Numerix Deepens Breadth of Coverage and Further Enhances its Core Pricing Architecture
Numerix CrossAsset 10.1 Expands Model Coverage for Convertible Bonds, Commodities & Power Spread Options
Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management, today announced the latest instrument coverage and new features now available in Numerix CrossAsset, its flagship analytics framework for structuring, pricing and risk managing any derivative.
“With each new release of Numerix CrossAsset we’ve effectively raised the bar, extending model coverage and providing customers with the sophisticated instrument support they’ve come to expect from the industry’s foremost analytics company,” said Steven R. O’Hanlon, President and Chief Operating Officer at Numerix. “Numerix CrossAsset 10.1 successfully extends its already broad cross-asset class coverage helping to reduce both the complexity and time required to model derivatives and structured products, from plain vanillas to exotics.”
Tom Davis, Vice President of the Client Solutions Group at Numerix added: “As the derivatives industry copes with growing sets of new regulations, the demand for accountability and transparency have also increased. In response, Numerix’s quantitative research team and financial engineers have worked methodically to extend product coverage and develop new functionality for convertible bonds, commodities, multi-curve pricing and spread options; critical coverage areas where both the buy- and sell-side customers rely on Numerix to establish consistent pricing policies and risk controls throughout their entire enterprise.”
The following innovations were introduced in Numerix CrossAsset 10.1:
Convertible Bonds coverage was increased to provide price, statistics and risk measurements to support buy-side fixed income trading desks and middle offices. Trades can be quickly aggregated in a blotter view to understand the risks and most effective hedges for a collection of convertible bonds. This blotter view allows asset managers and hedge funds to quickly assess their strategies and determine the most effective hedges.
Commodities functionality was extended to provide hedgers and other market participants with risk management quantitative tools for positions on Commodities Calendar Spread Options (CSO), Forward Starting American Options and Vanilla Bullet Strip Options. The well-established Gabillon Model incorporates calibration to Calendar Spread Options as well as European options on Futures and Forwards, together with a new viewer of instantaneous correlations between underlying contracts.
Multi-Curve Pricing was enriched to further support Overnight Index Swaps (OIS) Discounting providing customers with the ability to price any Interest Rate (IR) and Cross-Currency derivative based on money market lending rates in the multi-curve framework. This release extends calibration capabilities where IR models can be calibrated to IR Caps and Floors and the Libor Market Model (LMM) can be calibrated to Constant Maturity Swap Instruments in the most sophisticated multi-curve framework possible.
Power Spread Option Modeling was newly introduced to price this challenging OTC derivatives instrument, where the payoff is proportional to the spread between two indices which both measure levels of domestic interest rate. The Numerix power spread model, where the stochastic variable is the spread itself, can be used by traders and risk managers to match the market price and to more accurately measure the financial risk associated with these instruments.
Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. Since its inception in 1996, over 700 clients and 75 partners across more than 25 countries have come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. With offices in New York, London, Paris, Frankfurt, Milan, Stockholm, Tokyo, Hong Kong, Singapore, Dubai, South Korea, India and Australia, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines. For more information please visit www.numerix.com.
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