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Numerix Interface

Numerix® instruments and risk models using Numerix CAIL (CrossAsset Integration Layer)

Numerix provides cross asset analytics for the valuation and risk management of fixed income securities, OTC derivatives, structured products, and variable annuity products. The numerix and numerixCrossAsset objects make the Numerix engine directly accessible from MATLAB®. To use the capabilities of Numerix CAIL, you must have CAIL client software installed on your local desktop.

Classes

numerix Create numerix object to set up Numerix CAIL environment
numerixCrossAsset Create numerixCrossAsset object to set up Numerix CAIL environment

Topics

Working with Simple Numerix Trades

This example shows how to price a callable reverse floater using Numerix CAIL.

Working with Advanced Numerix Trades

This example shows how to price multiple trades from MATLAB using Numerix CAIL.

Use Numerix to Price Cash Deposits

This example shows how to use the Numerix CAIL API to price a cash deposit from MATLAB.

Use Numerix for Interest-Rate Risk Assessment

This example shows how to use the Numerix CAIL API for interest-rate curve stripping for risk assessment.

Numerix CAIL Interface Workflow Example Using Matrix, Data, and Call Objects

This example shows how to use the Numerix CAIL API to create and price a vanilla European option.

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