CrossAsset for the LIBOR Transition
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.
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.
Generalized and flexible framework for stripping two or more curves simultaneously
Support for curves across different currencies
Simultaneously solve for multiple interrelated curve
CENTRAL BANK MEETING DATES
Accurately represent interest rate jumps due to central bank rate changes
Ensure curves incorporate liquidity issues present at the end of the month, quarter or year
Curves can be defined via spreads with respect to another curve
Choose different interpolation methods at different time horizons
Extend curves beyond the longest tenor market data
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++
- In this animated video, we discuss how 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. Learn more here: https://www.numerix.com/product/crossasset/crossasset-for-the-libor-transition