Pricing Partners announced today to enhance its derivatives pricing library with smoother and faster Greeks for its PDE engine.
In an effort to provide faster and smoother Greeks for its generic PDE engine, Pricing Partners has recently enhanced its generic PDE grid engine equipped with on-the-fly Greeks calculations with a fixed grid. This accelerates substantially the computation of the Greeks and provides very accurate delta, Gamma and theta for virtually any payoff computed with its generic PDE grid engine.
Eric Benhamou, CEO of Pricing Partners and a former Goldman Sachs quant commented: “As clients are using more and more our platform for trading purposes, it becomes crucial to provide accurate and smooth Greeks. This improvement should give a strong advantage to our pricing platform and strengthen our leading position in the OTC derivatives pricing field.”