Numerix, the leading provider of cross-asset analytics for derivatives valuations and risk management, today announces new details of its expanded software integration with MATLAB™. Through this integration, financial engineers, risk managers and analysts can now leverage the Numerix calculations to create fully customized, robust financial applications for pricing, modeling, risk managing and analyzing complex financial instruments.

The Numerix CrossAsset library comprised of the industry’s most comprehensive collection of models and methods and dynamic suite of Numerix CrossAsset pricing and risk analytics is now fully integrated with the MATLAB environment. MATLAB and Financial Instruments Toolbox™ leverage Numerix CrossAsset analytics enabling faster, more efficient model creation and analysis. The integration enables MATLAB users to price any conceivable derivatives instrument from within the MATLAB environment and leverage Numerix models for pre-trade pricing and XVA integrated pricing, market risk analysis and counterparty credit risk.  

“As pricing derivatives often involves intense computations our quantitative analysts have developed models and methods that have been optimized for speed and accuracy, enabling rapid calculations for even the most complex instruments,” said Steven R. O’Hanlon, Chief Executive Officer of Numerix. “As the industry’s most advanced mathematical software with deep roots in numerical computation, MATLAB is a strong and scalable partner. With our library fully leveraged in the MATLAB environment we are saving users time where they don’t need to build their own models from scratch. This enables faster time to market.”

As financial professionals continue to seek solutions to develop and implement increasingly complex financial models, analyze substantial volumes of data, and operate under regulation like FRTB, this partnership brings true efficiencies to the way quants and programmers are able to price and risk manage options, derivatives and structured products within their financial modeling and simulation applications.

“With an ability to access the Numerix CrossAsset library, financial professionals can use MATLAB to scale up their derivatives or structured product business with fully customized applications in a matter of days instead of weeks,” said Stuart Kozola, computational finance product manager at MathWorks. “The depth and breadth of Numerix models combined with MATLAB’s rapid application development and deployment capabilities provide unmatched business agility, allow our customers to spend more time creating innovative products and solutions.”