Indeed, one of the difficulties when pricing structured products is a lack of large volatility surfaces on equity, fx or commodity products. Leveraging the Gatheral smoothing method, Pricing Partners solution enables its end-users to generate reliable and large volatility surfaces. The firm benchmarked successfully its âsyntheticâ market data with real market data. These new analytical tools are shipped with Price-itÂ© Excel and allow creating volatility surfaces from strikes 10% to 200% and maturities up to 30 years.
Eric Benhamou, CEO at Pricing Partners comments: âSome of our clients were struggling to find accurate market quotes when pricing equity, fx or commodity products. We are contributing our efforts to find the best analytical tools to do better and smarter interpolation and extrapolation on the market data to access solutions like Thomson Reuters 3000 XtraÂ© or EikonÂ©. This is a must-have tool for derivatives end users that have limited access to market data but still want to have an accurate and robust price discovery mechanism. This should help them save substantial amount of time and money in pre-trade operations.â