overview

Accelerate Your LIBOR Transition

Numerix CrossAsset’s cutting-edge multi-curve framework empowers institutions to accelerate their LIBOR transition and ensure they have the analytics necessary to handle legacy LIBOR contracts as well as issue new risk-free rate (RFR) products.

CrossAsset delivers market-ready RFR analytics that enable firms to confidently price and manage the risk of any OTC derivative or structured product including RFR non-linear derivatives with uncompromising accuracy and market-consistent valuations.

Whether you are valuing a SOFR swap or SONIA quarterly futures, our analytics library provides comprehensive coverage for both linear and non-linear RFR instruments as well as full support for both legacy contracts and new contracts.

Comprehensive RFR Coverage
Comprehensive coverage of both linear and non-linear RFR instruments which also includes RFR curves and volatility surfaces construction.
Advanced Curve Features
Accurately represent market realities and capture curve features, including turn effects, meeting dates, and interpolations.
Flexible Framework
Advanced architecture lets users choose between bootstrapping and multi-curve stripping, as well as rapidly introduce new RFR instruments and curve features.
Global Solving
Sophisticated solving and construction of multiple interrelated curves simultaneously across multiple currencies and project cashflows for better understanding risk before and after the transition. 
Market-leading Analytics
Our award-winning library of models and methods for derivatives pricing also features a powerful multi-curve framework allowing for separation of forward and discounting curves. 
Coverage for Both Legacy and New Contracts
Flexible curve framework supports pricing with both the LIBOR and LIBOR fallback curves on legacy contracts, and RFR curves on new contracts for both discounting and projection. 
capabilities

Comprehensive Coverage for Legacy LIBOR Contracts and the Latest RFR Instruments

Numerix CrossAsset puts our users at the forefront of the LIBOR transition. Its sophisticated architecture and consistent, unified framework are able to help ease your organization’s transition to RFR no matter where your organization is in its LIBOR transition process.

 


Comprehensive RFR Coverage
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Seamless Support for Transition to RFR
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The Numerix Difference
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CrossAsset’s multi-curve framework delivers industry-leading speed to market, flexibility and extensibility. All while avoiding common hang-ups presented by rigid, hard-coded frameworks.

Whether at the heart of your Numerix solutions or integrated into other pricing and risk systems, users can rapidly integrate our RFR analytics into your tech stack and help you trade and risk manage the latest RFR instruments.

Benefits & Features

Designed to Keep You Ahead of the Curve
Numerix CrossAsset’s sophisticated architecture and consistent, unified framework deliver a robust collection of in-demand and cutting-edge features.

MULTI-CURVE   Generalized and flexible framework for stripping two or more curves simultaneously

MULTI-CURRENCY
 
  Support for curves across different currencies

GLOBAL SOLVING
 
  Simultaneously solve for multiple interrelated curve

CENTRAL BANK
MEETING DATES
  Accurately represent interest rate jumps due to central bank rate changes

TURN EFFECTS   Ensure curves incorporate liquidity issues present at the end of the month, quarter or year

SPREAD CURVES   Curves can be defined via spreads with respect to another curve

INTERPOLATION   Choose different interpolation methods at different time horizons

EXTRAPOLATION
 
  Extend curves beyond the longest tenor market data
LIBOR FALLBACK CURVE   Compatible with ISDA IBOR Fallbacks supplement and Protocol

Comprehensive RFR Coverage

Flexible. Complete. Market-Ready.

CrossAsset provides users with significant flexibility in building RFR curves and makes it easy to introduce new RFR instruments to your system. As other jurisdictions develop their RFR markets and more products become available, CrossAsset’s flexible curve framework can help you quickly adapt and construct curves in those markets. CrossAsset provides users with significant flexibility in building SOFR and SONIA curves.

Choose from curve member instruments including:

Linear products

  • Overnight rate futures (SOFR, SONIA)
  • OIS swaps (SOFR, SONIA, €STR, TONA and SARON)
  • Single-currency basis swaps (SOFR vs. USD LIBOR, €STR vs. EURIBOR, etc.)
  • Cross-currency basis swaps (SOFR vs. SONIA, SOFR vs. €STR, SOFR vs. EURIBOR, etc.)

Non-linear products

  • Overnight rate swaptions (SOFR, SONIA, TONA, etc.)
  • Overnight rate caps/floors (SOFR, SONIA, etc.)
  • Callable swaps and other exotic payoffs

Seamless Support for Transition to RFR

CrossAsset provides full support for your transition from LIBOR to RFR — from handling legacy contracts to the pricing and risk management of new RFR products and everything in between.

Legacy contracts

  • Build LIBOR fallback curves for legacy contracts adhering to the ISDA IBOR Fallbacks Protocol after the permanent discontinuation of LIBOR
  • Convert legacy LIBOR contracts to reference a risk-free rate with a spread adjustment
  • Produce accurate cash flow projections using the ISDA IBOR Fallback curve

Transition phase

  • LIBOR-to-LIBOR fallback transition curve to support pricing simultaneously with both the LIBOR curve and the LIBOR fallback curve during the transition period
  • Accurately capture the valuation and pricing of existing LIBOR contracts that saddle both sides of the LIBOR transition
  • Leverage LIBOR-to-LIBOR fallback transition curve to generate pre-cessation scenarios to better understand and prepare for the LIBOR transition

New contract issuance

  • Value and price complex and emerging RFR products such as SOFR-linked notes and non-linear derivatives
  • Respond quickly to new RFR conventions to empower users to issue, trade, hedge and manage the risk on new RFR instruments
  • Flexible kernel framework to accommodate and capture the valuation of exotic RFR instruments and products with non-standard coupon features

The Numerix Difference

The Recognized Leader in Pricing & Risk Analytics
Choosing Numerix for RFR analytics means partnering with the leader in derivative pricing, from our deep industry experience and widely recognized quantitative leadership to our award winning solutions and cutting-edge technology.

  • Most comprehensive collection of pricing models and methods in the market, including an advanced hybrid model to price instruments with multiple underlyings
  • True cross asset coverage with the greatest depth and breadth in OTC derivatives and structured products
  • Infinitely flexible deal-structuring architecture for the rapid pricing of any instrument, from vanillas to the most complex exotics
  • Extensive risk analytics including Greeks/sensitivities, all XVAs, PFE and other counterparty risk exposures, VaR/Expected Shortfall, scenario analysis, and stress testing
  • Fast deployment and implementation, with analytics available in Excel, Python, Java, C# or C++
Additional Resources
Product Collateral
Navigate the LIBOR Transition with CrossAsset | Fact Sheet
Product
CrossAsset - Leading the Industry in Advanced Models and Methods
Product
CrossAsset SDK: Quick Integration Into Any Proprietary or Third-Party Systems
Product
CrossAsset XL: Rapidly Structure, Price and Manage Risk for Any Derivative

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