Robust Software and a User Friendly Interface Combine for Fast, Accurate Pricing of OTC Derivatives Instruments
Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management, announced today the release of Numerix LiquidAsset 2.0, an easy-to-use, rapidly deployable solution to price the most common set of liquid OTC derivatives. Built on Numerix CrossAsset, the industry’s leading pricing analytics platform, LiquidAsset is available on the desktop through Microsoft Excel, or can be integrated into proprietary or third-party systems with the Numerix LiquidAsset SDK.
“With LiquidAsset we’re able to bring our powerful, market leading analytics to a wider group of sophisticated market participants, including hedge funds, investment managers, fund administrators, corporate treasuries and commodity traders,” said Steve O’Hanlon, president & coo of Numerix. “By incorporating market-tested, proven derivative models into simple, well designed derivative pricing and utility functions; LiquidAsset can grow with the specific trading and valuation needs of any derivative market participant, helping them to adapt to today’s increased demand for accountability and transparency.”
The Numerix LiquidAsset 2.0 analytics platform offers a number of new instrument features to empower today’s diverse derivatives market participant, including:
· Enhanced instrument coverage for multi-curve pricing to support pricing interest rate derivatives using Overnight Index Swaps (OIS) discounting. New instrument coverage includes:
o Swap curve stripping using OIS curve
· New commodity coverage to help traders and commodity consumers analyze hedges both pre- and post-trade, especially users who embark on hedging programs to reduce earnings impact and manage earnings volatility due to commodity fluctuations. Users can now:
o Price American and European options
o Price Bullet and Calendar swaps
o Price Commodity forwards
· Further functionality for pricing inflation as the popularity of inflation-linked instruments continue to grow as an investment opportunity, and users look for effective ways to evaluate different strategies to hedge against inflation. Users can now:
o Build inflation curves from inflation bonds or inflation swaps
o Price inflation swaps (zero-coupon)
o Price inflation bonds, including conventions from 7 jurisdictions
· New volatility asset class coverage for pricing equity variance swaps with cap and/or floor on realized variance where volatility traders and dispersion traders can better take advantage of swings in volatility. New instrument coverage includes:
o Equity variance swaps
· Portfolio-level risk analysis for understanding risks at both the trade level and the portfolio level, a critical challenge for firms with large portfolios and portfolios of different instrument types. New enhancements enables users to:
o Construct portfolios quickly and easily by creating a Trade Blotter
o View trade-level sensitivities, as well as aggregated portfolio-level sensitivities
o View the portfolio’s sensitivity (delta/gamma/ dollar hedge amount) to each interest rate market data instrument used to build the yield curve
· Prepackaged and User Controlled Calendars and Market Conventions making it easy for all users to edit or import new calendars and market conventions, a powerful tool for users that reply on prepackaged conventions. If users have bespoke conventions, this usability tool will also allow entries of those and then to reuse them in pricing. Users now have the flexibility to:
o Auto-load a set of calendars and market conventions
o Add/edit/delete calendar and market conventions
“With LiquidAsset institutions have the comprehensive scope of coverage to employ faster, more accurate deal pricing with a minimum amount of time and effort; a combination which can often mean the difference between huge profits and unexpected losses,” said Tom Davis, VP of Client Solutions. “Improved accuracy over valuations gives users the confidence and flexibility they need to hedge more effectively and assess the derivative trading strategies they want to employ – ultimately leading to better, more educated trading decisions.”
A full list of instrument coverage for Numerix LiquidAsset 2.0 can be found here:
http://www.numerix.com/resources/files/LibraryDocuments/FactSheets/NumerixLiquidAsset_InstrumentCoverage.pdf
