Numerix, the leading independent provider of award winning cross-asset analytics for the structuring, valuation and risk analysis of derivatives and structured products, today announced the latest versions of its pricing and risk analytics software - Numerix CrossAsset and Numerix Portfolio.
Numerix CrossAsset (version 8.0) users have immediate access to the enhanced pricing models, methods and risk management functionality they need to navigate in today's fast changing global markets and unprecedented volatility. In addition to advancements in modeling, Numerix has also introduced refined protocol enhancements for the market standard pricing of simpler more fungible instruments pertaining to the global standardization of derivatives pricing. Other newly added conventions include those that can be used in relation to regional FX markets as well as new cash dividend conventions in Equity options.
Some specific enhancements to Numerix CrossAsset include:
• Bates stochastic volatility model with jumps for Equity and FX asset classes. This new model supports a range of pricing methods. The Bates model builds on the Heston stochastic volatility model and adds a jump process, which allows users to reproduce volatility smile for very short dated options and use those options as calibration instruments. This is the standard model for pricing Cliquet options which have frequent resets. The Bates model is also supported as an equity component in the Numerix hybrid framework.
• New and improved pricing methods and new cash dividend conventions for American options. One new method is the Decoupled Volatility method which distinguishes between the volatilities of the underlying and options to eliminate arbitrage when pricing several options with different strike prices simultaneously. The method can also be used to calculate European implied volatilities from the market prices of American options.
• New enhancements in support of trading and risk management for "Big Bang" Standard North American CDS contracts (SNAC CDS). New enhancements include conversion of Conventional Spread quotes to upfront payments for investment grade CDS and the ability to import the SNAC LIBOR curve needed for these calculations.
• Commodities data import in the Numerix Bloomberg Edition - which now fully supports the Numerix Commodities module as well as the Numerix hybrid frame work for commodity hybrids.
Numerix CrossAsset also serves as the foundation for Numerix's other products and services: Numerix Portfolio, Numerix CrossAsset XL, Numerix CrossAsset SDK and the Numerix Bloomberg Edition, thereby seamlessly providing additional enhancements as they become available.
Coinciding with the release of Numerix CrossAsset, Numerix has made available the latest version of Numerix Portfolio, the firm's powerful front-office solution for pricing and managing even the most complex derivative portfolios. This version of 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.
On the model side, given clients increasing need for hybrid models, this 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).
"Numerix CrossAsset is widely viewed as the market standard for valuing complex derivatives," said Steven R. O'Hanlon, President and COO of Numerix. "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."
All Numerix functions are available via Microsoft ® Excel as an add-in, or can be integrated into proprietary or third-party system using Numerix CrossAsset SDK in C#, C++, or Java.