Numerix Expands Multi-curve Modeling Facilities

Numerix has announced an enhancement of its product portfolio, with the addition of multiple pricing curves to support overnight index swaps (OIS) discounting and over-the-counter (OTC) derivatives pricing.

The cross-asset analytics group said that new functionality for multi-curve modeling had been added to Portfolio, its front and middle office application for pricing, managing risk and hedging structured products.

“Already a dynamic solution with the cutting-edge tools needed to deliver consistent, transparent and repeatable pricing and valuation processes, Portfolio provides full transparency in deal definitions, comprehensive risk reporting and consistent Greeks for better hedge recommendations,” said Steven O’Hanlon, president and chief operating officer of Numerix.

“Now enhanced with sophisticated functionality for multi-curve pricing, users are equipped with a powerful solution for generating more precise valuations and risk measurement of collateralised structured products.”

Numerix said that in response to new collateralisation rules imposed by regulation and the need to fund daily margin postings, the rapid adoption of multiple curves for both discounting and forecasting has forced a shift in the fundamentals of curve construction, model calibration and the valuation process. Portfolio enables clients to configure yield curves to be stripped with a separate discounting and projection curve, enabling more accurate valuations for counterparty risk mitigation.

“As the demand for OIS discounting has grown and the complexity of curve construction has increased, the core principles of modeling and internal valuation practices have been challenged,” said Denny Yu, product manager of risk at Numerix.

“By refining curve instruments and greatly improving reference data infrastructure within Portfolio, our clients not only have the ability to derive OIS curves and its use for the pricing of OTC derivatives, but are enabled to further support flexible deal structuring, comprehensive trade capture and management.”


Related reading