Fixed Income

Structure and Price Any Type of Fixed-Income Derivative

Numerix provides comprehensive coverage for any conceivable type of interest-rate or cross-currency instrument through our infinitely flexible deal-structuring architecture, payoff scripting language and a comprehensive library of market-standard fixed-income models and proprietary numerical methods.

Below is a sampling of deal templates that users can customize as needed, as well as models and methods available with Numerix:

Customizable Instrument Templates*

Vanilla Swap/Swaption
Cross-Currency Basis Swap/Swaption
CMS Swap/Swaption
Quanto Index Swap/Swaption
Differential Swap/Swaption
Knock-Out Swap/Swaption
Index Amortizing Swap/Swaption
Quanto/Chooser Auto/Flexi/Limit Cap/Floor
Digital/Callable/Quanto Floor/Cap on Libor/CMS
Callable/Putable Bond
Lookback Option
Callable Flip–Flop
Dual-Currency CMS Spread Cap/Floor
Callable CMS Spread Note/Swap Quanto
Callable/Quanto Reverse/Inverse Floater
Quanto CMS Inverse Floater Note/Swap
Callable Range Accrual Note/Swap with Step-Up coupons/ranges
Callable Snowball/Snowbear/Snowblade/Thunderball
Callable TARN Note/Swap
FX TARN Note/Swap
Power Reverse Dual-Currency (PRDC) Note/Swap

Models and Methods*

Deterministic (Zero Volatility) Model
Black Model
Hull-White (Single/Multi-Factor) Model
Black-Karasinski (BK) Model
Shifted BK
BK 2-Factor Model with Skew
LIBOR Market Model (LMM)
Shifted LMM
Stochastic Volatility LMM
N-currency LMM
Multi-Currency Models with HW/BK models for IR components and BS/Heston models for FX
Longstaff-Schwartz Method
Analytic/Lattice/PDE/Trinomial Trees/Monte Carlo Simulation

* Not an exhaustive list

Fixed Income Solutions from Numerix

Numerix CrossAsset (Fixed Income Module)
Flexible pricing and risk analytics, available in Excel or APIs in C#, C++ or Java
Numerix Bloomberg Edition (Fixed Income Module)
Daily MTM in Excel and BPS with turnkey Bloomberg data
Numerix LiquidAsset
Function-based pricing for liquid derivatives
Numerix Portfolio (Fixed Income Module)
Trade capture and risk reporting for interest-rate and cross-currency portfolios
Rates Trader / Bond Trader
Easily capture, price and analyze a book of IR derivatives in Excel
Valuation Services
Fully documented independent valuations for complex OTC portfolios
Numerix Partner Solutions
Leading trading and risk systems integrated with Numerix analytics