A tool for accurately valuing over-the-counter and exchange-traded derivatives has been launched by SuperDerivatives.
The Revaluation Investigation and Analysis system will validate valuations for complex and vanilla derivatives in all asset classes.
It is a web based interactive application which allows the user to provide a set of shifts in the underlying yield curves and volatility surfaces and the system displays the resulting valuations and associated risk measures.
The tool enables users to analyse the pricing assumption of individual trades and for price sensitivity comparison and stress testing of large portfolios of instruments. The results are shown within SuperDerivatives’s various displays and can be exported to a spreadsheet, to in-house systems, or third party application.
The system is an enhanced capability to SuperDerivatives’s suite of applications and data services that address the needs of the OTC market. It uses cloud computing and sophisticated methods to accelerate calculations of risk measures in large portfolios.
David Gertler, director of strategic sales at SuperDerivatives, says: “We firmly believe this will mark a sea change in the way fund managers mange and value OTC and exchange traded derivatives for their clients.”
“These are instruments which have a real world use to manage risk. Regulators agree that seeking an independent valuation based on the best available data across the widest range of instruments is best practice. We have delivered the tool for this need.”
