plain Vanilla Swap ZS-10,Callable Ratchet Swap B,callablegcmswap_w,for implied060613,genswapforset2103,Swap 12026,TEMPLATE: Average Rate Swap,TEMPLATE: Callable Digital Range Accrual Swap,TEMPLATE: Callable General CM Swap,TEMPLATE: Callable Quanto Swap,TEMPLATE: Callable Ratchet Swap,TEMPLATE: Callable Snowball Swap,TEMPLATE: Callable Spread Range Accrual Swap,TEMPLATE: Callable Steepener Swap,TEMPLATE: Callable Steepener Type 2 Swap,TEMPLATE: Callable Steepener Type 3 Swap,TEMPLATE: TAR Steepener Swap,TEMPLATE: Target Redemption Swap}

MyInst2=GetInstrument["TEMPLATE: Callable Digital Range Accrual Swap"  ,{2012,10,22},IRTimeQualifier->"Intraday",IRTypeQualifier->"Mid",VolTimeQualifier->"Intraday",VolTypeQualifier->"Mid",FXTimeQualifier->"Intraday",FXTypeQualifier->"Mid"]
{Instrument->---Callable / Putable Digital Range Accrual Swap---,Instrument Type->Callable / Putable Digital Range Accrual Swap,Instrument Construction Info->SUCCESS,Maturity Date->{2018,10,10},Reverse Sign->False,Settlement Delay->3,ISIN->Null,Creator Role->Admin,Issuer->Null,Foreign Key Text Part 1->Null,Foreign Key Text Part 2->Null,Foreign Key Integer Part->Null,UnRisk FACTORY Type->GeneralSwap,Mode->Private,Credit Default Swap Curve->Null,Credit Curve->Null}

The instruments can then be valuated within the interactive session:

ValuateWS["TEMPLATE: Target Redemption Swap", {2012, 10, 22}, 
 IRTimeQualifier -> "Intraday", IRTypeQualifier -> "Mid", 
 VolTimeQualifier -> "Intraday", VolTypeQualifier -> "Mid", 
 FXTimeQualifier -> "Intraday", FXTypeQualifier -> "Mid", 
 ValuationParameters -> MySingleCurveParams]

{Dirty Value->-2.4209,Clean Value->-2.41966,Accrued Interest->-0.00124385,Option Value->0.,Settlement Date->{2012,10,25}}