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A-Team Insight Blogs

Pricing Partners Offers New Methods to Generate Large Volatility Surface for Thomson Reuters Market Data Users

Pricing Partners, the world leader in OTC derivatives pricing analytics, mathematical models and independent valuations, announced today that its award winning Price-it has been upgraded to provide analytical tools to compute large volatility surfaces from option data provided by Thomson Reuters 3000 Xtra or Eikon solution.

Indeed, one of the difficulties when pricing structured products is a lack of large volatility surfaces on equity, fx or commodity products. Leveraging the Gatheral smoothing method, Pricing Partners solution enables its end-users to generate reliable and large volatility surfaces. The firm benchmarked successfully its ‘synthetic’ market data with real market data. These new analytical tools are shipped with Price-it Excel and allow creating volatility surfaces from strikes 10% to 200% and maturities up to 30 years.

Eric Benhamou, CEO at Pricing Partners comments: “Some of our clients were struggling to find accurate market quotes when pricing equity, fx or commodity products. We are contributing our efforts to find the best analytical tools to do better and smarter interpolation and extrapolation on the market data to access solutions like Thomson Reuters 3000 Xtra or Eikon. This is a must-have tool for derivatives end users that have limited access to market data but still want to have an accurate and robust price discovery mechanism. This should help them save substantial amount of time and money in pre-trade operations.”

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