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Numerix adds multi-curve modelling functionality to Portfolio

02 January 2013  |  1499 views  |  0 Source: Numerix

Numerix, the leading provider of cross-asset analytics for derivatives valuations and risk management, today announced new functionality for multi-curve modelling now available in Numerix's trade capture application - Portfolio, the powerful front and middle office application for pricing, managing risk and hedging of structured products.

"Already a dynamic solution with the cutting-edge tools needed to deliver consistent, transparent and repeatable pricing and valuation processes, Portfolio provides full transparency in deal definitions, comprehensive risk reporting and consistent Greeks for better hedge recommendations," said Steven R. O'Hanlon, President and Chief Operating Officer of Numerix. "Now enhanced with sophisticated functionality for multi-curve pricing, users are equipped with a powerful solution for generating more precise valuations and risk measurement of collateralized structured products."

In response to new collateralization rules imposed by regulation and the need to fund daily margin postings, the rapid adoption of multiple curves for both discounting and forecasting has forced a shift in the fundamentals of curve construction, model calibration and the valuation process. With Numerix Portfolio, clients can configure yield curves to be stripped with a separate discounting and projection curve enabling more accurate valuations for counterparty risk mitigation.

Denny Yu, Product Manager of Risk at Numerix continues: "As the demand for OIS discounting has grown and the complexity of curve construction has increased, the core principles of modeling and internal valuation practices have been challenged. By refining curve instruments and greatly improving reference data infrastructure within Portfolio, our clients not only have the ability to derive OIS curves and its use for the pricing of OTC derivatives, but are enabled to further support flexible deal-structuring, comprehensive trade capture and management." 

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