SuperDerivatives provides multi-asset correlation tables via market data portal
SuperDerivatives, a leading derivatives solution provider for multi-asset option pricing, independent revaluation, derivatives data, trading and risk management systems, has added downloadable correlation tables to its derivatives market data portal.
The correlation tables address increased demand for timely and highly accurate correlation data at a time when correlation-dominated asset classes such as foreign exchange, energy, interest rates, equity and credit are taking centre stage.
The data - both within and across asset classes - is essential for trading and risk management of popular correlation strategies and structures such as baskets, quanto options, constant maturity swaps, callable power reverse dual currency swaps and cross-asset knock-outs. It is also a prerequisite for any sophisticated performance or risk reporting using methodologies such as value at risk.
Updated daily, the correlations tables augment SuperDerivatives' market data offerings for third-party risk management systems, which include volatility surfaces, term structures, yield and forward curves, and implied dividend forecasts. All are produced using its benchmark option-pricing model in conjunction with validated rates from the company's global contributor network of brokers, exchanges and market-makers.
'Following the popularity of our correlation capabilities both within our real-time pricing and analytics platforms and via our automated portfolio revaluation service, we've decided to enable practitioners of all sectors to use them for enriching their own risk management systems or home-grown spreadsheets,' says Daniel Weigert, head of the SuperDerivatives revaluation centre.
'The offering is based on the crucial combination of our global network of independent data contributors, data quality verification methodology, and our 12-year historical database and advanced analytics capabilities. We fully expect the correlation table offering to be as popular as our volatility surfaces, which have become a recognised industry standard.'
SuperDerivatives correlation tables span all asset classes, including currencies, interest rates, credit, equity, commodities and energy, across developed and emerging countries, exchange and OTC markets. Data files are accessible via the company's revaluation centre derivatives data portal as downloadable Excel spreadsheets, automatically via web services application programming interface, or using any market-standard format and protocol.
SuperDerivatives' products, including real-time multi-asset pricing and analytics systems, risk management systems, portfolio revaluation services, options market data portal and online trading capabilities, are used by numerous companies from both the buy and sell side. Its pricing platforms are used by almost all banks worldwide that trade options, as well as by corporations, asset managers, hedge funds, auditors and central banks. The firm has offices in London, New York, Tokyo, Singapore, Buenos Aires, Hong Kong, Sydney and Paris.
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