Numerix updates trade capture app 'Portfolio' with curve modeling

Firm says update will enable more accurate valuations

Numerix, a provider of cross-asset analytics for derivatives valuations and risk management, unveiled new functionality for curve modeling within its trade capture application, Portfolio.

The Portfolio platform is a front- and middle-office solution used for the pricing, managing risk and hedging of structured products, Numerix said.

In a press statement, the software provider says that new collateralization rules, along with the need to fund daily margin postings, and the rapid adoption of multiple curves for both discounting and forecasting, has forced a shift in the fundamentals of curve construction, model calibration and the valuation process.

With Portfolio, Numerix said clients can configure yield curves to be stripped with a separate discounting and projection curve which will enable more accurate valuations for the mitigation of counterparty risk.

"By refining curve instruments and greatly improving reference data infrastructure within Portfolio, our clients not only have the ability to derive OIS curves and its use for the pricing of OTC derivatives, but are enabled to further support flexible deal-structuring, comprehensive trade capture and management," says Denny Yu, Numerix's product manager for risk.

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