Numerix, a provider of cross-asset analytics for derivatives valuations and risk management, unveiled new functionality for curve modeling within its trade capture application, Portfolio.
The Portfolio platform is a front and middle office application used for the pricing, managing risk and hedging of structured products, Numerix said. The firm added that the new collateralization rules imposed by regulation, along with the need to fund daily margin postings, and the rapid adoption of multiple curves for both discounting and forecasting, has forced a shift in the fundamentals of curve construction, model calibration and the valuation process.
With Portfolio, Numerix said clients can configure yield curves to be stripped with a separate discounting and projection curve which will enable more accurate valuations for the mitigation of counterparty risk.
"By refining curve instruments and greatly improving reference data infrastructure within Portfolio, our clients not only have the ability to derive OIS curves and its use for the pricing of OTC derivatives, but are enabled to further support flexible deal-structuring, comprehensive trade capture and management," said Denny Yu, Numerix's product manager for risk. As the Senior Editor of Advanced Trading, Justin Grant plays a key role in steering the magazine's coverage of the latest issues affecting the buy-side trading community. Since joining Advanced Trading in 2010, Grant's news analysis has touched on everything from the latest ... View Full Bio