NumeriX, the analytic provider for derivatives and structured products, introduces new NumeriX 7.2 functionality, the engine behind NumeriX applications. The new tool includes many enhanced capabilities for all asset classes, as well as new models and functions for credit, inflation and hybrid derivative products.
The new NumeriX 7.2 functionality is available via NumeriX 7 in Excel and NumeriX Bloomberg Edition, the Excel-based version integrated with Bloomberg pricing data via the Bloomberg Professional Service; NumeriX Portfolio, its trade capture and risk system; and the NumeriX partner network of the largest trading, risk and valuation systems.
NumeriX is forward movement to analytic straight through processing enabling financial institutions to utilize consistent analytics for pricing valuation and risk management throughout the lifecycle of a trade from the front to back office. The wide library of market-standard models and calibration options allow organizations to describe and price any derivative or structured product.
New Functionality within NumeriX 7.2 possesses following zests: New pricing models for equity and foreign exchange continuous barrier options; support for several new models such as Equity Quanto and Heston, Cross-Currency LMM and FX European Option Analytics valuation methods, and features a number of performance upgrades; improvements for pricing synthetic CDOs & CLOs including new dynamic credit basket loss models for pricing forward-starting CDOs and options on CDO tranches and support for calibration weights in the Heston model with time-dependent coefficients; arbitrage-free smoothing of equity and foreign exchange volatility surfaces, which allows traders to price deals and products that were previously very difficult to price due to irregular and inconsistent market data; new support for pricing Loan Credit Default Swaps (LCDS), index swaps and tranches.
As firms implement new pricing and risk policies, the use of consistent analytics is integral, as processes need to be uniform and repeatable from pre-trade to audit, says Stephen R. OHanlon, president and COO, NumeriX. The firms who take a hard look and re-evaluate their practices will be best positioned to weather the current volatility and prosper once the markets are healthier.
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