Source: Pricing Partners
Pricing Partners, the world leader in OTC derivatives pricing analytics, mathematical models and independent valuations, announced today to have implemented specific closed form solution for general callable range accrual products speeding up the computation by a factor of 100.
End users are interested in computing their derivatives books at a portfolio level. Traditionally, the callable range accrual on CMS Spreads takes long time to price when using a generic payoff language, as one does not leverage some specific tricks to speed this product up. Pricing Partners has developed a closed form solution pricing to accelerate tremendously the pri¬cing of the callable range accrual on CMS Spreads and to make it close to real-time.
Eric Benhamou, CEO of Pricing Partners comments: "With this new feature, we continue to deliver substantial added-value with a high pricing performance. Clients require not only the right price, but also very fast analytics. This new feature enables our clients to price almost in real time callable range accrual."