Numerix, which provides cross-asset analytics for derivatives valuations and risk management, has added new instruments and features to its CrossAsset analytics framework for structuring, pricing and risk managing derivatives.
The update, Numerix CrossAsset 10.1, increases coverage of convertible bonds to provide price, statistics and risk measurements to support buy-side fixed income trading desks and middle offices; extended commodities functionality providing market participants with risk management and quantitative tools for positions on commodities calendar spread options, forward starting American options and vanilla bullet strip options; expanded multi-curve pricing capabilities with the ability to price interest rate and cross-currency derivatives based on money market lending rates; and power spread option modeling for this newly introduced service, where the payoff is proportional to the spread between two indices which measure levels of domestic interest rate.
Numerix CrossAsset 10.1 successfully extends its already broad cross-asset class coverage helping to reduce both the complexity and time required to model derivatives and structured products, from plain vanillas to exotics, says Steven R. OHanlon, President and Chief Operating Officer at Numerix.
Tom Davis, vice president of the Client Solutions Group at Numerix, adds: As the derivatives industry copes with growing sets of new regulations, the demand for accountability and transparency have also increased. In response, Numerixs quantitative research team and financial engineers have worked methodically to extend product coverage and develop new functionality for convertible bonds, commodities, multi-curve pricing and spread options; critical coverage areas where both the buy- and sell-side customers rely on Numerix to establish consistent pricing policies and risk controls throughout their entire enterprise.
(CG)