Numerix Adds Derivatives Modeling Framework for Trading Desks

CAIL will be delivered as an API (application programming interface) that utilizes templates of validated models, curves, and uses data to sort among product types through a newly-introduced "class definitions" mechanism.

From there, firms can use the new integration layer in a risk management function, with product control functions that determine which individuals can edit, publish, and reuse models across desks. Numerix says its offering will integrate with systems using C#, C++, and Java language, whether proprietary or partner-built.

The moves come as quants and regulators grapple with an appropriate role for new types of valuation adjustment models, particularly funding valuation adjustment (FVA), that are complicated by the structure of derivatives' contracts.

"As models and methodologies can vary across front office desks, the ability to derive consistent and correct valuations across an entire enterprise remains a challenge, especially from a model validation standpoint. With CAIL the goal is to package complexity and present simplicity, and through standardization enable prudent model risk management across all trading operations," says Steven O'Hanlon, president and chief operating officer of Numerix.