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Pricing Partners Introduced a Quantitative Methodology to Generate Inflation Volatility Surface

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Pricing Partners announced today that its Price-it library now includes analytical tools to estimate inflation volatility surface combining historical estimates and implied interest rates smiles surfaces.

These analytical tools can provide reliable estimation of the smiled inflation surface on all major inflation indexes such as the European, French, Japanese, American or British HICP ones. This announcement comes at a time when demand for inflation products keeps climbing on due to the concerns on increased inflation.

Eric Benhamou, CEO of Pricing Partners, comments: “In the derivatives valuation space, mathematical models are certainly important, but they are not everything. Market data are starting to play a more vital role. Therefore, it is important to bring some compelling analytical tools to our clients to estimate more accurately market data to which they have a limited access. As part of our continuous efforts to enlarge the scope of our analytics addressing market data issues, we have added these new features to estimate inflation volatility surface. Our clients can start taking advantage of these new features to price the inflation derivatives more accurately.”

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