Numerix, the leader in risk technology, today announces the release of CrossAsset 17.0, the latest version of its pricing and risk analytics software.
This second major CrossAsset release in 2020 includes strategic features addressing clients’ modelling, pricing, and risk management needs, including items to help users navigate the LIBOR transition.
Numerix’s CrossAsset analytics library offers the industry’s most comprehensive collection of models and methods, allowing financial services institutions to price any conceivable derivatives instrument. Using the most advanced pricing algorithms, in addition to a wide range of calibration options for generating market-consistent valuations, the CrossAsset library provides key features for flexible multi-curve, multi-currency support, including extensive functionality to address curve construction for new alternative reference rates.
Key highlights of the latest release include:
• Alternative reference rate (ARR) functionality to support compounded or averaged index calculations, and support for LIBOR fallback curves.
• Algorithmic Differentiation (AD) of XVA Greeks for the inflation asset class, and enhancements to the XVA Greeks report which now supports the Jarrow-Yildirim inflation model.
• Stochastic modeling of tenor basis spreads, including computation of tenor basis risk in XVAs.
• Added the SIFMA basis model with stochastic modeling, which is also used for computing SIFMA basis risk in XVAs.
• The Andersen commodity model for stochastic basis spread modeling and for computing commodity basis risk in XVAs.
• Enhancements to the Hybrid Model framework for the Cheyette Local Volatility (LV) model and the Cheyette Local Stochastic Volatility (LSV) model.
As the world’s financial markets continue to confront headwinds from the COVID-19 pandemic, now more than ever financial institutions need to be prepared for a highly uncertain market environment. Flexible analytics that are battle-tested and adaptable to market changes have never been more essential.
“With reliable risk measures in place, and robust pricing models that can handle the shocks and swings of the markets, trusted analytics can offer incredible peace of mind especially when having to prepare for many possible scenarios,” says Liang Wu, Executive Director of Financial Engineering and Head of CrossAsset Product Management at Numerix. “To provide even more comfort to our users, we’ve also taken extra steps to ensure our support teams are available to assist clients who are working from home, to help them address installation questions and to overcome any challenges they may face.”
Whether a single asset class or a complete cross-asset solution is needed, Numerix CrossAsset can be scaled to meet a financial institution’s needs. From stand-alone desktop installations to enterprise-wide deployments, Numerix analytics can be easily integrated into proprietary or third-party systems via the CrossAsset SDK in Python, C#, C++, or Java, or they can be utilized in spreadsheets via CrossAsset Excel.