Complete Support for SOFR and SONIA Curves Now Available in Numerix CrossAsset

New York, NY – February 13, 2019

Numerix, the leader in risk technology, today announces SOFR and SONIA curve support is now available via its award-winning Numerix CrossAsset Analytics, the industry’s most comprehensive library of models and methods for pricing any conceivable instrument using the most advanced calculations. Numerix CrossAsset’s cutting-edge multi-curve framework, which provides key features for flexible multi-curve, multi-currency support, is available to users in addition to the new curve functionality.

With Numerix CrossAsset, users have significant flexibility in building SOFR and SONIA curves. They can choose from different curve member instruments when building these curves, including CME SOFR/SONIA futures, ICE SOFR/SONIA futures, SOFR/SONIA OIS swaps, SOFR basis swaps, as well as bespoke SOFR/SONIA swaps. The global solving capabilities of the multi-curve framework allow users to build multiple, inter-dependent curves simultaneously. The new curve member instruments can be easily included, making the transition to alternative reference rates (ARR) seamless.

“As liquidity develops in the ARR instruments and as more derivative contracts reference ARRs, it is imperative consumers of our analytics have accurate ARR curves for calculating derivative prices and risk measures. If your pricing and risk analytics are inaccurate, hedges are often wrong, and the bottom line is impacted,” says Ping Sun, PhD, Senior Vice President, Financial Engineering, Numerix. “Built as a flexible and powerful analytic solution for evolving markets, CrossAsset ensures the broadest instrument coverage, the most accurate analytics, delivered lightning fast. Now with the flexibility to introduce new curve member instruments, market participants can better address today’s most pressing curve stripping challenges.”

Numerix CEO, Steve O’Hanlon comments, “As markets continue to change and evolve, clients demand new and better technology to help them stay competitive. While we’re excited to discover new solutions and deliver difference-making technology to the market, market structure changes, like the transition away from LIBOR, continue to alter the face of the financial services industry, thus we’re equally as focused on innovating our analytics stack. The markets are not waiting for the 2021 LIBOR decommission. We’re proud to be on the forefront of this important market change today.”

Sun concludes: “As the leader in ARR curve analytics it’s our priority to remain on the forefront of all jurisdictions beyond the USA and the UK. We’ll be staying on top of all developments across jurisdictions as they happen to ensure we’re first to market with all new ARR curves.”


About Numerix

Numerix is the leading provider of innovative capital markets technology solutions and real-time intelligence capabilities for trading and risk management. Committed to out-of-the box thinking, the exploration and adoption of latest technologies, Numerix is dedicated to driving a more open, fintech oriented, digital financial services market. Built upon a 20+ year analytical foundation of deep practical knowledge, experience and IT understanding, Numerix is uniquely positioned in the financial services ecosystem to help its users reimagine operations, modernize business processes and capture profitability. For more about Numerix:

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Emily Jean-Pierre
Vice President of Public Relations
P: +1 646 898 1294

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