overview

Structure and price any deal type with our infinitely flexible deal-structuring architecture. Whether using “out-of-the-box” analytic pricers, PaymentStreams or our unique payoff scripting language—users can leverage the most comprehensive cross-asset library of market-standard models and proprietary numerical methods.

 

Analytic Pricers

Numerix offers hundreds of industry-standard, pre-defined templates and closed-form pricers that represent commonly traded deals, using market-accepted models and pricing practices.


PaymentStreams

Many complexities can arise in over-the-counter derivatives, such as: introductory periods, adjustments in the payoff formula, multiple termination conditions and contractual changes in terms (such as daycount basis). Numerix PaymentStreams approach accounts for these types of variations in a very intuitive way, closely resembling a term sheet and extending all of the flexibility of Numerix beyond quantitative developers.

Our PaymentStreams method of structuring also allows for advanced cashflow logging, giving the user detailed information such as: fixing date, accrual start and end, payment date, daycount fraction, discount factor, expected coupon rate, notional repayment—and even the implied fx forward rate, for each and every coupon period. This level of detail enables a high level of transparency into the underlying analytics.   

Scripting Capability

Users can also define any bespoke custom instrument—and keep on top of derivatives innovation using Numerix scripting capabilities. For example, users can define a wide range of extremely complex instruments, including: equity baskets (Himalayan options), performance options, basket knock-out options, in addition to structured loans and variable annuities.    

Additional Resources
Product
CrossAsset - Leading the Industry in Advanced Models and Methods
Product
CrossAsset SDK: Quick Integration Into Any Proprietary or Third-Party Systems
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CrossAsset XL: Rapidly Structure, Price and Manage Risk for Any Derivative

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