Pricing Partners extends Price-it language to correlation and dispersion swaps
Pricing Partners, the world leader in OTC derivatives pricing analytics, mathematical models and independent valuations, announced today that it has extended the award winning Price-it language to price faster correlation and dispersion swaps.
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Correlation and dispersion swaps allow taking view on implied versus historical correlation. These products have been popular for a few years. Pricing them in a generic scripting language payoff framework could be very cumbersome. Hence, Pricing Partners developed specific tools to price rapidly these products and to cope with exotic correlation and dispersion swaps with a dedicated correlation keyword.
Eric Benhamou, CEO of Pricing Partners comments: "With the new correlation keyword, Pricing Partners end users can have a concise and precise description on correlation and dispersion swap and price them fast. This enhancement should position us more on flow products."