Numerix CrossAsset

Numerix CrossAsset^® offers a comprehensive collection of models and methods, allowing institutions to price or calculate risk for a wide variety of deals using the most advanced methods. It supports a number of optimizations for reducing calculation times, including GPU and algorithmic differentiation. CrossAsset also provides a wide range of calibration options for generating market-consistent valuations. CrossAsset’s object-based approach means that deal components can be re-used and re-linked easily. The CrossAsset software comes with many standard instruments, curves, and market conventions already wired in.

In CrossAsset, vanilla instruments can be rapidly priced in standard ways using analytic pricers, with custom model configurations supported for more complicated deals. CrossAsset also offers a flexible architecture for defining bespoke deals using its custom scripting language. In this way, CrossAsset allows you to deploy a unified pricing and risk solution for all your positions across all trade types.

The numerixCrossAsset and numerix objects make the Numerix engine directly accessible from MATLAB^®. Creating a numerixCrossAsset object initializes a Numerix CrossAsset object based on the Numerix data-driven CROSSASSET API. For details, see the MathWorks documentation on the Numerix interface and numerixCrossAsset class.