Numerix CrossAsset’s cutting-edge multi-curve framework empowers institutions to accelerate their LIBOR transition and ensure they have the analytics necessary to handle legacy LIBOR contracts as well as issue new risk-free rate (RFR) products.
CrossAsset delivers market-ready RFR analytics that enable firms to confidently price and manage the risk of any OTC derivative or structured product including RFR non-linear derivatives with uncompromising accuracy and market-consistent valuations.
Whether you are valuing a SOFR swap or SONIA quarterly futures, our analytics library provides comprehensive coverage for both linear and non-linear RFR instruments as well as full support for both legacy contracts and new contracts.
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Comprehensive RFR CoverageComprehensive coverage of both linear and non-linear RFR instruments which also includes RFR curves and volatility surfaces construction. |
Advanced Curve FeaturesAccurately represent market realities and capture curve features, including turn effects, meeting dates, and interpolations. |
Flexible FrameworkAdvanced architecture lets users choose between bootstrapping and multi-curve stripping, as well as rapidly introduce new RFR instruments and curve features. |
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Global SolvingSophisticated solving and construction of multiple interrelated curves simultaneously across multiple currencies and project cashflows for better understanding risk before and after the transition. |
Market-leading AnalyticsOur award-winning library of models and methods for derivatives pricing also features a powerful multi-curve framework allowing for separation of forward and discounting curves. |
Coverage for Both Legacy and New ContractsFlexible curve framework supports pricing with both the LIBOR and LIBOR fallback curves on legacy contracts, and RFR curves on new contracts for both discounting and projection. |
Numerix CrossAsset puts our users at the forefront of the LIBOR transition. Its sophisticated architecture and consistent, unified framework are able to help ease your organization’s transition to RFR no matter where your organization is in its LIBOR transition process.
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CrossAsset’s multi-curve framework delivers industry-leading speed to market, flexibility and extensibility. All while avoiding common hang-ups presented by rigid, hard-coded frameworks.
Whether at the heart of your Numerix solutions or integrated into other pricing and risk systems, users can rapidly integrate our RFR analytics into your tech stack and help you trade and risk manage the latest RFR instruments.
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.
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
Non-linear products
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
Transition phase
New contract issuance
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.