Numerix Updates Data Infrastructure For Multi-Curve Modeling


Numerix, an analytics software vendor, has improved the reference data infrastructure of its trade capture application, Portfolio, and added new functionality for multi-curve modeling to the application.

The new capabilities will help firms configure yield curves to be stripped with a separate discounting and projection curve. This is intended to help firms attain more accurate valuations for counterparty risk mitigation.

Denny Yu, Numerix's New York-based product manager of risk, said the

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