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Pricing Partners extends multi-curve pricing to major currencies

16 February 2011  |  1724 views  |  0 Source: Pricing Partners

Pricing Partners, the world leading derivatives independent valuation and mathematical models and pricing analytics provider, announced today to improve its multi-curve pricing to major currencies.

This announcement comes at a time when the market dislocation between the 3 month and the 6 month curves for all major currencies widen from a few basic points to a few tens of basic points. Pricing Partners now extends the methodology that was set in place in EUR to major currencies such as USD, GBP, JPY, CHF, AUD, HKD.

The multi-curve approach allows creating a unified and coherent curve using a common discounting curve and various forwarding curves. One has become market standard in trading rooms and has been broadly discussed as one of the major evolution in 2010 for interest rates' derivatives.

Eric Benhamou, CEO of Pricing Partners comments: "Having a consistent approach on different curves is vital if you want to price accurately interest rates products. Pricing Partners keeps developing its advanced financial derivatives analytics to offer our clients the latest tools and technology to price according to the latest market practices. We have been a pioneer in implementing this methodology to all the major currencies. We will continue to strengthen our leading position in the field of derivatives pricing models."

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