|Pricing Brazilian Swaps with Pricing Partners - Jul 2011|
Pricing Partners, the world leader in OTC derivatives pricing analytics, mathematical models and independent valuations, announced today that the award winning Price-it© solution has been upgraded to support Brazilian swap conventions.
The BRL swap market uses indeed different convention from other swap markets. First of all, the year fraction between two dates is computed as the difference of business days between the two dates divided by 252. Secondly, the fixed swap rate is compounded and paid at maturity while the floating leg pays the compounded one day PRE-DI rate over the floating period. Therefore, the bootstrap algorithm needs to be modified to account for these particularities. In Price-it Library, the functions are now available to price Brazilian swaps.
Eric Benhamou, CEO of Pricing Partners comments: “In order to respond to various requests from our clients to price Brazilian swaps, we upgrade our derivatives pricing analytics to provide accurate pricing for the BRL market. Pricing Partners is excited to be able to offer our clients the most accurate commercial pricing library.”
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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.
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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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