Numerix Unveils Latest FINCAD Analytics Suite with Advanced FX Option Pricing and Library Performance Enhancements

December 20, 2024 – Numerix, a leading capital markets Front-to-Risk technology provider, is excited to unveil the latest release of FINCAD Analytics Suite. This update redefines analytics efficiency and precision through enhancements in FX option pricing, volatility modeling tools, and library-wide performance optimizations.

Elevating FX Options Pricing with Enhanced Volatility Tools

In response to client feedback, this release brings enhanced capabilities in pricing semi-exotic barrier FX options using the Vanna-Volga adjustment method. It includes support for window barrier options across a broader spectrum of barrier definitions, on a range of option types including vanilla, digital, and Asian options. By integrating sparsely interpolated local volatility with Monte Carlo simulation, users gain unparalleled accuracy for complex option pricing. Creating an all-in-one functionality empowers customers to adapt quickly to changing requirements.

Additionally, FX option smile tools are now available to support volatility skew natively in FX and FX barrier option pricing processes. This feature builds on already introduced utilities for options trading strategies. This comprehensive functionality equips clients with the necessary tools to address complex market requirements precisely.

Library Performance Optimizations

With real-time performance requirements and cost-effectiveness in managing distributed calculation processes in mind, this latest version of FINCAD Analytics Suite delivers targeted performance improvements across a range of instruments. These enhancements bring faster computation to bonds, floating rate notes, swaps, caps/floors, European swaptions, Bermudan cancellable swaps, callable bonds, and structured notes, ensuring that FINCAD Analytics Suite continues to set the standard for high-performance analytics in modern fixed-income and derivative markets. 

“Our mission at Numerix is to deliver high-performance analytics that meet the evolving demands of modern financial markets,” said Peter O’Connor, Product Manager for FINCAD Analytics Suite. “This latest release reflects our steadfast commitment to empowering clients with enhanced functionality, cutting-edge market conventions, and exceptional performance. Another aspect of anchoring performance is better process scaling, which means greater efficiency in process management and cost savings for customers.”

To learn more about FINCAD Analytics Suite, please contact 

About Numerix: Since its founding in 1996, Numerix 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, Kynex 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.