Numerix Blog

Webinar (March 9): State of the Global Structured Products Market

Insights and Q&A with top experts in the structured products industry
Tuesday, March 9, at 9:30 AM EST (30 min.)

Join us on for a discussion on the state of the structured products market, featuring Keith Styrcula, Chairman of the Structured Products Association (SPA), Joe Burris, Head of Americas – StructuredRetailProducts.com, and Jim Jockle, SVP Marketing – Numerix. Topics will include trends from 2009 and insights on global structured products issuance YTD.

• Issuance is strong – what’s selling?
• Return to sophistication?
• Return of the “mega-deal”?
• The regulatory and compliance landscape 

The webinar will also provide exclusive data on the global markets for structured investments and what it means for your business. The SPA will offer a brief summary of the challenges and opportunities for growth in the structured products industry.

Click here to register for this event. You can also view past webinars in our archive.

REMATE Launches Volatility Desk Using Numerix

We’re very excited about a new relationship just announced with REMATE—a specialized Interdealer firm that deals in the Mexican FX and IR markets.

For their new volatility desk, traders will use Numerix Rates Trader, an Excel application that’s part of Numerix Bloomberg Edition, to price and manage local Mexican TIIE (interbank equilibrium interest rate) caps/floors and swaptions. (Enter RMVL <GO> on the BLOOMBERG PROFESSIONAL© service for REMATE pricing and volatility data.)

Launched in December 2009, Rates Trader is part of the Trader Applications Suite (also including Credit and FX). This simple application provides access to advanced pricing models and risk analytics for evaluating trading strategies, monitoring risk exposure and viewing relevant market data for portfolios of vanilla IR derivatives.

Sample risk tool in Numerix Rates Trader: The IR Delta PivotTable Worksheet

For a demo of Rates Trader, contact sales@numerix.com.

Read the full press release here.

New CrossAsset and Portfolio Releases Bring Big Changes

We take a lot of pride in providing our customers with the widest range of modeling options available in the market. Last month, we released updates to Numerix CrossAsset and Numerix portfolio, building on the successful new branding of the Numerix analytics platform and adding some major new pricing functionalities. 

Here are a few features that have been added with CrossAsset version 8:

• New Bates stochastic volatility model (Heston with a jump-diffusion process) for Equity and FX (and EQ/FX components of Hybrids), including constant or time-dependant coefficients—the standard model for pricing cliquets
• New pricing methods and cash dividend conventions for American options, including Decoupled Volatility, which eliminates arbitrage in the simultaneous pricing of options with different strikes by distinguishing between the volatilities of the underlying and the option
• Enhanced support for “Big Bang” Standard North American Contract (SNAC) CDS, including conversion of conventional spread quotes into up-front payments for investment-grade CDS
• Full support for the Numerix commodities module and commodity hybrids in Numerix Bloomberg Edition, including importing of commodities data

Numerix Portfolio updates include:

• New risk and scenario analysis features, including mark-to-scenario simulations, allowing the user to generate price and risk quotes based on future-dated market data
• New hybrid Credit/Equity/Interest Rate model for pricing exotics such as equity-linked convertible bonds with arbitrary call structures
• Calibration of LIBOR Market Models to CMS instruments (CMS swaps, CMS caps/floors, and CMS spread options).

These are only a small sampling of the recent improvements we’ve made to help clients tackle some of the most complex modeling challenges. 

Want to learn more? Contact our sales team today.