Numerix said that CrossAsset (version 8.0) users can have immediate access to the improved pricing models, methods and risk management functionality to navigate the changing global markets and unprecedented volatility.
Numerix CrossAsset serves as the foundation for Numerix’s other products and services such as Numerix Portfolio, Numerix CrossAsset XL, Numerix CrossAsset SDK and the Numerix Bloomberg edition.
Numerix Portfolio, which is powered by Numerix CrossAsset, provides enhancements to Portfolio’s risk and scenario analysis capabilities, including “Mark to Scenario” simulations. In the latter approach trades can now be priced at a future date, based on user supplied future dated market data, automatically generating any necessary fixing data and returning pricing and risk quotations for the future valuation date in question.
This latest version of Numerix Portfolio implements a hybrid Credit-Equity-Interest Rate (CR-EQ-IR) valuation model that can be used for pricing such trades as equity-linked convertible notes and bonds, with arbitrary call structures, including soft calls. Other model enhancements include calibration of the LIBOR Market Models to CMS instruments (CMS swaps, CMS caps/floors, and CMS spread options).
Steven O’Hanlon, president and COO of Numerix, said: “Numerix CrossAsset is widely viewed as the market standard for valuing complex derivatives. The new Numerix CrossAsset brand and naming convention now more accurately reflects our ability to provide users with a unified platform for consistent valuations and risk management across all positions and asset classes.
“With the latest versions of Numerix CrossAsset and Numerix Portfolio we have successfully delivered the analytical tools and enhancements our customers need to operate in an ever evolving and volatile marketplace.”
