Kalahari, a global provider of real-time price discovery and analytic solutions to financial and energy trading institutions in over 15 countries, today announced the launch of an Interest Rate Options Pricing System for the Asian Pacific region.
The new pricing model gives customers the ability to price Swaptions, Caps & Floors and Amortising/Roller Coaster Caps and Floors in an assortment of European & Asian currencies. Specifically, the Asian currencies covered include: Japanese Yen; Australian Dollar; New Zealand Dollar; Korean Won; Taiwanese Dollar; Chinese Renminbi; Hong Kong Dollar; Singapore Dollar; Thai Baht; Malaysian Ringitt; Indonesian Rupiah; U.A.E. Diram and Indian Rupee. G7 currencies can also be added to the Asian Model meaning that customers need sign-up to one pricing system only.
The pricing grids allow Straddles/Strangles strategies to be priced. The system also makes use of volatility grids across all the currencies in the system with the added ability to model a smile in the Caps & Floors pricing screens.
Graham Mansfield, Managing Director at Kalahari said: “An efficient engine to price instruments and distribute prices to clients is essential. This new model provides a fast and transparent pricing approach that performs accurately, consistently and quickly in the fast-changing world of global markets. We are delighted that ICAP are the first to use our new Asian Interest Rate Options model to help them drive accurate pricing and customer retention in the Asia Pacific region.”
This newly released model complements the existing analytic capabilities of Kalahari’s flagship product, kACE. kACE is the industry’s leading real-time price discovery and analytics solution designed for enterprise-wide use at broking firms, banks and other financial institutions and corporations. With flexibility and control as the driving design principles, kACE gives traders the tools and the freedom to innovate and concentrate on what they do best – calculate and effect the trading opportunity.