|Pricing Partners Releases the Multi Curve Method - Mar 10|
Pricing Partners Releases the Multi Curve Method
Pricing Partners (www.pricingpartners.com), the independent valuation expert and a world leader in mathematical models and analytics for derivatives and structured products, announced that the Price-it Library now supports the Multi Curves Method on yield curves to account for market dislocation in interest rates.
This announcement comes at a time when the spreads between EONIA, EURIBOR 1M, 3M, 6M and 12M have become major concerns, diverging from a few basic points to about a hundred during the climax of the crisis and stabilizing currently at about a few tens of basis points. Traditionally, users created as many curves as underlyings in order to accurately mark and price EONIA or EURIBOR 1M, 3M, 6M and 12M derivatives. With this new approach, the Multi Curve Approach, Pricing Partners users create a single, coherent curve based on a common discounting curve that relies on EONIA rates and various forwarding curves to account for the differences on each underlying. This new approach tends to spread in trading rooms and has been detailed and described by Bianchetti and Henrard in various publications.
Eric Benhamou, CEO of Pricing Partners and a former Goldman Sachs employee said: "Having a consistent approach on different curves such as EONIA, EURIBOR 1M, 3M, 6M and 12M, has become a very big concern among market players. At Pricing Partners, our philosophy is to offer our clients the latest tools to coherently price and value according to the latest market practices. The addition of the multi Curves Method continues to strengthen our leading position in the field of pricing models."
Founded by former professionals of the trading floor, working in investment banks like Goldman Sachs, Societe Generale, Natixis or HSBC, Pricing Partners has become a major player in the financial derivatives fields in the past two years. In October 2008, Pricing Partners launched its Internet independent valuation platform, Price-it® Online, which affirms its leading place in financial modeling as well as an 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 tools 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 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. Pricing Partners delivers its solutions in two different means. Through 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). On the other hand, 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 masters the chain of valuation and develops its own pricing library and valuation platform. Its intrinsic knowledge and understanding of the pricing methodologies/models enable its clients to achieve highly accurate and reliable valuation on their derivatives books. Pricing Partners solutions can be used by investment banks, asset management firms, hedge funds, corporations, pension funds, fund administrators and audit firms.
Pricing Partners has also signed numerous partnerships to deliver its technology through local distributor like Belatos in Hong Kong, as well as with leading institutions like Thomson Reuters (for its pricing library integrated into Kondor+ Structured Products), Misys (for its pricing library integrated into Summit), CMA, Fitch Solutions or Lexifi. It is a Microsoft IDEES partner, an IBM, Sun, Datasynapse and ActiveEon partner. Furthermore, it is a member of the grid research consortium GCPMF uniting BNP Paribas, Calyon, Ecole Centrale, EDF, ENPC, INRIA, Natixis, Misys, Paris VI University and Supelec and a global coordinator of the Credinext consortium, in collaboration with Thomson Reuters, Lunalogic, Ecole Polytechnique, ENPC, University of Marne La Vallee and INRIA.
Direct: +33 1 70 60 72 46
Fax: +33 1 70 60 72 31