Pricing Partners 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 pricing 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.”
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