NumeriX has upgraded the platform underlying its solutions by introducing new functionality and greater model coverage. According to the provider of cross asset analytics for derivatives and structured products, NumeriX 7.2 includes additional capabilities for all asset classes covered and 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. It is also available via NumeriX Portfolio, its trade capture and risk system and the NumeriX partner network of trading, risk and valuation systems, says the vendor.
The upgrade is in reaction to the increased industry focus on valuation systems and the requirement for what the vendor calls “analytic straight through processing”. This is defined by NumeriX as when financial institutions ensure best practices of utilising consistent analytics for pricing valuation and risk management throughout the lifecycle of a trade from the front to back office.
NumeriX president and COO, Stephen O’Hanlon, explains: “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. 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.”
Functionality within version 7.2 includes new pricing models for equity and foreign exchange continuous barrier options and new support for pricing loan credit default swaps (LCDS), index swaps and tranches. It also covers improvements for pricing synthetic collateralised debt obligations (CDOs) and collateralised loan obligations (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.
NumeriX 7.2 provides 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, says the vendor. It also includes arbitrage free smoothing of equity and foreign exchange volatility surfaces, which the vendor claims allows traders to price deals and products that were previously very difficult to price due to irregular and inconsistent market data.
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