NumeriX, the independent leader in cross-asset derivatives pricing and valuation software, today launched NumeriX Pro 5.0.
This release combines the existing functionality of the NumeriX Engine and NumeriX Library products while adding new features to satisfy clients' desires for powerful and flexible pricing, structuring and risk management tools across multiple asset classes.
NumeriX Pro 5.0 bridges a gap in the financial services market by delivering the ability to rapidly structure complex deal types, either as Excel add-in libraries or as part of an integrated solution within a trading or risk management system. Traders, structurers, quantitative analysts and portfolio managers continue to define complex derivative structures with the easy-to-use NumeriX scripting language, and price them with a wide variety of models. NumeriX Pro 5.0 delivers seamless pricing, risk management and scenario analysis to keep users in control of their risks in fast changing market conditions.
"We help customers stay well ahead of the curve by building products that are technologically innovative. NumeriX Pro 5.0 is the culmination of 10 years experience working with dozens of banks and securities firms," said Dr. Gregory Whitten, NumeriX CEO. "As we do with vanilla analytics, NumeriX also makes exotics easy to use, easy to integrate and easy to justify."
New functionality in NumeriX Pro 5.0 includes:
Credit Derivatives
- Additional basket model support: Random Factor Loading, Normal Inverse Gaussian, and five different methods of stripping base correlation curves
- Additional methods for faster pricing of CDO2
- Additional support for Interest Only and Principal Only CDOs
- Full support for modeling cash flow CDO waterfalls
Product Usability
- Improved NumeriX toolbar and menu for Excel giving access to a wide range of utilities
- New functional API with online help fully integrated into the Excel function wizard
- Add-in adaptor for Markit Group Ltd data
Interest Rate Derivatives
- Easy-to-use risk reports
- Additional sensitivity and Greek calculations
- Viewer for calibration results from the BGM and Shifted BGM models
"With the launch of NumeriX Pro 5.0 we deliver a powerful, flexible pricing and risk management solution. NumeriX Pro combines the best of our flagship products, NumeriX Library and NumeriX Engine, while adding functionality previously unavailable to the market. We will continue to support the NumeriX Engine, now called NumeriX Pro 4.1, indefinitely," explained Steven R. O’Hanlon, President and Chief Operating Officer.