Pricing Partners www.pricingpartners.com, the independent valuation expert and a world leader in mathematical models and analytics for derivatives and structured products, announced that the Price-it Library now supports the Multi Curves Method on yield curves to account for market dislocation in interest rates.
This announcement comes at a time when the spreads between EONIA, EURIBOR 1M, 3M, 6M and 12M have become major concerns, diverging from a few basic points to about a hundred during the climax of the crisis and stabilizing currently at about a few tens of basis points. Traditionally, users created as many curves as underlyings in order to accurately mark and price EONIA or EURIBOR 1M, 3M, 6M and 12M derivatives. With this new approach, the Multi Curve Approach, Pricing Partners users create a single, coherent curve based on a common discounting curve that relies on EONIA rates and various forwarding curves to account for the differences on each underlying. This new approach tends to spread in trading rooms and has been detailed and described by Bianchetti and Henrard in various publications.
Eric Benhamou, ceo of Pricing Partners and a former Goldman Sachs employee said: "Having a consistent approach on different curves such as EONIA, EURIBOR 1M, 3M, 6M and 12M, has become a very big concern among market players. At Pricing Partners, our philosophy is to offer our clients the latest tools to coherently price and value according to the latest market practices. The addition of the multi Curves Method continues to strengthen our leading position in the field of pricing models."
Founded by former professionals of the trading floor, working in investment banks like Goldman Sachs, Société Générale, Natixis or HSBC, Pricing Partners has become a major player in the financial derivatives fields in the past two years. In October 2008, Pricing Partners launched its Internet independent valuation platform, Price-it® Online, which affirms its leading place in financial modeling as well as an independent valuations provider. Designed for all major assets like Interest Rates, Equity, Inflation, Credit, Foreign Exchange, Commodities, and Life Insurance to Hybrid products, Price-it® comes either as a software tools or an Internet Platform, providing all the tools for the transparent valuation on structured products. Price-it® online uses cutting edge mathematical models together with a new language to describe the complexity of any structured products.
