Pricing functions for easy and transparent valuations
Experts and colleagues at Quantlib have developed StatPro’s own pricing models. It covers a vast number of pricing functions for easy and transparent valuations of over the counter (OTC) derivatives and complex assets. The benefits of our complex asset pricing are:
- Reliable valuations: in combination with high quality market data inputs from blue chip data providers only, we are able to deliver the most reliable valuations for derivatives and complex assets within seconds.
- Access to Greeks and Risk Numbers: StatPro risk numbers are option-adjusted, capturing the complexity of instruments such as inflation-linked, callable, convertible bonds, MBS, with state-of-the-art arbitrage-free pricing models.
This valuable information is now seamlessly integrated with our fixed income attribution product. Inside this, our risk numbers are calibrated on clients’ prices, guaranteeing a superior quality and a unique feature to minimize performance decomposition residuals.
- Transparency: access the explanation of the asset pricing. See the terms & conditions, pricing method and underlying market data inputs. The integrated price replication allows the market data inputs to be changed to simulate the impact of prices too.
- Compliance: you need structured, replicable asset pricing processes for all complex assets to keep the regulators and auditors happy. StatPro’s unique price challenge offers the perfect answer.
- Flexibility: select different pricing frequencies, ranging from daily, same-day to monthly or less frequent valuations.