Accelerate Your LIBOR Transition
Cutting-Edge Multi-Curve Framework Built for
Navigating the Shift to Alternative Reference Rates

Numerix CrossAsset’s cutting-edge multi-curve framework empowers institutions to accelerate their LIBOR transition and dynamically respond to the impacts of the evolving alternative reference rate (ARR) landscape.

CrossAsset delivers market-ready ARR analytics that enable firms to confidently price and calculate risk for any OTC derivative or structured product with uncompromising accuracy and market-consistent valuations.

100 percent coverage of SOFR & SONIA Curves - Complete coverage of SOFR and SONIA curves with the flexibility to choose between relevant curve member instruments or build bespoke ones. Plus extensibility for future ARRs. | Advanced Curve Features - Accurately represent market realities and capture curve features including turn effects, meeting dates, and flexible interpolation | Flexible Framework - Advanced architecture lets users choose between bootstrapping and multi-curve stripping, rapidly introduce new ARRs, and easily add new member instruments and curve features. | Global Solving - Enables sophisticated solving of multiple interrelated curves simulatneously across multiple currencies for maximum accuracy. | Market- Leading Analytics - Our award winning library of models and methods for derivative pricing also features a powerful multi-curve framework allowing for separation of forward and discounting curves.


Evolving Markets Demand A Modern Framework.

With full coverage for SOFR and SONIA curves already in place, Numerix is committed to putting our users at the forefront of ARR analytics.

CrossAsset Multi-Curve Framework: Multi-curve, Multi-Currency, Global Solving, Extrapolation, Turn Effects, Spread Curves, Central Bank Meeting Dates, Interpolation, Hybrid Model, Flexible Architecture, Advanced Calculations, Optimized for Performance, Comprehensive Model Library

Stay Ahead of the Curve
Complete SOFR & SONIA Coverage
The Numerix Difference

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, CrossAsset can quickly and easily integrate cutting-edge ARR curves into your tech stack.

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

  Support for curves across different currencies

  Simultaneously solve for multiple interrelated curve

  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

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

INTERPOLATION   Choose different interpolation methods at different time horizons

  Extend curves beyond the longest tenor market data


100% SOFR & SONIA Coverage
Flexible. Complete. Market-Ready.

CrossAsset provides users with significant flexibility in building SOFR and SONIA curves. Choose from curve member instruments including:

  • CME and ICE SOFR/SONIA futures of all reference intervals (e.g. 1M & 3M for SOFR/SONIA, quarterly IMM & MPC announcement dates for SONIA)
  • SOFR/SONIA OIS swaps
  • SOFR basis swaps (SOFR vs. Fed Funds or LIBOR)
  • Bespoke OTC SOFR/SONIA swaps

And as other jurisdictions develop their ARR markets, CrossAsset’s flexible curve framework can be used to construct curves in those markets. So you can adapt quickly to ARR developments around the globe.



The Numerix Difference
The Recognized Leader in Pricing & Risk Analytics

Choosing Numerix for ARR 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
Navigating the LIBOR Transition with CrossAsset | Fact Sheet
CrossAsset - Leading the Industry in Advanced Models and Methods
CrossAsset SDK: Quick Integration Into Any Proprietary or Third-Party Systems
CrossAsset XL: Rapidly Structure, Price and Manage Risk for Any Derivative

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