Numerix Introduces a Centralised Framework for Instrument Valuations

Numerix, a provider of cross-asset analytics for derivatives valuations and risk management, has launched CrossAsset Integration Layer (CAIL), a new technology that enables the management, standardisation and distribution of all aspects of derivatives pricing. From curves, valuation methodology and models to the data required for those calculations across all instrument types including exchange traded derivatives, bespoke exotics and structured products, CAIL helps clients and partners to extend CrossAsset, Numerix’s analytics platform, through custom interfaces.

CAIL is a data-driven application programming interface (API) into a set of pre-defined templates of validated models, curves and financial instrument definitions. To extend deal coverage across asset classes, custom templates can be easily and independently defined with the class definitions mechanism. Through the rapid integration of new financial instrument types or models and reuse of definitions across various technology platforms, CAIL enables improved control over model risk management and product control functions by allowing only certain individuals to edit and publish models.

Built upon the Numerix library of models and methods, Numerix CrossAsset can be integrated into proprietary or partner trading and risk systems via CAIL, and SDK in C#, C++, and Java. CAIL scales to meet the unique requirements of users whether deployed in proprietary trading infrastructure or accessed via Numerix’s extensive partner network on a single desktop, across different trading desks, or enterprise-wide.

“As models and methodologies can vary across front office desks, the ability to derive consistent and correct valuations across an entire enterprise remains a challenge, especially from a model validation standpoint. With CAIL the goal is to package complexity and present simplicity, and through standardisation enable prudent model risk management across all trading operations,” said Steven O’Hanlon, president and chief operating officer (COO) at Numerix. “A single valuation framework will not only accelerate integration but greatly improve the overall value proposition for clients and partners ultimately leading to better profitability and more consistent risk analysis and financial reporting across the enterprise.”

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