Valuations vendor Pricing Partners has launched a new source code solution and development platform for its flagship derivatives pricing and risk management solution Price-it. According to the vendor, the new solution is aimed at expediting the creation and development of a user’s quantitative pricing library, as well as reducing the project risk involved in such an endeavour.
To this end, Price-it Source Code allows users access to the solution’s analytics and pricing models source code, thus enabling them to reuse this code and begin the development of a quantitative library with a large base of models and analytics. The source code provided by the solution covers pricing models, numerical methods, calibration engine and analytics, and provides approximately 90% of the total code, says the vendor.
Eric Benhamou, CEO of the vendor, explains: “In Price-it Source code, clients have access to the source code of key parts in the pricing chain. Hence, they are insured of total flexibility and transparency for the future evolution of their pricing library and analytics.”
The solution provides a C++ library with approximately 1,200 classes and 600,000 lines of code, with API interfaces for standard Dll, Excel Xll, Com Dlls, Java JNI, XML, Misys Summit and Lexifi softwares, says Benhamou. It comes with a suite of testing environment and an auto-generation tool to rapidly export functions. It also covers a range of financial derivatives including credit, commodity, equity, foreign exchange, inflation, life insurance, fixed income, interest rates and hybrids.
Benhamou claims this is the first offering of its kind to provide source code to users and allow them to develop their own pricing libraries. The offering is reflective of the current market focus on transparency within valuations and the desire within financial institutions to retain a large proportion of this data in-house. By allowing firms to develop their own in-house libraries, the vendor is hoping to garner the share of the market that may be reticent to outsource this function.
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