Pricing Partners Adds a Stochastic Rating Model to its Financial Library

Euro Medium Term Notes based on Rating have become more popular as ratings play a central role in the financial world and are easily understandable for investors. A typical structure is a note that pays a coupon that steps up if the rating of the underlying company falls below a certain rating.  Using rating transition matrices, this model bootstraps transition densities and can be plugged within the generic platform to allow pricing accurately these rating dependent products.

Eric Benhamou, CEO of Pricing Partners comments: “We are committed to excellence to provide a solution on all asset classes. This new extended feature in our financial library consolidates our market position in the derivatives pricing area. We believe that Price-it Library would be the best solution for clients who look for the full spectrum of pricing models.”

About Pricing Partners:

Set up by former professionals of the trading industry, Pricing Partners offers accurate solutions for derivatives products valuation, pricing tools and risk analytics with full transparency.

Pricing Partners delivers:

-Price-it® Online, an independent revaluation website for vanilla to the most exotic financial products

-Price-it® Excel, a latest generation financial library using a payoff language and cutting edge models

-Price-it® Source code, an extensive and professional development platform

-Price-it® API, a platform for seamless integration of pricers and analytics into STP solutions

-Price-it® for Kondor+ Suite®, a pricing library integrated into Thomson Reuters Kondor+ Suite®

-Price-it® for Summit MUST®, a financial library integrated into Misys Summit

Pricing Partners offers cover commodity, credit, equity, fixed income, fx, funds, inflation, interest rates, life insurance and hybrids OTC products. They are widely adopted by investment banks, asset management firms, hedge funds, corporations, pension funds, fund administrators and audit firms.

Pricing Partners holds offices in Paris, London, Singapore and Hong Kong. Its solutions have been ranked the overall winner in Pricing and Analytics by Structured Products Magazine in 2010 and 2011.