SuperDerivatives upgrades forex options pricing platform
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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