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PRICE-IT LIBRARY
LATEST STANDARD FOR OTC DERIVATIVES PRICING

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Price-it Library

Price-it Library Pricing Analytics - Portfolio Management - Risk Management

Products
Price-it Library is an internally developed pricing and analytical tool. It empowers financial institutions to get accurate pricing of derivatives portfolio across all asset classes. The valuation process is completely transparent with details on models, calibration and data used which enables users to easily comply with the most stringent regulatory and auditing requirements. Price-it Library has several interfaces: Price-it Excel: a desktop user-based Excel add-in Price-it API: an in-house system connector Price-it Source Code: a source code development platform

Research and Development

The department of research and development (R&D) represents in average 40% of the companys resources and investments on yearly basis in order to ensure its positioning at the forefront of a constantly innovative world of derivative structuring. Led by Eric Benhamou and Mohammed Miri Supervised by a scientific committee headed by Nicole El Karoui and Bernard Lapeyre, respectively heading the laboratory of mathematics of Ecole Polytechnique and director of research of Ecole Nationale des Ponts et Chausses Series of lectures and scientific conferences Founding member of CREDINEXT that develops a new generation of mathematical models on structured products. This project regroups financial institutions, large investment banks, technology firms and also top-ranked French Universities.

Interface Characteristics
Ranging from vanilla to the most complex exotic and hybrid structures Simple and intuitive payoff description language Broad selection of cutting edge pricing models and numerical methods Large comprehensive sets of product templates Advanced portfolio structuring capabilities Comprehensive risk measurement reporting Full compability with the Price-it Online or other interfaces

Strengths and Benefits

Better user experience One click to obtain price and Greeks Completely transparent pricing process Timely risk insights on trades/portfolios Cost-effective derivatives pricing solution

2013 Pricing Partners All rights reservedd

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Price-it Library

Asset Class Coverage and Models

Fixed Income
Deterministic Short rate models: Hull and White 1,2 F, Quadratic Gaussian 1F (QGM) BGM: multi-factors (smiled version with shifted lognormal), BGM with stochastic volatility (Rebonato), BGM with stochastic volatility (Heston) Others: Markov Functional model 1 & 2 F, Hagan Adjusters Analytical, Black Scholes, Normal, SABR

Equity
Black Scholes Local Volatility: Dupire Stochastic Volatility: Heston, SABR, Piterbarg, Double Heston Local Volatility + Jump: Miri Benhamou Gobet, Andersen Stochastic Volatility + Jump: Bates Local + Stochastic Volatility: Andersen Stochastic Dividends

Inflation
Deterministic Benhamou Schauly (Index Model) Benhamou Belgrade Khoeler (Market Model) Mercurio Moreni

Commodity
Local Volatility: Dupire Stochastic Volatility: Heston, SABR, Piterbarg, Double Heston Local Volatility + Jump: Miri Benhamou Gobet, Andersen Stochastic Volatility + Jump: Bates Local + Stochastic Volatility: Andersen Gabillon and Gibson Schwartz - 1 and 2 factors Stochastic Convenience Yield

Credit
Single Name: - Deterministic Default Intensity Model - Schonbucher Stochastic Default Intensity Model - Log-Normal Spread Model - Stochastic Spread Model Basket: - Gaussian Copula and other Copula models: Clayton, Student, Marshall-Olkin 1, Double-t - Local correlation Model - Calibration: Rescaling to CDO Tranches with base correlation method

FX
Black Scholes, Vanna-Volga Black Scholes Local Volatility: Dupire Stochastic Volatility: Heston, SABR, Piterbarg, Double Heston Local Volatility + Jump: Miri Benhamou Gobet, Andersen Stochastic Volatility + Jump: Bates Local + Stochastic Volatility: Andersen

Life Insurance
Deterministic (piecewise constant, linear interpolation or exponential) Mortality Forecasting (Lee Carter)

Global Functionalities
Risk Management
Generic Monte Value at Risk (VaR) and Conditonal VaR (CVaR) for all models at deal and portfolio level Generic Credit Valuation Adjustment (CVA), CVA with Collateral (Margin Call, MTA, Threshold), DVA and Bilateral CVA, CVA-VaR computation engine for at trade and portfolio level Generic Potential Future Exposure engine (PFE), (EPE), (NPE) Deal Cash flow projection, Scenarios and What if capacity Multi-Currency Credit Support Annexes (CSAs)

Greeks
Generic Finite difference method for Greeks (Delta, Gamma, Vega, Cega, Rho) for all models Smooth Greeks computations in PDEs engine and with Malliavin weighting in Monte Carlo Closed forms Greeks on analytical formulae

Structuring
Generic Payoff scripting language Generic Solver for deal inputs calibration (ATM Strike, implied volatility, Barrier level etc..) Report tool for providing full deal description and deal cash flows NPV and Forward Values

2013 Pricing Partners All rights reservedd

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Price-it Library

For more information about Pricing Partners, please contact:

Pricing Partners 6 rue Rougemont Paris 75009 France Tel: +33 1 70 60 72 30 Email: sales@pricingpartners.com

www.pricingpartners.com

Technology Rankings 2010

Number one overall

Pricing and analytics

Pricing Partners, part of Thomson Reuters, is an international software provider of derivatives pricing analytics and a valuation service provider for all OTC derivatives ranging from vanilla to the most complex exotic and hybrid structures, as well as proprietary algorithmic indices. Its best-of-breed financial library, Price-it, in stand-alone or SaaS mode, covers all major asset classes: interest rates, equity, inflation, credit, foreign exchange, commodities, variable annuities and hybrid products. Pricing Partners intrinsic knowledge and innovative solutions empower financial institutions to achieve accurate and transparent valuations on their derivative structures. Pricing Partners is the award winner of Structured Products Technology Rankings from 2010 to 2013. In 2013, Pricing Partners became a part of Thomson Reuters to combine our industry-leading OTC derivatives position with the brand reputation, scale and broad capabilities of Thomson Reuters Pricing Service.

2013 Pricing Partners All rights reservedd