Numerix expands analytics platform

Numerix has launched Numerix 7.

July, 2009

Numerix has launched Numerix 7.5 cross-asset analytics libraries and Excel add-ins including its new commodities module which allows for the pricing, valuation and risk analysis of commodity futures, swaps, and options, both single-name and basket trades. 

Numerix has added support for modeling Foreign Exchange (FX) volatility smile in its Cross Currency models in this release as well. This allows for a more accurate pricing and risk management of long dated options with payoffs that depend on FX rates, such as Power Reverse Dual Currency Notes/Swaps. Modeling the FX volatility smile is done by enabling the Heston stochastic volatility model as an FX component in Cross Currency models.