The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

Pricing Partners Extended Multi-Curve Pricing to Major Currencies

Pricing Partners, a derivatives independent valuation and mathematical models and pricing analytics provider, announced today to improve its multi-curve pricing to major currencies.

This announcement comes at a time when the market dislocation between the three month and the six month curves for all major currencies widen from a few basic points to a few tens of basic points. Pricing Partners now extends the methodology that was set in place in EUR to major currencies such as USD, GBP, JPY, CHF, AUD, HKD.

The multi-curve approach allows creating a unified and coherent curve using a common discounting curve and various forwarding curves. One has become market standard in trading rooms and has been broadly discussed as one of the major evolution in 2010 for interest rates’ derivatives.

Eric Benhamou, CEO of Pricing Partners, comments: “Having a consistent approach on different curves is vital if you want to price accurately interest rates products. Pricing Partners keeps developing its advanced financial derivatives analytics to offer our clients the latest tools and technology to price according to the latest market practices. We have been a pioneer in implementing this methodology to all the major currencies. We will continue to strengthen our leading position in the field of derivatives pricing models.”

Related content

WEBINAR

Recorded Webinar: A new way of collaborating with data

Digital transformation in the financial services sector has raised many questions around data, including the cost and volume of reference data required by each financial institution. Firms want to pick and choose the reference data they need to fulfil their requirements. Emerging solutions with the potential to decrease the cost of data and increase flexibility...

BLOG

n-Tier Blockchain-Based Reference Data Consensus Solution Aims to Drive Down Errors and Costs

As reference data volumes continue to soar, bringing with them huge data cleansing, validation and management costs, financial institutions are beginning to consider collaborative solutions that can improve data accuracy while reducing cost. n-Tier, a New York headquartered company that helps firms ensure accuracy and completeness of reference data, has joined the party with a...

EVENT

Data Management Summit USA Virtual

Now in its 11th year, the Data Management Summit USA Virtual explores the shift to the new world where data is redefining the operating model and firms are seeking to unlock value via data transformation projects for enterprise gain and competitive edge.

GUIDE

BCBS 239 Data Management Handbook

Our 2015/2016 edition of the BCBS 239 Data Management Handbook has arrived! Printed copies went like hotcakes at our Data Management Summit in New York but you can download your own copy here and get access to detailed information on the  principles and implications of BCBS 239 on Data Management. This Handbook provides an at-a-glance...