|Pricing Partners Extended Multi-Curve Pricing to Major Currencies - Feb 2011|
Pricing Partners Extended Multi-Curve Pricing to Major Currencies
Pricing Partners (www.pricingpartners.com), the world leading derivatives independent valuation, mathematical models and pricing analytics provider, announced today that it has improved its multi-curve pricing to major currencies.
This announcement comes at a time when the market dislocation between the 3 month and the 6 month curves for all major currencies widens from a few basic points to a few tens of basic points. Pricing Partners now extends the methodology that was set in place for EUR to major currencies such as USD, GBP, JPY, CHF, AUD, HKD.
The multi-curve approach allows creating a unified and coherent curve using a common discounting curve and various forwarding curves. It became market standard in trading rooms and has been broadly discussed as one of the major evolution in 2010 for interest rates’ derivatives.
Eric Benhamou, CEO of Pricing Partners comments: “Having a consistent approach on different curves is vital if you want to price accurately interest rates products. Pricing Partners keeps on developing its advanced financial derivatives analytics to offer its clients the latest tools and technology to price according to the latest market practices. We have been a pioneer in implementing this methodology to all the major currencies. We will continue to strengthen our leading position in the field of derivatives pricing models.”
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 with full transparency.
Pricing Partners delivers:
Pricing Partners offers cover commodity, credit, equity, fixed income, fx, funds, inflation, interest rates, life insurance and hybrids OTC products. They are widely adopted by investment banks, asset management firms, hedge funds, corporations, pension funds, fund administrators and audit firms.
Pricing Partners holds offices in Paris, London, Singapore and Hong Kong. Its solutions have been ranked number 1 in Pricing and Analytics by Structured Products Magazine in 2010.
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