Cross-Asset & Hybrids

Comprehensive Instrument Coverage

With an advanced library of single- and multi-factor models and an infinitely flexible architecture for defining bespoke deals, Numerix allows you to deploy a unified pricing and risk solution for all your OTC positions across all trade types. As a result of our cross-asset expertise, many of the world’s largest derivatives trading, risk and order management systems have partnered with Numerix to offer their clients enhanced coverage for complex deals.

Explore individual asset classes on the left for more information about specific models and types of instruments covered.

The Industry’s Only Independent Solution for Hybrids

Through our experience in cross-asset modeling, the Numerix quantitative research team has developed a unique hybrid model framework that produces accurate valuations for instruments consisting of multiple underlyings, such as structured notes and variable annuities. This process requires a market-consistent representation of correlation among underlyings, which we achieve through a joint calibration that incorporates multiple stochastic processes.

Constructing a Hybrid Model

1. The user selects the best model for each underlying
2. Each “component” model is individually calibrated before being added to the hybrid framework
3. The user specifies a correlation matrix that links each volatility factor
4. A joint calibration is applied when the hybrid model is built

The Numerix Hybrid Model Framework

Select desired models based on underlyings, and use them as building blocks for the hybrid model

Examples of Covered Instruments

• Convertible bonds
• Mixed basket deals containing underlyings from multiple asset classes
• Hybrid products of any complexity, with arbitrary payoff and any underlyings covered by the Numerix model library

Cross-Asset and Hybrid Solutions

• Numerix CrossAsset – Flexible structuring and analysis in Excel, C++, C# or Java
• Numerix LiquidAsset – Function-based pricing for liquid derivatives
• Numerix Portfolio – Portfolio trade capture and valuation for complex derivatives
• Numerix Market Risk – Sophisticated desk-level risk analytics for vanillas and exotics
• Numerix ALM Solutions – ESG, hedge production and GMXB portfolio valuations
• Valuation Services – Third-party valuation of your derivative portfolio
• Partner Systems – Numerix analytics pre-integrated with leading derivative platforms