CrossAsset for the LIBOR Transition
This feature is upgradeable
For End Users
You can activate this feature and other links for ALL VENDORS with a VendorMatch Premium subscription. Additionally you can gain access to an increased depth of data, summary reports, RFX reports (detailed completed RFIs - available to financial institutions only) and comparison grids. Please click here for more information.
For Vendors
Vendors can activate their links and gain access to analytics by upgrading to VendorMatch PRO. Please click here for more information.
Speak with an analyst
Financial institutions and their advisors can subscribe to our Analyst Access* service. Effectively phone or (email) a friend you can have on tap advice and support provided by our analysts on this vendor, solution or solution category.
HOW TO SUBSCRIBE
To protect vendor data only financial institutions and recognized advisors can subscribe to VendorMatch Premium. Please click here for more information.
or contact us to discuss a subscription.
Subject to reasonable use.
Survey Summary
The Survey Summary provides a download of the vendor profile, solution profile and the VendorMatch Discovery survey vendor responses used to power the directory. All responses are provided by the vendor online.
Note that this report is a high level summary of the vendor's credentials and a solution's capabilities designed to assist with solution short-listing. The RFX report is the more comprehensive Request For Information report designed to support evaluation and selection, this will only show where the vendor has completed the "RFX" RFI.
HOW TO SUBSCRIBE
To protect vendor data only financial institutions and recognized advisors can subscribe to VendorMatch Premium. Please click here for more information on Premium features or contact us.
RFX Report
The RFX report is an XLS download of the Vendors response to the “RFX” Request for Information for this solution.
The RFX is a centralized golden copy of a RFI authored by our analysts based on their expertise in running real-life system evaluation and selection projects and completed by the vendor online.
Note to protect vendor that only Financial Institutions and recognized Advisor can subscribe to this feature.
In each instance the first time the link is used the user requests permission to access the RFX report and it is the vendor who is required to authorizes access. You will be alerted when the vendor has reviewed your request and granted permission.
HOW TO SUBSCRIBE
Please click here for more information on Premium features or contact us.
To learn more about subscribing to our service options, please contact us here
This feature is upgradeable
For End Users
You can activate this feature and other links for ALL VENDORS with a VendorMatch Premium subscription. Additionally you can gain access to an increased depth of data, summary reports, RFX reports (detailed completed RFIs - available to financial institutions only) and comparison grids. Please click here for more information.
For Vendors
Vendors can activate their links and gain access to analytics by upgrading to VendorMatch PRO. Please click here for more information.
Speak with an analyst
Financial institutions and their advisors can subscribe to our Analyst Access* service. Effectively phone or (email) a friend you can have on tap advice and support provided by our analysts on this vendor, solution or solution category.
HOW TO SUBSCRIBE
To protect vendor data only financial institutions and recognized advisors can subscribe to VendorMatch Premium. Please click here for more information.
or contact us to discuss a subscription.
Subject to reasonable use.
Survey Summary
The Survey Summary provides a download of the vendor profile, solution profile and the VendorMatch Discovery survey vendor responses used to power the directory. All responses are provided by the vendor online.
Note that this report is a high level summary of the vendor's credentials and a solution's capabilities designed to assist with solution short-listing. The RFX report is the more comprehensive Request For Information report designed to support evaluation and selection, this will only show where the vendor has completed the "RFX" RFI.
HOW TO SUBSCRIBE
To protect vendor data only financial institutions and recognized advisors can subscribe to VendorMatch Premium. Please click here for more information on Premium features or contact us.
RFX Report
The RFX report is an XLS download of the Vendors response to the “RFX” Request for Information for this solution.
The RFX is a centralized golden copy of a RFI authored by our analysts based on their expertise in running real-life system evaluation and selection projects and completed by the vendor online.
Note to protect vendor that only Financial Institutions and recognized Advisor can subscribe to this feature.
In each instance the first time the link is used the user requests permission to access the RFX report and it is the vendor who is required to authorizes access. You will be alerted when the vendor has reviewed your request and granted permission.
HOW TO SUBSCRIBE
Please click here for more information on Premium features or contact us.
To learn more about subscribing to our service options, please contact us here
Overview
Accelerate Your LIBOR Transition
Cutting-Edge Multi-Curve Framework Built for Navigating the Shift to Alternative Reference Rates
Numerix 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.
Key Features
Evolving Markets Demand A Modern Framework.
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.
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.
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 curve
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
SREAD 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
Key Benefits
100% SOFR & SONIA Coverage
Flexible. 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 Difference
The 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++
