NumeriX continues its leadership role with first commercially available inflation derivatives module

New York, NY – August 1, 2007 – NumeriX, the independent leader in pricing and risk analytics, today released the first commercially available multi-factor model product for pricing inflation derivatives as part of NumeriX 6, its award winning analytics software. This extremely advanced new module provides users with an intuitive user interface, enhanced capability to create both real and nominal curves, accounts for seasonality adjustments and provides a wide choice of models and calibration options to price inflation linked products. Taking advantage of the newer features such as the Solutions Builder and the Structuring Wizard that are part of the NumeriX 6 upgraded user experience, inflation market participants such as marketers, structurers and traders can now create any arbitrary derivatives product linked to inflation using NumeriX 6.

Until now, most structurers and traders relied on a homegrown, patchwork of analytics to analyze both vanilla and complex inflation-linked products. The inflation market has grown rapidly and has expanded to cover indices in numerous regions (UK RPI, French CPI, Euro zone HCIP, US CPI, etc.), which has led to the increase in volume and complexity of the instruments traded. With the new NumeriX 6 Inflation Derivatives Module, the market now has access to a set of easy-to-use, intuitive and flexible analytics that will allow structurers and traders the ability to easily and quickly analyze any new structure no matter how complex the payoff.

The NumeriX Inflation Derivatives Module includes the following features:

  • Extended version of the Jarrow-Yildirim model – allows users to deploy any of the wide array of short models found in NumeriX 6 to drive the evolution of the real rate and nominal rate curves with a wide choice of calibration approaches.
  • Multi-factor cross currency capability – users can price and manage risk for both single and cross currency linked inflation transactions.
  • Upgraded user-defined instrument payoffs – enables the pricing of any vanilla and/or complex derivatives linked to inflation including custom-made structures.

“As the pricing and risk analytics leader covering all asset classes, we firmly believe that we must continue to be the pace setter in the industry. This latest capability marks the seventh asset class now fully covered by NumeriX, further differentiating the NumeriX family of products in the market place. We are in a lead position to help our clients take advantage of market opportunities in any asset class,” said President and COO of NumeriX, Steven R. O'Hanlon. “Here at NumeriX, we believe in pushing the envelope in terms of providing our customers with the best of breed, cutting-edge analytics.”

“This latest release delivers enormous flexibility to our customers to price any structured note linked to inflation, no matter how complex,” adds O’Hanlon. “We intend to maintain our track record that the market has come to expect from NumeriX.”

About NumeriX 
NumeriX is the award-winning, independent leader in pricing and risk analytics for fixed income, credit, foreign exchange, hybrids, cross currency, commodities, inflation rate and equity derivatives. NumeriX has a financial engineering and quantitative team composed largely of PhDs on the same scale as the very largest of financial institutions. More than 300 clients across 25 countries rely on NumeriX for speed and accuracy in valuing their structured products and derivatives. Trading and risk platform vendors leverage NumeriX analytics to gain a time-tomarket advantage by embedding the power of NumeriX into their systems. Founded in 1996, the company is privately held and has offices in New York, Toronto, London, Paris, Singapore Hong Kong and Tokyo.

For more information visit www.numerix.com or on Bloomberg at NUMX [GO].

Emily Ahearn
Director of Public Relations
Numerix
Phone 646 898 1294
Email: eahearn@numerix.com

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