Numerix has launched a new version of its cross asset analytics libraries and Excel add-ins, which includes a new commodities module. Numerix 7.5’s new commodities module allows for the pricing, valuation and risk analysis of commodity futures, swaps, and options, both single-name and basket trades, says the valuations solution vendor.
Steven O’Hanlon, president and COO of Numerix, says: “The addition of our new commodities module enables institutions unparallel consistency and deal portability across all asset classes satisfying the valuation demands across an enterprise.”
According to Numerix, the commodities module supports all the deal structuring capabilities of Numerix 7, thus allowing to price the entire range of structured deals, starting from simpler Asian options and commodity linked principal protected notes and including most complex hybrid deals linked to multicurrency mixed baskets containing equities, FX rates and commodities. This new module is available alongside Numerix modules for fixed income, inflation, credit, equity, foreign exchange and hybrids and is available in Numerix’s for Excel-based solutions and the Software Developers Kit.
Numerix has also added support for modelling FX volatility smile in its cross currency models in this release. This is aimed at providing a more accurate pricing and risk management of long dated options with payoffs that depend on FX rates, such as power reverse dual currency notes/swaps. Modelling the FX volatility smile is done by enabling the Heston stochastic volatility model as an FX component in cross currency models. The FX Heston model is now also supported as an FX component in Numerix Universal Hybrid Framework, thus allowing users to account for FX volatility smile when pricing complex hybrid deals, such as FX equity baskets, as well as multicurrency basket deals.
Numerix has also enhanced its risk-reporting performance with support for multithreading, via the use of multi-core processors. The valuations in each report can be run on parallel threads with the results collected transparently in the report, says the vendor. The number of threads can be controlled by the user.
