Designed to Keep You Ahead of the Curve
Numerix CrossAsset’s sophisticated architecture and consistent, unified framework deliver a robust collection of in-demand and cutting-edge features.

Comprehensive RFR Coverage

Flexible. Complete. Market-Ready.

CrossAsset provides users with significant flexibility in building RFR curves and makes it easy to introduce new RFR instruments to your system. As other jurisdictions develop their RFR markets and more products become available, CrossAsset’s flexible curve framework can help you quickly adapt and construct curves in those markets. CrossAsset provides users with significant flexibility in building SOFR and SONIA curves.

Choose from curve member instruments including:

Linear products

• Overnight rate futures (SOFR, SONIA)
• OIS swaps (SOFR, SONIA, €STR, TONA and SARON)
• Single-currency basis swaps (SOFR vs. USD LIBOR, €STR vs. EURIBOR, etc.)
• Cross-currency basis swaps (SOFR vs. SONIA, SOFR vs. €STR, SOFR vs. EURIBOR, etc.)

Non-linear products

• Overnight rate swaptions (SOFR, SONIA, TONA, etc.)
• Overnight rate caps/floors (SOFR, SONIA, etc.)
• Callable swaps and other exotic payoffs

Seamless Support for Transition to RFR

CrossAsset provides full support for your transition from LIBOR to RFR — from handling legacy contracts to the pricing and risk management of new RFR products and everything in between.

Legacy contracts

• Build LIBOR fallback curves for legacy contracts adhering to the ISDA IBOR Fallbacks Protocol after the permanent discontinuation of LIBOR
• Convert legacy LIBOR contracts to reference a risk-free rate with a spread adjustment
• Produce accurate cash flow projections using the ISDA IBOR Fallback curve

Transition phase

• LIBOR-to-LIBOR fallback transition curve to support pricing simultaneously with both the LIBOR curve and the LIBOR fallback curve during the transition period
• Accurately capture the valuation and pricing of existing LIBOR contracts that saddle both sides of the LIBOR transition
• Leverage LIBOR-to-LIBOR fallback transition curve to generate pre-cessation scenarios to better understand and prepare for the LIBOR transition

New contract issuance

• Value and price complex and emerging RFR products such as SOFR-linked notes and non-linear derivatives
• Respond quickly to new RFR conventions to empower users to issue, trade, hedge and manage the risk on new RFR instruments
• Flexible kernel framework to accommodate and capture the valuation of exotic RFR instruments and products with non-standard coupon features

The Numerix Difference

The Recognized Leader in Pricing & Risk Analytics
Choosing Numerix for RFR analytics means partnering with the leader in derivative pricing, from our deep industry experience and widely recognized quantitative leadership to our award winning solutions and cutting-edge technology.

• Most comprehensive collection of pricing models and methods in the market, including an advanced hybrid model to price instruments with multiple underlyings
• True cross asset coverage with the greatest depth and breadth in OTC derivatives and structured products
• Infinitely flexible deal-structuring architecture for the rapid pricing of any instrument, from vanillas to the most complex exotics
• Extensive risk analytics including Greeks/sensitivities, all XVAs, PFE and other counterparty risk exposures, VaR/Expected Shortfall, scenario analysis, and stress testing
• Fast deployment and implementation, with analytics available in Excel, Python, Java, C# or C++