Numerix Enhances CrossAsset Platform with Advanced Credit Modeling and Intraday Commodity Options Pricing

Numerix, a leading capital markets Front-to-Risk technology provider, is thrilled to announce the latest updates to its award-winning CrossAsset platform. These enhancements include extensions to the credit CIR (Cox-Ingersoll-Ross) model, support for intraday commodity options pricing for American options, and detailed transparency for IBOR (Interbank Offered Rate) fallback calculations.  

Numerix has expanded CrossAsset’s credit CIR model to include Merton and Kou jumps. This marks the first time Numerix has integrated the jump-diffusion model into the credit space. By incorporating these jumps, CrossAsset provides users with enriched coverage and more accurate modeling capabilities essential in the credit space, further expanding Numerix's robust suite of credit risk solutions.

The CrossAsset team has also introduced intraday pricing for commodity American options. The update is an exciting advancement in Numerix’s pricing capabilities, providing firms with a powerful tool for capturing intraday value shifts and managing complex option strategies. 

"With the addition of this valuable enhancement, the new functionality enables users to model and settle trades more precisely, increasing accuracy and flexibility for firms managing options in short timeframes," explained Ping Sun, Senior VP for Financial Engineering at Numerix.

The latest release of CrossAsset introduces a sought-after feature that displays calculation details for IBOR fallback rate calculations. This enhancement, a response to client requests for benchmark rate details, provides greater transparency and enables users to perform manual validation, allowing users to better understand and confirm how fallback rates are derived.

“This new level of visibility streamlines the process of addressing inquiries and reinforces Numerix's commitment to providing clear, accurate, and easily accessible rate calculation methodologies,” explained Liang Wu, Numerix's Senior VP of Financial Engineering and Product Management. 

"These comprehensive updates further strengthen CrossAsset, addressing critical industry needs and enhancing its capabilities across multiple asset classes. Further, these advancements are a testament to Numerix's ongoing commitment to delivering cutting-edge solutions that meet the evolving demands of capital markets professionals worldwide," explained Chief Product Officer Satyam Kancharla. 

To learn more about current and future enhancements, please contact the Numerix Sales Team. 

About Numerix: Since its founding in 1996, Numerix has been at the vanguard of financial technology, providing groundbreaking expertise, quantitative analytics, and software that redefines pricing and risk management in the financial markets. With the strategic acquisitions of FINCAD, Kynex and PolyPaths, Numerix has further strengthened its leadership position, empowering financial institutions worldwide to transform risk into opportunities with confidence.  

Numerix is headquartered in New York City with offices around the world in major financial centers which allows for immediate access to the latest trends, innovations, and thought leaders in the industry. This extensive network across the Americas, EMEA and Asia-Pacific enables Numerix to offer localized support and services to its diverse clientele while drawing on global insights and expertise.