Model Library

Comprehensive CrossAsset Library

The Numerix CrossAsset library offers the industry’s most comprehensive collection of models and methods, allowing institutions to price any conceivable instrument using the most advanced calculations, in addition to a wide range of calibration options for generating market-consistent valuations. With an infinitely flexible architecture for defining bespoke deals—and the ability to integrate your own internal models—Numerix allows you to deploy a unified pricing and risk solution for all your derivative and fixed income positions across all trade types.

Optimized Numerical Methods

Pricing derivatives often involves intense computations. Our quantitative analysts have developed methods that have been optimized for speed and accuracy, enabling rapid calculations for even the most complex instruments.

The Industry’s Only Independent Solution for Hybrids

Numerix hybrid model framework produces accurate valuations for instruments consisting of multiple underlyings through joint calibration, and incorporating multiple stochastic processes. Learn more about hybrids

Using Your Proprietary Models with Numerix Analytics

Use your custom models side-by-side with Numerix models by integrating them with Numerix External Model API. This valuable feature allows support for one-off calculations tailored to specific instruments within a unified analytics platform.

Models by Asset Class

Not a comprehensive list

Commodities

Gabillon model
Black model
Schwartz 1F model with mean-reverting dynamics
Gibson-Schwartz 2F model with stochastic convenience yield
Heston stochastic volatility model
Estimating seasonality coefficients from historical data
Support of rolling underlying future contracts
View sample instruments

Credit

Gaussian copula with optional correlated/stochastic recovery
Student-T copula
NIG copula
Calibration of base correlations for various market conditions
Dynamic credit models (top down)
Dynamic credit model for pricing/hedging heterogeneous CDOs (bottom up)
Advanced-factor models of credit baskets
Multi-period simulations (Hull-White)
Twisted Monte Carlo simulations
Direct grid convolution
Fourier/Laplace transform
Asymptotic Saddlepoint methods
Credit spread VaR
Default VaR and Expected Shortfall for credit portfolios
Cox-Ingersoll-Ross Model
View sample instruments

Equity

Anderson-Buffum model for liquid convertible bonds
Black-Scholes model
Dupire local volatility model, also with advanced fit of local volatility surface
Heston stochastic volatility model with constant and time-dependent coefficients
Bates stochastic volatility jump-diffusion model
Local stochastic volatility model
SABR model
Quanto equity model
Multi-factor BS/Dupire/Heston/Bates basket model
Dupire (1F) and Heston (2F) models for equity index exotics
Continuous or discrete dividends
Vanna-Volga pricing method
Fast low-dimensional PDE methods for Asian and Lookback options
Analytic/PDE/tree/lattice/Monte Carlo
View sample instruments

Fixed Income

Deterministic (zero volatility) model
Black model
Hull-White (single/multi-factor)
Black-Karasinski (one/two-factor)
Shifted BK
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
View sample instruments

Foreign Exchange

Deterministic model
Black-Scholes/Garman-Kolhagen model
Dupire local volatility model, also with advanced fit of local volatility surface
Heston stochastic volatility model with constant and time-dependent coefficients
Bates stochastic volatility jump-diffusion model
Local stochastic volatility model
SABR model
Multi-factor BS/Dupire/Heston/Bates basket model
Arbitrage-free volatility smoothing
Continuity corrections for FX barriers
Vanna-Volga pricing method
Fast low-dimensional PDE methods for Asian and Lookback options
Analytic/PDE/tree/lattice/Monte Carlo
View sample instruments

Inflation

Inflation Market Model (IMM)
Heston IMM
SABR IMM
Jarrow-Yildirim model (generalized/cross-currency)
Stripping of real rate curve from zero-coupon inflation-indexed swaps
Support for CPI Index with seasonality corrections
Analytic/generic tree/Monte Carlo
View sample instruments

Hybrids

Generic hybrid model framework using component models for interest rates, inflation, credit, equity, FX and commodities, with deterministic or stochastic components
Correlations between different asset classes
Joint calibration of all components
Generic tree, forward and backward Monte Carlo
View sample instruments