Numerix, the leading provider of cross-asset analytics for derivatives valuations and risk management, released in its latest version of Numerix CrossAsset new structuring capabilities for OTC derivatives and structured products.
Numerix PaymentStreams provides a user-friendly approach to structuring derivatives, giving all of the power of Numerix quantitative capabilities to finance professionals, who may not be familiar with payoff scripting.
Many complexities can arise in over-the-counter derivatives, such as introductory periods, a changing payoff formula, multiple termination conditions, or contractual changes in terms (such as day count basis). PaymentStreams provides a new structuring approach, which can account for these types of complexities in a very natural way, closely resembling a term sheet.
"Given Numerix full coverage of OTC derivatives trade types from vanilla to exotic, we continually look for new and innovative ways to enhance our user's time and experience with our technology," said Steven R. O'Hanlon, President and COO of Numerix. "For vanilla instruments, we introduced a suite of analytic pricers for commonly traded deal types, for the most exotic, bespoke transactions quant developers can utilize our scripting language. Our PaymentStreams initiative captures 80% of the derivative instruments in the market in a very intuitive framework."
In addition to enhancements to facilitate fast deal definition, Numerix also introduced 'User Defined Objects' to accelerate deal and data integration into proprietary and partner trading and risk systems. Within the CrossAsset infrastructure, users can now aggregate multiple objects to create a master 'deal' or 'data' object. This 'pairing' enables deal replication, deal portability and rapid production-quality deployment for bespoke deal types within a trading system environment without a single line of new code being written. Furthermore, this innovation allows the user to develop multi-asset blotters with aggregate risk measures, and also enables derivative lifecycle support. Using CrossAsset's automatic code generation or XML based integration allows for rapid integration into trading systems as well as user interface generation for any derivative instrument.
Numerix CrossAsset, Version 9.6, is now able to provide users with enhanced capabilities to address the growing demand for hedging dividends and the increasing need for commodity futures and forwards:
Dividend Futures: The unprecedented levels of volatility and current, extremely low yields in major G7 currencies (US Dollar, Euro, Suisse Franc and Japanese Yen), has created an environment in which investors are looking for higher returns on investments. Value stocks paying dividends have been attracting longer term investors' funds. Implied dividends have decreased, which could be explained by the fact that companies are stacking cash (for regulatory or business reasons). These two drivers have increased the significance of hedging dividends.
Commodity Forwards: In addition, volatility experienced in various commodity markets has been driving more players to hedge using linear and non-linear hedging tools. Commodity futures enable corporations to hedge the rate of which raw materials are purchased, energy is consumed, etc. In a similar way, mining companies, oil producers or ship owners have been hedging their receivables using commodity forwards, as well as other (non-linear) tools.