A new solution built on Numerix CrossAsset for pricing and risk of commonly traded OTC derivative instruments
Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management today announced the launch of its product – Numerix LiquidAsset- for Pricing OTC Derivatives and exchange traded deals. Built upon Numerix’s market leading CrossAsset analytics, LiquidAsset is a function based Excel solution for valuation of the most common set of OTC derivative trade types.
Focusing on the user experience, the Numerix LiquidAsset product provides an intuitive interface that harnesses the power of Numerix CrossAsset to price common trades quickly and accurately. These types of trades pose new and different pricing challenges, as the bid-ask spread is orders of magnitude smaller than their exotic counterparts. With Numerix LiquidAsset users can take immediate advantage of built-in deal conventions that are pre-packaged for pricing and trading all the major currencies and their markets globally.
The Numerix LiquidAsset function browser enables users to easily add pricing functions to a worksheet; calculate outputs from user provided inputs and create a blotter table on which they can aggregate multiple trades based on the selected function. Each pricing function is well documented containing information about each trade type, pricing methodology, required inputs and also includes information about all outputs for mark-to-market (MTM), Greeks and other risk measures as well as cash flow reports.
“LiquidAsset presents Numerix with the ideal opportunity to gain access to a larger share of the market for pricing OTC derivatives and further secure its footing as the world’s premier pricing analytics provider,” said Numerix President and coo, Steven R. O’Hanlon. “The launch of LiquidAsset represents the culmination of both the time and intellectual capital Numerix has invested in this comprehensive product to cover “vanillas”—or commonly traded liquid instruments. We are excited to be in a position to offer our clients this expanded pricing capability.”
“With the path the industry is taking, the continuing drive for standardization and transparency is expected to compress margins. Hence, a cost-effective infrastructure that enables end-users the ability to quickly and intuitively price the most frequently traded derivative transactions will be critical. Moreover, for user segments that execute more standardized trades, an enhanced ease of use also improves productivity and reduces operational risk, especially when pricing frequent, more liquid deals”, said Dr. Mayiz Habbal, senior vice-president of Celent.
Numerix LiquidAsset key features & benefits include:
- • Intuitive user interface designed specifically for market practitioners.
- • “Built-In” out of the box transparent deal conventions packaged for various jurisdictions.
- • Instrument support for the most commonly traded OTC derivatives for fixed income, equity, FX, credit and commodities.
- • Easily create trade blotters to aggregate P+L, Delta (neutral) and Theta for the trade.
- • Benefit from accelerated calculations for daily MTM, Greeks and Cash Flows.
- • Calculate first order risk for all the trades to the market data to get delta hedge ratios for all common deals.
- • Finely grained risk reports for all functions.
- • Easily create discounting curves from market data.
- • Comprehensive documentation for all trade types – including trade description and model.
- • Consistent analytics utilized for all OTC derivatives across asset classes.
Numerix LiquidAsset is available immediately. All Numerix functions are available via Microsoft ® Excel® as an add-in, or can be integrated into proprietary or third-party system using Numerix Bloomberg Edition (NBE), Numerix CrossAsset SDK in C#, C++, or Java.
