SuperDerivatives upgrades forex options pricing platform

SuperDerivatives, a London-based foreign exchange pricing company, has upgraded its currency options pricing system.

The new release provides better control in determining the term structures for pricing options, and includes features to assist pricing of multi-leg strategies of all option classes. Another improvement, aimed at corporations, is a multi-leg pricing page that enables the entry of all cashflows into the system to check the efficiency of a company's hedging activities.

A new correlation tool provides the statistical relationship for 19 currency pairs for four different tenors. SuperDerivatives said the tool will improve efficiency in the simultaneous hedging and trading of several currency pairs, and will help the pricing and hedging of illiquid currency options and multi-currency option classes.

The company also updated the system’s risk management portfolio to allow users to mark any options that have expired, exercised or knocked in or out. Once this is done, the users’ overall option portfolio, as well as spot and forward positions, are automatically adjusted.

Citigroup, JP Morgan Chase, Merrill Lynch, Société Générale, Commerzbank, ING and Mizuho all use SuperDerivatives technology.

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Chartis RiskTech100® 2024

The latest iteration of the Chartis RiskTech100®, a comprehensive independent study of the world’s major players in risk and compliance technology, is acknowledged as the go-to for clear, accurate analysis of the risk technology marketplace. With its…

T+1: complacency before the storm?

This paper, created by WatersTechnology in association with Gresham Technologies, outlines what the move to T+1 (next-day settlement) of broker/dealer-executed trades in the US and Canadian markets means for buy-side and sell-side firms

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here