Join us on :
Home >> News & Events >> Press Release >> Pricing Partners Speeds up General Callable Range Accrual Computation Leveraging Closed Form Solutions - Jun 2011
Pricing Partners Speeds up General Callable Range Accrual Computation Leveraging Closed Form Solutions - Jun 2011

 

Pricing-Partners-Derivatives-Pricing-Analytics-Independent-Valuation 

Pricing Partners, the world leader in OTC derivatives pricing analytics, mathematical models and independent valuations, announced today to have implemented specific closed form solution for general callable range accrual products speeding up the computation by a factor of 100.

End users are interested in computing their derivatives books at a portfolio level. Traditionally, the callable range accrual on CMS Spreads takes long time to price when using a generic payoff language, as one does not leverage some specific tricks to speed this product up. Pricing Partners has developed a closed form solution pricing to accelerate tremendously the pri­cing of the callable range accrual on CMS Spreads and to make it close to real-time.

Eric Benhamou, CEO of Pricing Partners comments: “With this new feature, we continue to deliver substantial added-value with a high pricing performance. Clients require not only the right price, but also very fast analytics. This new feature enables our clients to price almost in real time callable range accrual.”

 

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: 

  • Price-it® Online, an independent revaluation website for vanilla to the most exotic financial products 
  • Price-it® Excel, a latest generation financial library using a payoff language and cutting edge models 
  • Price-it® Source code, an extensive and professional development platform 
  • Price-it® API, a platform for seamless integration of pricers and analytics into STP solutions 
  • Price-it® for Kondor+ Suite®, a pricing library integrated into Thomson Reuters Kondor+ Suite® 
  • Price-it® for Summit MUST®, a financial library integrated into Misys Summit 

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.  

 

Media Contact: 

Yuxin Mao 

Pricing Partners 

Direct: +33 1 70 60 72 46 

Fax: +33 1 70 60 72 31 

Email: This e-mail address is being protected from spambots. You need JavaScript enabled to view it  

http://www.pricingpartners.com 

Join Pricing Partners on