Horizon Software has been selected by Euronext, the leading exchange in the Eurozone, for monitoring and pricing derivatives instruments in real-time and to calculate and disseminate settlement prices on an intra-day basis.
Horizon Software provides a customised version of its trading platform. The advanced volatility management tools will enable to permanently autofit volatilities, adjust them manually, price derivatives and set trading limits automatically for market participants. Euronext will use the volatility and pricing models available in the system to monitor tens of thousands of options and futures in real-time. The platform embeds several models for pricing derivatives such as Black-Scholes, Garman–Kohlhagen, Binomial, Cox-Ross, PDE, Trinomial, and several volatility models such as Asymptotic Volatility and Dynamic Skew.
Denis Esnault, Chief Information Officer at Euronext, said, “We used a proprietary system at Euronext to manage pricing and settlement. Despite being very much tailored to our business, the system was difficult and expensive to maintain, and not scalable enough to support our growth. Horizon has a deep expertise in pricing derivatives and volatility management coupled with a specific edge in aligning its scalable platform to sophisticated clients’ requirements. We are confident that with this new software we will meet our targets and its comprehensive footprint will help us to support our global operations.”
Sylvain Thieullent, CEO of Electronic Trading EMEA and Americas at Horizon Software, commented, “The scalability of our software allows clients to easily extend its use as and when needed, while containing hardware costs. The flexibility provided by our scripting module, Horizon Automated Trader, natively embedded in all our software, will allow users to customise their experience and automate repetitive tasks”.
With continuous investment in R&D, Horizon Software offers ergonomic and efficient user interfaces, along with scalable software based on a Service Oriented Architecture, which allows clients to attain high performances of calculation with a very low hardware footprint.
With branches in the Americas, Europe and Asia, extended support will be provided from the middle of the night until the end of each trading day.
