18 July 2018
Visit www.gemalto.com

SuperDerivatives adds correlation tables to market data portal

30 May 2007  |  1528 views  |  0 Source: SuperDerivatives

SuperDerivatives, the benchmark for options and the world’s leading derivatives solution provider for multi-asset option pricing, independent revaluation, derivatives data, trading and risk management systems, has added downloadable correlation tables to its derivatives market data portal.

The correlation tables address the increased demand for timely and highly accurate correlation data at a time when correlation-dominated asset classes such as FX, energy, IR, equity and credit are taking center stage. The data - both within and across asset classes - is essential for trading and risk management of popular correlation strategies and structures such as baskets, Quanto options, Constant Maturity Swaps (CMS), Callable Power Reverse Dual Currency (PRDC) swaps and cross-asset knock outs. It is also a prerequisite for any sophisticated performance or risk reporting using methodologies such as Value at Risk (VaR).

Updated daily, the correlations tables augment SuperDerivatives' extensive market data offerings for third party risk management systems which include volatility surfaces, term structures, yield and forward curves, and implied dividend forecasts. All are produced using its benchmark option pricing model in conjunction with quality, validated rates from the company's global contributor network of brokers, exchanges and market-makers.

"Following the popularity of our correlation capabilities both within our real-time pricing and analytics platforms and via our automated portfolio revaluation service, we've decided to enable practitioners of all sectors to use them for enriching their own risk management systems or home grown spreadsheets," said Daniel Weigert, Head of the SuperDerivatives Revaluation Center. "The offering is based on the crucial combination of our global network of independent data contributors, data quality verification methodology, and our 12 year historical database and advanced analytics capabilities. We fully expect the correlation table offering to be as popular as our volatility surfaces which have become a recognized industry standard."

SuperDerivatives correlation tables span all asset classes - including currencies, interest rates, credit, equity, commodities and energy - across developed and emerging countries, exchange and OTC markets. Data files are accessible via the company's Revaluation Center 'Derivatives Data Portal' as downloadable Excel spreadsheets, automatically via Web Services Application Programming Interface (API), or using any market-standard format and protocol.

SuperDerivatives' products, including real-time multi-asset pricing and analytics systems, risk management systems, portfolio revaluation services, options market data portal and online trading capabilities, are used by numerous companies from both the buy and sell side. Its pricing platforms are used by almost all the banks around the world that trade options, as well as by numerous corporations, asset managers, hedge funds, auditors and central banks.

The SuperDerivatives' benchmark option pricing model is the only publicly available and market tested model whose accuracy in generating real market prices for all types of derivatives has been proven and validated continuously for several years.

Comments: (0)

Comment on this story (membership required)

Related company news


Related blogs

Create a blog about this story (membership required)
Visit info.nice.comVisit http://go.jumio.com/finextraAdVisit https://secure.vasco.com

Top topics

Most viewed Most shared
Metro Bank opens developer portalMetro Bank opens developer portal
9517 views comments | 5 tweets | 14 linkedin
Anything Visa can do...Mastercard takes time outAnything Visa can do...Mastercard takes ti...
8908 views comments | 6 tweets | 14 linkedin
Citi to streamline corporate receivables with HighRadiusCiti to streamline corporate receivables w...
7851 views comments | 1 tweets | 5 linkedin
Mastercard enlists Worldpay to push Vocalink's Pay by Bank appMastercard enlists Worldpay to push Vocali...
7790 views 19 comments | 14 tweets | 29 linkedin
Banks stand to reap $512 billion revenue boost from 'intelligent automation'Banks stand to reap $512 billion revenue b...
7661 views comments | 21 tweets | 30 linkedin

Featured job

to GBP £120K base, double ote, benefits
Frankfurt, Germany

Find your next job