Numerix Expands Instrument Coverage for Derivatives Analytics

Analytics provider Numerix says it has expanded its instrument coverage for CrossAsset version 10.1, a framework for structuring, pricing, and managing risk for derivatives.

The expansion includes coverage for convertible bonds, risk management quantitative tools for positions on Commodities Calendar Spread Options (CSO) and other options using the Gabillon calibration model, multi-curve pricing for swaps products, and modeling for power spread options, an OTC derivative where the payoff is proportional to the spread between two indexes that each measure domestic interest rates.

"CrossAsset 10.1 successfully extends its already broad cross-asset class coverage helping to reduce both the complexity and time required to model derivatives and structured products, from plain vanillas to exotics," says Steven O'Hanlon, president and chief operating officer at Numerix.