Numerix has released the latest version of its CrossAsset pricing and risk analytics software which includes features that address clients’ modelling, pricing, and risk management needs, including items to help users navigate the Libor transition.
Key features of the new rollout include alternative reference rate (ARR) functionality to support compounded or averaged index calculations, and support for Libor fallback curves; algorithmic Differentiation of XVA Greeks for the inflation asset class, and enhancements to the XVA Greeks report which now supports the Jarrow-Yildirim inflation model. There is also now stochastic modelling of tenor basis spreads, including computation of tenor basis risk in XVAs and the SIFMA basis model with stochastic modelling, which is also used for computing SIFMA basis risk in XVAs, has been added, along with the Andersen commodity model for stochastic basis spread modelling and for computing commodity basis risk in XVAs. Enhancements to the hybrid model framework for the Cheyette Local Volatility model and the Cheyette Local Stochastic Volatility model have also been enhanced according to the firm.
“With reliable risk measures in place, and robust pricing models that can handle the shocks and swings of the markets, trusted analytics can offer incredible peace of mind especially when having to prepare for many possible scenarios,” says Liang Wu, executive director of financial engineering and head of CrossAsset product management at Numerix. “To provide even more comfort to our users, we’ve also taken extra steps to ensure our support teams are available to assist clients who are working from home, to help them address installation questions and to overcome any challenges they may face.”