First commercially available fast and robust Stochastic LMM model makes NumeriX Fixed Income module the most advanced set of FI analytics in the market

New York, NY -  August 1 2007- Numerix, the independent leader in multi-asset class pricing and risk analytics, today announced the release of first commercially available fast and robust stochastic volatility Libor Market Model (LMM). The Numerix Fixed Income (FI) Model can now price the most complex financial products using the latest advances in interest rate modeling, making it the largest, deepest, and most flexible choice of calibration approaches in the industry across both single and multifactor interest models. The new stochastic volatility Libor Market Model also takes advantage of the latest user-friendly upgrades in Numerix v6 with its uniform functional interface including an intuitive wizard, market data adaptors, structuring wizard and solution builder for rapid structuring, testing, and deployment of new and existing structures.

“Market Models are being adopted in other asset classes such as credit, inflation and cross currency modeling attesting to the methodology’s acceptance as the standard in the financial industry as a key decision support tool in interest rate modeling; especially for structured fixed income notes. The fact that Numerix 6 supports such a fast, robust and flexible implementation of this model makes Numerix FI stand head and shoulders above any other analytics package in the industry,” said Steve O’Hanlon, President and COO at Numerix in New York. “This new, flexible tool enables players in the fixed income market to easily calibrate to the volatility surface as part of their analytics arsenal, which makes it indispensable.”

“Numerix FI is the only commercially available robust and fast implementation of this methodology,” adds Alexander Antonov, SVP Quantitative Research at Numerix in Paris.

The Numerix suite of Libor Market Model for FI provides the following options to the end user:

  • Several distinct flavors including the original BGM formulation all the way to a shifted LMM flavor with Stochastic Volatility that follows CIR process with time-dependent volatility-of-volatility;
  • A large and flexible set of calibration options from a user-defined set to an arbitrary set of swaptions/caplets/caps and correlations between arbitrary rates, such as CMS; and
  • The ability for users to define and price an arbitrary instrument payoff.

“Given the complexity of instruments we are seeing in the market whether – it is CMS or Libor linked structures or hybrid products – having a fast and robust multi-factor model that can calibrate the observed skew in the market is a requirement. Through Numerix, all market participants now have access to just such a model,” says Meng Lu, VP of analytics at Numerix. “When it comes to having the most advanced models for all asset classes, Numerix is the great enabler in the industry.”

“Now even the smallest shops have access to the latest state of the art model for fixed income products thus eliminating any modeling barriers to entry in the most complex products where the rewards are usually the greatest,” adds Lu.

About Numerix 
Numerix is the award-winning, independent leader in pricing and risk analytics for fixed income, credit, foreign exchange, hybrids, cross currency, commodities, inflation rate and equity derivatives. NumeriX has a financial engineering and quantitative team composed largely of PhDs on the same scale as the very largest of financial institutions. More than 300 clients across 25 countries rely on NumeriX for speed and accuracy in valuing their structured products and derivatives. Trading and risk platform vendors leverage NumeriX analytics to gain a time-tomarket advantage by embedding the power of NumeriX into their systems. Founded in 1996, the company is privately held and has offices in New York, Toronto, London, Paris, Singapore Hong Kong and Tokyo.

For more information visit www.numerix.com or on Bloomberg at NUMX [GO].

Emily Ahearn
Director of Public Relations
Numerix
Phone 646 898 1294
Email: eahearn@numerix.com

Need Assistance?

Want More From Numerix? Subscribe to our mailing list to stay current on what we're doing and thinking

Want More from Numerix?

Subscribe to our mailing list to stay current on what we're doing and thinking at Numerix

Subscribe Today!