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Numerix Portfolio Valuation Service
www.numerix.com
About Numerix
Numerix is the leading provider of cross-asset pricing and risk solutions for derivatives and structured
products. Since its inception in 1996, over 700 clients and 50 partners across more than 25 countries have
come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated
financial instruments. With offices in New York, London, Tokyo, Hong Kong, Singapore and Dubai, Numerix
brings together unparalleled expertise across all asset classes and engineering disciplines.
Numerix Portfolio Valuation Service
Numerix provides the industry’s most sophisticated and robust Portfolio Valuation Service by leveraging its:
• Human Capital – Over 60 full-time math and physics PhDs on staff, including a team from the worldrenowned Los Alamos Laboratories, with expertise in derivatives valuation, model research and
computation methods.
• Cross-Asset Coverage – Support for all major asset classes, including credit, equity, fixed income,
foreign exchange, commodities and hybrids.
• Object-Based Financial Modeling Framework – The Numerix modeling system enables users to define
any conceivable deal type using flexible payoff scripts and the industry’s most comprehensive library of
models and methods.
• Technological Infrastructure – Numerix’s highly accomplished development team has designed the
industry’s fastest grid computing infrastructure for complex derivatives, ensuring that we can deliver
valuations in a timely manner.
Numerix Valuation Methodology
Through the delivery of valuation solutions to over 400 clients worldwide, Numerix has built up considerable
expertise in the valuation of both plain-vanilla and exotic derivatives. We use a robust four-step process to
deliver timely and accurate valuations based on clients’ needs, including daily, weekly, monthly or quarterly
reports.
1. Normalize transaction data sent by the client and prepare data for integration into the Numerix
calculation grid. This can be achieved quickly when coordinated with the client’s IT department.
Numerix can provide templates in Excel, XML or other file formats to make this initial process more
efficient. For more exotic trades, Numerix financial engineers provide support on structuring and deal
payoff.
2. Source market data from multiple providers such as
Bloomberg, Reuters, ICAP and CMA, and perform data
validation—ensuring that data sets are complete and sensible.
In many cases, Numerix will create multiple sets of market
data on a daily basis that can be used to calculate the high,
low and closing prices for a given transaction.
3. Calibrate models to market data. Numerix creates a pricing
environment based on the underlying portfolio of trades
that specifies how the calibration should take place. In
some cases, specific trades require very specific calibration
strategies, while other trades can be revalued based on a
single globally calibrated model.
4. Highly customizable valuation reports include, but are not
limited to, Mark-to-Market, P&L, Call Probability, OAS, DeltaGamma Ladders, Vega Grids and Jump-to-Default.
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Client
Portfolio
Reporting
Normalize
Transactions
Source
Market
Data
Calibrate
Models
Supported Trade Types
The Numerix analytic platform supports thousands of trade types with unique payoff characteristics. Below
is a sample list for each asset class. Contact your Numerix account manager if there are other trade types in
which you are interested that are not listed here.
Interest Rate Products
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Single-Currency Callable and Non-callable Swaps
Cross-Currency Callable and Non-callable Swaps
Caps and Floors
Bond Options
IR Floater, Reverse Floater
FX Floater, Reverse Floater
Callable Power-Reverse Dual
Callable Range Accrual on Libor or CMS
Accreting swap, Zero-Coupon Bond
FX Digital
IR Digital
Credit Products
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Credit Default Swap (CDS)
CDS Option
Credit Index Default Swap
Credit Index Default Swap Option
Nth-to-Default Baskets
Single Tranche CDO
CDO Tranche Option
Bespoke CDO
LCDS/LCDX
Equity Single Name Products
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American Equity Option
Asian Performance-Linked Swap / Note
Compound Equity Index Option
Custom Equity-Linked Note / Swap
Equity Dividend Swap
Equity Index Future
European Equity Index Option
Forward-Starting European Equity Index Options
Hybrid Equity Index Corridor Option
Performance-Linked Swaps / Note
Variance Swap
Equity Basket Products
• Altiplano
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Annapurna
Best-of / Worst-of Equity Basket Option
Custom Equity Basket Linked Note / Swap
Equity Basket Note with Knock Out
Equity Basket Option
Everest
Himalaya
Foreign Exchange Products
• FX Forward
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FX Non-Deliverable Forward
FX Non-Deliverable Option
FX Swap
Accrual Forward with Target
Bermudian Fade-In Option
Custom FX-Linked Note / Swap
European Fade-In/Out Option
European FX Option
FX Accelerator Forward
FX Digital Range Accrual with Knock Out
Foreign Exchange Basket Products
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Custom FX Basket Linked Note / Swap
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