Numerix Portfolio

Numerix Portfolio
   
     

Numerix Portfolio provides institutions with a powerful and flexible front-office solution for pricing and managing even the most complex derivative portfolios.

Deployable as a single-user or enterprise solution, Numerix Portfolio enables a consistent and transparent process for capturing trades, calculating valuations and analyzing risk across multiple trade types. It is available as a cross-asset solution or as a single-asset-class module, with support for a wide range of fixed-income, credit, equity and FX deals, including over 40 market-tested models and accelerated calculation methods.
 

 
THE SCRATCHPAD
Numerix Portfolio provides an intuitive interface designed to help front-office professionals manage complex portfolios

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How Numerix Portfolio Can Benefit You

  • Advanced deal-structuring capabilities, including custom payoff scripts
  • Consistent risk calculations for both hedges and underlying assets
  • Grid computing capability and other methods for accelerating calculations
  • Full transparency in deal definitions and valuation
  • Reduces development time and cost for integrating new trade types


Key Features

Highly Efficient, Intuitive Workflow
Easily monitor and price your portfolio, set up new trades, import market data and generate reports — all in a familiar Windows interface.

Comprehensive Risk Reporting
An extensive range of reporting capabilities, including MTM, P&L and risk metrics, including all the Greeks, VaR, scenario analysis, model validation/convergence and custom risk reports. Supports jump-to-default, instrument-quote and zero-rate shifts for calculating market risk.

Fast Deployment of New Deal Types
Reduces the time-to-market for new deals to hours, with rapid trade set up and accelerated computations.

A Scalable, Future-Proof Technology Platform
Numerix Portfolio is designed to adapt as derivatives trends evolve and your business needs grow, with infinite structuring possibilities and a distributed architecture that can easily scale to handle various deployment requirements — from single-user to enterprise-wide rollouts.

Database and Grid Computing Functionality
High-performance calculations using portfolio (database) pricing and grid computing functionality, and a user interface designed for trade capture.

 

  TRADE EDITOR:
Customize trade details, calculate NPV and run pricing scenarios

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  MARKET DATA:
Advanced data management capabilities

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  REPORTING:
Generate a wide range of reports for compliance, accounting and risk management for the entire portfolio or a subgroup of trades

(click image to view expanded list of reports)
 
 
  Sample MTM report

(click image to view full report)
 

Supported Instruments
(not an exhaustive list)

  • Vanilla Rates: Swaps/Swaptions, Caps/Floors, Forward Rate Agreements, Amortizing Swaps
     
  • Structured Fixed Income: Fixed Coupon Swaps/Bonds, Basis Swaps, Power Reverse Dual Currency Notes, CMS-Linked Swaps/Bonds, Range Accruals, Zero-Coupon Swaps, Callable Zero-Coupon Bonds/Swaps, CC Spreads, CC Chooser TARNs, Inverse Floaters, FX Digital Floaters, FX-Linked TARNs/Inverse Floaters, Rainbow Swaps/Bonds
     
  • Credit: CDS, CDS Options, CDS Indices, CDS Index Options, Single-tranche CDOs, CDO Tranche Options, NTD
     
  • Equity: American Options, European Index Options, Compound Index Options, Dividend Swaps, Variance Swap, Index Futures, Performance-Linked Swaps/Notes, Custom Equity-Linked Notes/Swaps, Hybrid Index Corridor Option
     
  • Equity Baskets: Altiplano, Annapurna, Everest, Himalaya, Basket Notes with Knock-Out, Custom Equity Basket-Linked Notes/Swaps, Best-of/Worst-of Basket Options
     
  • FX: Swaps/Forwards, Non-deliverable Forwards/Options, European Options (Fade-In/Fade-Out, Barrier), Bermudan Fade-In Options, Accelerators, FX TARNs, Digital Range Accrual with Knock-Out, Custom FX- and FX-Basket-Linked Notes/Swaps
     
  • Inflation: Custom Inflation-Linked Notes/Swaps
     
  • Exchange Traded: Government Bond Futures, Short Rate Futures
     
  • Custom Derivatives: Callable Path-Dependent Products, Structured Products