Pricing Partners (www.pricingpartners.com), the independent valuation expert and a world leader in mathematical models and pricing analytics for derivatives and structured products, announced today to enhance its CMS Spread and CMS Spreads range accrual products pricing.
CMS Spread and CMS Spreads range accrual have been the bread and butter in interest rates derivatives. Pricing Partners has lately strengthened its pricing engine to provide analytical pricing for CMS spread and CMS spreads range accrual. This leverages the Hagan Adjuster methodologies in order to price more accurately these very popular products.
Eric Benhamou, ceo of Pricing Partners and a former Goldman Sachs employee commented: “Driven by market evolution towards more vanilla products with closed forms pricing, we are revisiting some of our generic platforms to provide faster and more accurate pricers.”
