Numerix Updates CrossAsset for OIS Discounting
Pricing and risk analytics provider Numerix has released the latest version of its CrossAsset analytics tool to support overnight index swaps (OIS) discounting.
Version 10.0 includes new capabilities for the management of pricing, risk and quantitative modeling challenges associated with valuing collateralized derivatives trades using OIS discounting.
"A single yield curve was no longer sufficient to discount cash flows and estimate future rates. Each interest rate tenor needed its own projection curve," says Tom Davis, vice president of the client solutions group at Numerix. "Initially, this was due to increased liquidity premiums and credit risk; however, the main driver behind this shift was the move to daily margin postings, which had to be funded at OIS rates due to newly imposed rules of collateralization for swaps and futures."
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