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SuperDerivatives upgrades FX options pricing platform

27 May 2003  |  2989 views  |  0 SuperDerivatives upgrades FX options pricing platform

SuperDerivatives has upgraded its benchmark FX options pricing system to include an improved vanilla options section and enhanced risk management features.

SuperDerivatives says the upgraded product now allows quick and easy pricing of many vanilla strategies.

The new release also provides better control in determining the term structures for pricing options and easy to use features to assist pricing of multi-leg strategies of all option classes. In another improvement, aimed at corporations, the multi-leg pricing page enables the entry of cash flows to check the efficiency of hedging.

In addition, the system's risk management portfolio has been upgraded to allow users to easily mark any options that have been expired, exercised or knocked in or out. Once this is done, the user's overall option portfolio, as well as spot and forward positions, is automatically adjusted.

The vendor has also added a correlation tool that provides the statistical relationship for 19 currency pairs for four different tenors. SuperDerivatives says the tool will improve efficiency in simultaneous hedging and trading of several currency pairs and will particularly help the pricing and hedging of illiquid currency options and multi-currency option classes.

David Gershon, chief executive, SuperDerivatives, says the firm's goal is to become a complete one-stop shop with deal capture and rate feed capabilities, first for currency options and then other asset classes.

"Part of this process is to provide the capability that allows simple, quick and accurate pricing of what can seem complicated structures," adds Gershon.

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