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Numerix adds commodities to cross asset analytics platform

09 June 2009  |  1572 views  |  0 Source: Numerix

Numerix, the leading independent, cross-asset, analytics service provider for the structuring, pricing and valuation of derivatives and structured products, today launched Numerix 7.5 cross-asset analytics libraries and Excel add-ins including its new commodities module.

Numerix's new Commodities module allows for the pricing, valuation and risk analysis of commodity futures, swaps, and options, both single-name and basket trades. The Commodities module supports all the deal structuring capabilities of Numerix 7, thus allowing to price the entire range of structured deals, starting from simpler Asian options and commodity-linked principal protected notes and including most complex hybrid deals linked to multicurrency mixed baskets containing equities, FX rates and commodities. This new module is available alongside Numerix modules for Fixed Income (Interest Rate and Cross Currency), Inflation, Credit, Equity, Foreign Exchange, and Hybrids and is available in Numerix's for Excel based solutions and the Software Developers Kit.

Numerix has added support for modeling Foreign Exchange (FX) volatility smile in its Cross Currency models in this release as well. This allows for a more accurate pricing and risk management of long dated options with payoffs that depend on FX rates, such as Power Reverse Dual Currency Notes/Swaps. Modeling the FX volatility smile is done by enabling the Heston stochastic volatility model as an FX component in Cross Currency models. The FX Heston model is now also supported as an FX component in Numerix Universal Hybrid Framework, thus allowing users to account for FX volatility smile when pricing complex hybrid deals, such as FX Equity baskets, as well as multicurrency basket deals.

Numerix has also enhanced its risk-reporting performance with support for multithreading, taking advantage of the widespread availability of multi-core processors. The valuations in each report can be run on parallel threads with the results collected transparently in the report. The number of threads can be controlled by the user.

"We are constantly looking for new ways to make price discovery, valuation and the management of complex instruments across all our asset class coverage more comprehensive and robust," said Steven R. O'Hanlon, President and COO of Numerix. "The addition of our new commodities module enables institutions unparallel consistency and deal portability across all asset classes satisfying the valuation demands across an enterprise."

Numerix provides the industry's most sophisticated cross asset pricing platform for traders, quants and risk managers of derivatives and structured products. Numerix allows users to structure complex derivatives using a proprietary scripting language and a wide range of model and calibration options.

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