GFI said the software, which it intends to start selling in the fourth quarter of this year, will be aimed at any user of credit derivatives. A key feature will be a pricing tool for credit default swaps. It will have a live data feed to GFI and will let users route orders directly to the company’s brokers.
Hull commented: “By comparing the results of our models in Fenics Credit against actual trades that occurred at GFI, we can verify the models and increase their attractiveness as an independent pricing benchmark.”
GFI's marketing director Michel Everaert said the chargeable service, targeted at all credit derivatives users, is aimed at making the instruments more fungible. GFI's goal is to standardise credit default swaps pricing in a similar way to what occured in the FX markets about a decade ago.
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