Numerix CrossAsset

Numerix CrossAsset is a highly flexible and fully transparent framework for structuring any type of financial instrument, from vanillas and “semi-exotics” to bespoke derivatives and structured products, allowing users to calculate prices and Greeks and perform scenario analysis using any data set.

Available on the desktop through Excel, or through software libraries (C#/ C++/Java), Numerix CrossAsset serves as the foundation for all Numerix solutions, delivering industry-standard pricing and risk analytics to over 700 financial institutions across more than 25 countries.

Numerix CrossAsset XL

A flexible Excel-based platform for structuring, pricing and analyzing any derivative or structured product

Rapid prototyping and validation
Pre-trade price discovery and analysis
Stress testing
Revaluation (MTM, P&L, Greeks)
Auditable archiving of complex trades
Works with any data type, with built-in market data links (see Numerix Bloomberg Edition)

Numerix CrossAsset SDK

APIs in C#, C++ and Java for embedding Numerix analytics in your proprietary or third-party systems

Extend deal coverage across asset classes (including exotics and structured products) within your various production platforms
Employ consistent valuation methods across the enterprise
Integrate a wide range of market-tested models and methods
Enable advanced risk analysis and reporting

Features

Broad instrument support, available as a complete cross-asset solution or modules for fixed income, equity, FX, credit, commodities, or inflation
Comprehensive library of single- and multi-factor models and high-performance numerical methods
Hundreds of templates and examples, and a "Structuring Wizard" for fast setup of new deal types
Simple payoff scripting language for defining bespoke instruments
A sophisticated hybrid model framework for representing market-consistent correlation between risk factors
Full valuations and Greeks (even for structured products!)
Grid-computing enabled for parallel Excel computations, with built-in support for Windows HPC Server 2008
Efficient memory usage
Support for any type of market data

XL + SDK = Prototyping and Production

Numerix clients often use the Excel and SDK interfaces in tandem — a powerful pairing that provides valuable workflow efficiencies for complex deals.

How? Think of Excel as your development platform, and the SDK as your production platform (integrated into your production system). Since both use the same underlying analytics, you can easily structure and test a new deal type in Excel, and then implement that trade using essentially identical function calls within the SDK's programming interface.

It also works the other way around for troubleshooting. For example, you can export a trade from your Numerix-powered system using Numerix XML, which captures all definitions, assumptions and market data. Then, "rehydrate" the XML file in Numerix CrossAsset XL, where you can view every detail in the pricing process to identify the source of valuation discrepancies.

Why Choose Between Speed and Flexibility?

Derivatives pricing libraries generally fit into one of two categories: the black box pricers (fast and simple, but locked down and opaque) or the sand box (flexible and transparent but slow and error-prone). At Numerix, we take a different approach that gives you the best of both worlds.

Numerix CrossAsset is optimized to provide ultra-fast pricing and risk calculations for OTC derivatives, while also giving you as much control as you want over the deal definition and valuation inputs at various levels of abstraction.

For example, say you want to set up a Callable CMS Swap in Excel. The easy-to-use Structuring Wizard helps you quickly build a trade based on predesigned components that you specify, such as events, indices, model and payoff script. With the Solution Builder, you can select from a variety of model types and calibrations options to use with each trade. You can also customize the deal further by viewing and editing the inputs and dependencies for any component (or “object”). This way, you have full transparency and flexibility within a high-performance framework. more: Numerix technology

Deal Portability and Archiving with Numerix XML

Any deal in Numerix CrossAsset can be serialized and exported into a self-contained Numerix XML files that captures all valuation inputs, including terms and conditions, market data, model choice and calibration assumptions, calendars and more. Once converted to XML, the deal can be imported into other Numerix solutions (including Numerix partner systems) or “rehydrated” in Excel at any future date. This allows users to audit and reprice the deal using historical data — all without the aid of IT or the need to reconstruct pricing environments.