SuperDerivatives upgrades forex options pricing platform

The new release provides better control in determining the term structures for pricing options, and includes features to assist pricing of multi-leg strategies of all option classes. Another improvement, aimed at corporations, is a multi-leg pricing page that enables the entry of all cashflows into the system to check the efficiency of a company's hedging activities.

A new correlation tool provides the statistical relationship for 19 currency pairs for four different tenors. SuperDerivatives said the tool will improve efficiency in the simultaneous hedging and trading of several currency pairs, and will help the pricing and hedging of illiquid currency options and multi-currency option classes.

The company also updated the system’s risk management portfolio to allow users to mark any options that have expired, exercised or knocked in or out. Once this is done, the users’ overall option portfolio, as well as spot and forward positions, are automatically adjusted.

Citigroup, JP Morgan Chase, Merrill Lynch, Société Générale, Commerzbank, ING and Mizuho all use SuperDerivatives technology.

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Next-generation technologies and the future of trading

At a webinar in association with capital markets technology provider Numerix, panellists discuss the potential for increased adoption of the public cloud to boost investment performance, its impact on risk management and overcoming barriers to…

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