Numerix Unveils CrossAsset 21.0 - Cutting-Edge Volatility Models and Enhanced LIBOR Transition Support

Numerix, a leading capital markets front-to-risk technology provider, is thrilled to announce the release of CrossAsset 21.0. The latest version of this Numerix technology introduces advancements in volatility modeling, enhanced support for LIBOR transition, and expanded Python SDK examples, aimed at improving user experience and meeting evolving market demands.

Introducing a Local Stochastic Volatility Model with Bergomi  

CrossAsset 21.0 continues Numerix's commitment to providing cutting-edge model improvements. This release introduces a Local Stochastic Volatility (LSV) model featuring the Bergomi Stochastic Volatility process. This offering provides unique guidance on volatility dynamics, capturing the actual stochastic nature of volatility in a manner distinct from other models. Additionally, Numerix has added support for Automatic Differentiation (AD) PV Greeks for the LSV model with Heston stochastic volatility, enhancing model compatibility and providing a comprehensive solution.

"Our clients in the equity asset class have been eagerly anticipating this feature," explained Liang Wu, Head of CrossAsset Product Management for Numerix. "The Bergomi processs enables us to capture forward volatility skew presented in actual financial markets, an exciting improvement over traditional LSV or Heston models."

More Seamless LIBOR Transition Through Enhanced RFR Index Support

As the financial industry continues its transition from LIBOR, CrossAsset 21.0 provides essential tools to support this change. The enhanced RFR Index now supports automatic accrued interest calculation, helping clients navigate the complexities of accrued interest rate calculations in the post-LIBOR era. This enhancement ensures a more user-friendly experience and broadens the range of use cases for RFR calculations.

Restructured Python SDK Examples: Practical Use Cases and Improved User Experience

Recognizing the growing popularity of Python in the financial industry, the CrossAsset team has restructured Python SDK examples to provide practical use cases as quick-start examples. These enhancements cover more instruments and include Jupyter notebooks corresponding to trade instances, significantly improving user experience.

Enhanced Accuracy with BACKWARDFINDIFFFAST Method Support  

The CrossAsset release also expands the BACKWARDFINDIFFFAST method in the Instrument Pricer for FX barrier option calibration instruments, supporting the use of the ADAPTIVE MESH TYPE in the QUALITY table.  This method ensures more accurate valuation through a non-uniform grid, concentrating the grid points around the barrier level(s).  

"We are excited about the quantitative accuracy improvements brought by the ADAPTIVE MESH TYPE," said Satyam Kancharla, Chief Product Officer at Numerix. "This feature will enhance overall valuation accuracy for FX barrier options."

CrossAsset 21.0 is a testament to Numerix’s commitment to innovation and client-centric development. To learn more, please contact the Numerix sales team at sales@numerix.com.

About Numerix: Since Numerix's founding in 1996, the company has been at the vanguard of financial technology, providing groundbreaking expertise, quantitative analytics, and software that redefines pricing and risk management in the financial markets. With the strategic acquisitions of FINCAD and PolyPaths, Numerix has further strengthened its leadership position, empowering financial institutions worldwide to transform risk into opportunities with confidence.    

Numerix is headquartered in New York City with offices around the world in major financial centers which allows for immediate access to the latest trends, innovations, and thought leaders in the industry. This extensive network across the Americas, EMEA and Asia-Pacific enables Numerix to offer localized support and services to its diverse clientele while drawing on global insights and expertise.