- PRICING & VALUATION
- Asset Liability Management
- ADVISORY SERVICES
Numerix Portfolio is a powerful front-office application that provides a consistent valuation framework for pricing and hedging complex OTC portfolios. Using flexible deal-structuring tools and a library of over 40 market-tested models, users can generate intra-day MTM, P&L and risk reports for a wide range of fixed income, credit, equity, FX and inflation derivatives, including exotics and structured products.
Whether you need just a single asset class or a complete cross-asset solution, Numerix Portfolio can be easily scaled to meet your company’s needs, from a stand-alone installation to grid-enabled enterprise deployments.
- Uniform pricing and risk for all your OTC positions
- Advanced structuring capabilities for representing complex instruments, including custom payoff scripts
- Consistent Greeks 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
Choose from an extensive list of reports, which can be run on the entire portfolio or a customizable subset of trades. Drill down to analyze report details — for example, on a Monte Carlo VaR report, you can view individual exposure calculations for each scenario and path.
- All Greeks
- VaR (Historical, Stressed, Monte Carlo)
- VaR analysis (Incremental, Marginal, Component)
- Expected Tail Loss / Expected Shortfall
- Volatility (variance/standard deviation)
- Counterparty Credit Exposure, including Potential Future Exposure (PFE) and Credit Valuation Adjustment (CVA)
- Custom risk reports
Cloud-enabled for Windows Azure and HPC Server
Numerix Portfolio enables high-performance calculations using database pricing, cashflow caching and grid-computing capabilities. Through our global partnership with Microsoft we have enabled Numerix Portfolio for Windows Azure and Windows HPC Server 2008, so large-scale computations can be processed in a fraction of the time Learn more
HPC for Numerix Portfolio
Use Numerix Portfolio's integrated cloud-enabled capabilities to run valuations and risk analytics for large portfolios quickly and easily.
Select one of the hundreds of customizable trade templates for rapid structuring, pricing and analysis of new deal types. A familiar Windows interface makes it easy to capture trades, import market data, access multiple market and pricing environments, monitor and revalue your portfolio and generate batch reports.
A Broad Selection of Models and Instruments
Numerix offers the industry’s most comprehensive cross-asset library of proven models and methods, plus a wide range of calibration options for generating market-consistent valuations. Learn more about Numerix models
Typical trade types covered in Numerix Portfolio include (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