Accelerate Your LIBOR Transition...Cutting-Edge Multi-Curve Framework Built for Navigating the Shift...
Transcript of Accelerate Your LIBOR Transition...Cutting-Edge Multi-Curve Framework Built for Navigating the Shift...
Cutting-Edge Multi-Curve Framework Built for Navigating the Shift to Alternative Reference RatesNumerix CrossAsset’s cutting-edge multi-curve framework empowers institutions to accelerate their LIBOR transition and dynamically respond to the impacts of the evolving alternative reference rate (ARR) landscape.
CrossAsset delivers market-ready ARR analytics that enable firms to confidently price and calculate risk for any OTC derivative or structured product with uncompromising accuracy and market-consistent valuations.
Designed to Keep You Ahead of the Curve Despite its challenges, LIBOR remains widely used in derivatives pricing. But the shift from this storied benchmark is already under way, introducing new levels of market complexity, complicating curve building, and putting greater technical demands on institutions.
As new alternative rates are introduced – and liquidity begins to build – a timely transition from LIBOR will be imperative for accurate pricing and risk calculations. Firms who miss the mark risk poor trading decisions, inaccurate hedges, and losing out on opportunities in burgeoning alternative rate markets.
With full coverage for SOFR and SONIA curves already in place, Numerix is committed to putting our users at the forefront of ARR analytics. 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, CrossAsset can quickly and easily integrate cutting-edge ARR curves into your tech stack.
Accelerate Your LIBOR Transition
GLOBAL SOLVINGEnables sophisticated
solving of multiple interrelated curves
simultaneously across multiple currencies,
for maximum accuracy.
MARKET-LEADING ANALYTICS
Our award winning library of models and methods
for derivative pricing also features a powerful multi-curve framework allowing for separation of forward and discounting curves.
FLEXIBLE FRAMEWORKAdvanced architecture
lets users choose between bootstrapping and multi-curve stripping, rapidly introduce new ARRs, and easily add
new member instruments and curve features.
ADVANCED CURVE FEATURES
Accurately represent market realities and
capture curve features including turn effects, meeting dates, and
flexible interpolation.
100% COVERAGE OF SOFR & SONIA CURVES
Complete coverage of SOFR and SONIA curves with the flexibility to choose between
relevant curve member instruments or build bespoke
ones. Plus, extensibility for future ARRs.
Evolving Markets Demand A Modern FrameworkNumerix CrossAsset’s sophisticated architecture and consistent, unified framework deliver a robust collection of in-demand and cutting-edge features.
• Multi-curve Generalized and flexible framework for stripping two or more curves simultaneously
• Multi-currency Support for curves across different currencies
• Global solving Simultaneously solve for multiple interrelated curves
• Central bank meeting dates Accurately represent interest rate jumps due to central bank rate changes
• Turn effects Ensure curves incorporate liquidity issues present at the end of the month, quarter or year
• Spread curves Curves can be defined via spreads with respect to another curve
• Interpolation Choose different interpolation methods at different time horizons
• Extrapolation Extend curves beyond the longest tenor market data
For more information, contact: [email protected]
SOFR and SONIA CoverageFlexible. Complete. Market-Ready.
CrossAsset provides users with significant flexibility in building SOFR and SONIA curves.
Choose from curve member instruments including:
• CME and ICE SOFR/SONIA futures of all reference intervals (e.g. 1M & 3M for SOFR/SONIA, quarterly IMM & MPC announcement dates for SONIA)
• SOFR/SONIA OIS swaps
• SOFR basis swaps (SOFR vs. Fed Funds or LIBOR)
• Bespoke OTC SOFR/SONIA swaps
And as other jurisdictions develop their ARR markets, CrossAsset’s flexible curve framework can be used to construct curves in those markets. So you can adapt quickly to ARR developments around the globe.
The Numerix DifferenceThe Recognized Leader in Pricing & Risk Analytics
Choosing Numerix for ARR 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 breath 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++
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Multi-Curve Framework