|Pricing Partners improves its platform to better price TEC10® and EONIA products - Jul 09|
Pricing Partners improves its platform to better price TEC10® and EONIA products
Paris-London: Pricing Partners www.pricingpartners.com, the independent valuation expert and a world leader in mathematical models and analytics for derivatives and structured products, announced today a remarkable improvement on its independent valuation internet platform in order to price more accurately TEC10® and EONIA specific products.
Financial products on the TEC10® rate, which is the market rate at which for the French government can borrow for 10 years, were under the spotlights because of the importance of the government issuances. This rate, which was originally 10 to 20 basis points below the swap rates, experienced its level exploding and exceeding the 10 years swap rates by more than 10 basis points since the beginning of the year. TEC10® products’ marked-to-markets have undergone painful changes and have received particular attention on the investors’ side. For Pricing Partners, the accurate pricing of these products has become an important priority. Therefore, Pricing Partners developed a new TEC curve, inferred quantitatively from TEC10® against CMS10 forwards whose quotation is relatively liquid in the market. A dynamical mathematical model related to this curve exploits also the volatility of the 10 years swaption market in order to price on any TEC10® options. The adjustment in terms of the rate compared to a classic dynamic model is done in vega to maintain a delta level close to the one of CMS products with an equally comparable volatility level.
In the same way, because of the widening of the spreads bias between the EONIA curve and the one based on the Euribor/ Libor, Pricing Partners has also developed an EONIA curve distinct from the one of Euribor/Libor to capture the liquidity impact between these 2 curves Eric Benhamou, CEO of Pricing Partners comments “the problem of a more accurate valuation on the products based on TEC10® and EONIA has become a major subject owing to the liquidity impact and government issuances. In order to provide an always improving service, we, Pricing Partners, are striving not only to focus on a more accurate modeling but also to positively respond to the expectations of our customers. We hope to win more reference thanks to this competitive advantage in the independent valuation field.” Founded by former professionals of the trading floor, working in investment banks like Goldman Sachs, Société Générale, Natixis or HSBC, Pricing Partners has become over the last two years a major player. In October 2008, it launched its Internet independent valuation platform, Price-it® Online, which affirms its leading place in the financial modeling as well as independent valuations provider. Designed for all major assets like Interest Rates, Equity, Inflation, Credit, Foreign Exchange, Commodities, and Life Insurance to Hybrid products, Price-it® comes either as a software or an Internet Platform, providing all the tools for the transparent valuation on structured products. Price-it® online uses cutting edge mathematical models together with a new language to describe the complexity of any structured products.
About the TEC10®
The daily index CNO-TEC10®, a 10 years maturity rate, is the actuarial rate of return of a theoretical 10 year maturity Treasury note. TEC10® is a registered trade mark of the Comité de Normalisation Obligataire (C.N.O.)
About Pricing Partners
Set up by former professionals of the trading industry, Pricing Partners offers accurate solutions for derivatives products valuation, pricing tools and risk analytics. Thanks to Price-it online, a SaaS platform, Pricing Partners provides independent valuation from the vanilla to the most exotic financial products on most assets (Interest Rates, Fixed Income, Equity, Inflation, Credit, Foreign Exchange, Commodities, Life Insurance and Hybrid products). Pricing Partners develops and commercializes Price-it Excel, an analytic and independent pricing library using a generic payoff language description which allows the pricing of virtually any financial derivatives. Price-it also supports VaR, CVaR and the most common risk management tools. Pricing Partners is the only company completely mastering the chain of valuation, developing both its own pricing library and a valuation platform giving its clients very accurate and reliable valuation as a result of its intrinsic knowledge of the pricing tools. Pricing Partners solutions can be used by investment banks, buy side firms, hedge funds, financial departments, trading rooms and audit firms.
Pricing Partners has also signed numerous partnerships to distribute its technology with leading institutions like NYSE Euronext (for its independent valuation service via Primesource), Misys (for its pricing library integrated into Summit), CMA or Lexifi. It is also a Microsoft IDEES partner, an IBM, Sun, Datasynapse partner. It is also a member of the grid research consortium GCPMF regrouping BNP Paribas, Calyon, Ecole Centrale, EDF, ENPC, the Inria, Natixis, Misys, Pars VI University and Supelec and a global coordinator of the Credinext consortium, in collaboration with PrimeSource, Lunalogic, the Ecole Polytechnique, the ENPC, the University of Marne La Vallée and the INRIA.
Tel: +33 1 5526 43 00
Fax: +33 1 5526 42 03
website : http://www.pricingpartners.com