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.