SuperDerivatives, a software house set up in 1999 by former derivatives dealers, has added a new facility to its online currency options pricing system to allow users to price structured products on a single page.
The tool removes the need to calculate the component legs of the structure individually and then combine them after each individual price has been downloaded or input onto a separate spreadsheet, says the company.
The new function also removes the risk of misquotes. Previously, quoting structured products has entailed the calculation of the value of each single option, or combination of options and forwards, required for the strategy.
Among the structures now available on the site are step premium and improver options, which require many different calculations. In a step premium option, the amount of premium paid or received is affected when the spot rate reaches several predetermined levels. Improver strategies allow the changing of the strike rate when spot reaches different levels. Other structured products include more sophisticated classes, such as faders, where the notional amount of the option depends on spot level at different dates during the options’ life.
All individual trades can be booked through SuperDerivatives’ deal capture facility. Customers have the choice of how to book the trades, either in combination as a single structured product, or as separate transactions.