Numerix Adds Multi-Curve Modeling Functionality

Users are able to refine counterparty risk management techniques due to the addition of multiple curves for discounting and forecasting, and the ability to separate them out.

"As the demand for [overnight indexed swap] OIS discounting has grown and the complexity of curve construction has increased, the core principles of modeling and internal valuation practices have been challenged," says Denny Yu, product manager for risk at Numerix. "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 over-the-counter derivatives, but are enabled to further support flexible deal-structuring, comprehensive trade capture and management."