NumeriX, the leading analytic provider for derivatives and structured products, has introduced new functionality and greater model coverage within its leading cross-asset pricing and risk analytics solutions via the introduction of NumeriX 7.2, the engine behind NumeriX solutions. The upgrade includes many enhanced capabilities for all asset classes, as well as new models and functions for credit, inflation and hybrid derivative products.
The new NumeriX 7.2 functionality is available via NumeriX 7 in Excel and NumeriX Bloomberg Edition, the Excel-based version integrated with Bloomberg pricing data via the Bloomberg Professional Service; NumeriX Portfolio, its trade capture and risk system; and the NumeriX partner network of the largest trading, risk and valuation systems.
The valuation of financial products is coming under close scrutiny due to the recent events on Wall Street. As a result, there will be a major movement toward what NumeriX defines as “analytic straight through processing” whereby financial institutions ensure best practices of utilizing consistent analytics for pricing valuation and risk management throughout the lifecycle of a trade from the front to back office. With NumeriX’s unique and extensive cross-asset coverage and flexibility to describe and price any derivative or structured product, organizations can achieve this goal through the use of the widest library of market-standard models and calibration options.
“The current market environment has forced institutions to rethink the way they approach valuation and risk management from an enterprise perspective. As firms implement new pricing and risk policies, the use of consistent analytics is integral, as processes need to be uniform and repeatable from pre-trade to audit,” said NumeriX president and coo Stephen R. O’Hanlon. “The firms who take a hard look and re-evaluate their practices will be best positioned to weather the current volatility and prosper once the markets are healthier.”
Highlights of New Functionality within NumeriX 7.2
• New pricing models for equity and foreign exchange continuous barrier options
• Improvements for pricing synthetic CDOs & CLOs including new dynamic credit basket loss models for pricing forward-starting CDOs and options on CDO tranches and support for calibration weights in the Heston model with time-dependent coefficients
• Support for several new models such as Equity Quanto and Heston, Cross-Currency LMM and FX European Option Analytics valuation methods, and features a number of performance upgrades
• Arbitrage-free smoothing of equity and foreign exchange volatility surfaces, which allows traders to price deals and products that were previously very difficult to price due to irregular and inconsistent market data
• New support for pricing Loan Credit Default Swaps (LCDS), index swaps and tranches
