Numerix CrossAsset – Why Migrate CAXL to CAIL?
Numerix CrossAsset is a powerful library of methods and models for quantitative finance. A very common way to apply the vast library functionalities is via CrossAsset XL (CAXL), i.e. via an add-in for Microsoft Excel. Even though this is quick and easy to set up, this solution does have significant disadvantages in a productive system and when performing automated calculations. The newly developed CrossAsset Integration Layer (CAIL) provides a different way to interface with CrossAsset and alleviates these disadvantages.
Benefits of Migrating from Numerix CAXL to CAIL
The new pricing platform Numerix CrossAsset Integration Layer (CAIL) is the latest development from Numerix. It is available for .Net, C++ and Java environments and facilitates the easy development of application with CrossAsset SDK. With CAIL it is possible to encapsulate several objects from the CrossAsset library within one template, e.g. a common financial product. Furthermore, custom input parameters and output reports may be defined. These abstract templates are accompanied with so-called instances which contain the trade specific information. The definition of templates and setup of instances is carried out most simply via the Numerix Template Studio software, which provides a sophisticated GUI. Following this methodology, it is possible to configure, test and debug complicated CrossAsset structures without the need for Excel and CrossAsset XL (CAXL). The templates and instances are all managed in one repository, i.e. a collection of text files in a certain folder structure. Additionally, Numerix CAIL provides the Numerix Scripting Language (NXSL) as well as an advanced settings and policy framework. This architecture allows complex interrelations to be realized effortlessly and consistently over an entire portfolio, such as changing the discounting approach in a multi curve setup. Migrating an existing Numerix portfolio from CrossAsset XL to the new Numerix software solution CrossAsset Integration Layer provides our clients with numerous benefits ranging from potential savings (e.g. lower maintenance costs) to reduced operational risk, while simultaneously enhancing the daily valuation by a more flexible and sophisticated pricing framework (e.g. advanced adaptability to integrated OIS discounting or more flexible models w.r.t. negative interest rates). Together with Numerix, DEVnet provides a unique set of solutions to migrate an existing Numerix portfolio from CAXL to CAIL and at the same time solve valuation issues and audit findings, as well as make necessary market adjustments.
With CAIL it is much easier as with preceding architectures to delegate error messages to a job scheduler and thus leaves the IT department in a better position to resume responsibility for monitoring the process. The pricing environment is no longer based on an Excel based cluster.
Many aspects of the valuation approach can easily be amended or extended for the whole portfolio. Resulting outputs are changed globally via adjustments to the corresponding scripts. Changes to outputs on an individual workbook basis are no longer required.
The level of abstraction allows to quickly gain a broad overview of the whole system while still providing complete access to the details if necessary. The text file nature of the whole repository makes it simple to search for specific information.
Through revision control in Subversion all changes can easily be tracked. This is further enhanced as a result of the simple text file system underlying CAIL.
User rights and changes to the production environment
The business departments do not require user rights for the production environment. All tasks can be completed within a development environment. Changes made in the production environment can be made per checkout from Subversion.
Segmentation between business and IT departments
The business departments are no longer required to perform software development.
Encapsulated, versioned and controlled data
Custom made software is provided by DEVnet to collect, preserve and analyze any given data set – a.k.a. data forensic and analytics – with the goal to migrate it to an encapsulated, versioned and controlled but also audit safe environment.
DEVnet Services to Facilitate the Migration from CAXL to CAIL
DEVnet provides a unique set of tools, experience, and know-how to facilitate entire portfolio migrations from CAXL to CAIL. This includes an in-depth knowledge of common but also highly structured securities in order to fully analyze and specify all components and dependencies from a financial engineering perspective, as well as all the necessary market and configuration data.
DEVnet also offers the essential IT expertise to migrate existing CAXL set-ups, which are embedded in specific IT landscapes and environments with many dependencies to other systems, to CAIL which enables a more structured and efficient overall architecture. DEVnet’s capabilities are accompanied by custom-built tools and applications to support the migration process and also effectively reduce time to market.
- Cross Asset Server
- Template Studio
- Cross Asset Library
- High Performance Computing
Methods & Competences
- Business Analytics
- Trade Analytics
- Risk Analytics
- Risk Management
- Market Data
- All Asset Classes
- Portfolio Analytics
- Stochastic Models
- Multi Curve Pricing Framework
- Numerical Methods