Pricing Partners announced today that it added a stochastic rating model to its Price-it derivatives pricing library that enables to price ratings linked products.
Euro Medium Term Notes based on Rating have become more popular as ratings play a central role in the financial world and are easily understandable for investors. A typical structure is a note that pays a coupon that steps up if the rating of the underlying company falls below a certain rating. Using rating transition matrices, this model bootstraps transition densities and can be plugged within the generic platform to allow pricing accurately these rating dependent products.
Eric Benhamou, CEO of Pricing Partners, comments: “We are committed to excellence to provide a solution on all asset classes. This new extended feature in our financial library consolidates our market position in the derivatives pricing area. We believe that Price-it Library would be the best solution for clients who look for the full spectrum of pricing models.”
