Source: Pricing Partners
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 Vol Target product with a specific keyword on realized historical volatility.
The 2008 crisis has emphasized the needs for more managed strategies with lower volatilities especially when it comes to managed funds underlying variable annuities contracts. Volatility Target contracts are dynamic baskets, composed of risky and non risky assets, similar to CPPI but with a specific volatility target to prevent from exploding volatility. Pricing these contracts has been dramatically simplified in Price-it language with the introduction of a new keyword called HistoVol that computes the expected realized historical volatility.
Eric Benhamou, CEO of Pricing Partners comments: "We are continuously improving our software to give our clients the best technology available to price trendy products. Vol Target products are one of them and we have spent time and effort to come up with a very efficient solution and to reinforce the leading position of our Variable Annuities module."