Swaptions expiries complicate portfolio optimisation runs
triBalance and Quantile users call for better post-trade co-ordination between dealers
Confusion over swaptions expiries caused problems for dealers trying to optimise their non-cleared derivatives portfolios last week. Dealers say it highlights the need for better co-ordination when managing the process, especially as more firms turn to portfolio optimisation to reduce their margin costs.
Optimisation services provided by TriOptima’s triBalance and Quantile Technologies have been
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