SDRM - the SuperDerivatives Risk Management system - allows the client to analyse single options or portfolios in real time on more than 80 types of options and 50 currency pairs. Traders and sales staff will be able to use SuperDerivatives to price, analyse and then enter deals into SDRM with a single button click, said Gershon.
Although the firm’s currency options pricing system - now dubbed SDFX - and SDRM are separate systems, they communicate with each other to provide full straight-through processing, said Gershon.
P&L and 'greeks' for the risk engine are all based on live real-time market prices from the SuperDerivatives calculation engine rather than theoretical values, he added.
Unlike SDFX, the new risk management product is not web-based but is installed locally. A key selling point of the new product will be that buyers of SDRM can also opt to have their SDFX system locally installed, said Gershon.
Clients have yet to be announced, but SuperDerivatives has demonstrated it to about 15 banks. Their feedback has since been incorporated into the system, Gershon said.