Sophis, a self-styled provider of portfolio and risk management solutions to the sell-side and the buy-side, has released a new version of Convertibles On-Line, its database with an integrated pricing library for convertible bonds. The new version includes enhanced analytics as well as the new thing in convertible pricing: Partial Differential Equations (PDE).
By launching this new version of Convertibles On-Line software, Sophis claims to be the first provider to have integrated a PDE solver engine into a convertibles pricing tool. “The use of PDE is a real step forward in the market for convertibles,” says Sophis. “They indeed provide higher flexibility to take into account all events in the life of a derivatives underlying, and ensure more accurate pricing and Greek indicators.”
The first version of Convertibles On-Line was launched by Sophis in 1989. The database currently covers around 2,000 international convertible bonds, from all European countries, the United States, Japan and South-East Asia. Convertibles On-Line data is monitored by a team of analysts , who update it daily with historical data, including bond prospectuses, details of bond clauses, and redemption conditions.
Convertibles On-Line also offers analytical tools, such as historical/implied volatilities, and yield curves, and a library of pricing models.
Sophis says Convertibles On-Line is designed for all Convertible bonds trading and brokerage operations and is used by traders, market makers, sales people, asset managers, analysts and researchers in more than 40 financial institutions around the world.