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MathWorks Extends Matlab Capability through Integration with Numerix

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MathWorks and Numerix have integrated the Numerix Cross-Asset Integration Layer with MathWorks’ Matlab numerical computation environment to allow Matlab users to access Numerix calculations in the creation of applications for pre-trade pricing, modelling and analysis of complex financial instruments.

The integration was completed last year and incorporates Numerix CrossAsset Integration Layer templates in the Matlab Financial Instruments Toolbox, allowing users of the Matlab toolbox to access the Numerix CrossAsset library of models. Numerix also provides calendars, market conventions and fixing history to support faster, more efficient model creation and analysis.

The results of the integration include the ability to price any derivative instrument within the Matlab environment and, through the use of Numerix’ cross-asset capabilities, extended coverage of risk, pricing and valuation functionality for Matlab users.

Stuart Kozola, computational finance product manager at MathWorks, explains: “Users of the Numerix and Matlab integration have a new level of access for financial analytics, such as pre-trade analysis, model validation and testing, and model comparison, that spans research and production applications. This gives financial professionals a streamlined workflow for developing and deploying applications involving increasingly complex financial instruments and structured products in a fraction of the time it would take to develop them in C, C++ or Java.”

Steven O’Hanlon, CEO and president of Numerix, adds: “This partnership demonstrates the scalability of Numerix analytics and flexibility of integration. It also brings efficiencies to the way quants and programmers are able to price options, derivatives and structured products within their financial modelling and simulation applications.”

The integration came to market late last year and is the first MathWorks has made for Matlab. For Numerix, the integration adds MathWorks to a partner programme that includes close to 100 partners.

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