Pricing Partners announced today that it has extended Price-it language to price faster correlation and dispersion swaps.
Correlation and dispersion swaps allow taking view on implied versus historical correlation. These products have been popular for a few years. Pricing them in a generic scripting language payoff framework could be very cumbersome. Hence, Pricing Partners developed specific tools to price rapidly these products and to cope with exotic correlation and dispersion swaps with a dedicated correlation keyword.
Eric Benhamou, CEO of Pricing Partners, comments: “With the new correlation keyword, Pricing Partners end users can have a concise and precise description on correlation and dispersion swap and price them fast. This enhancement should position us more on flow products.”