SuperDerivatives, a derivatives applications 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 the increased demand for timely and highly accurate correlation data at a time when correlation-dominated asset classes such as FX, energy, IR, equity and credit are taking center 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 (CMS), Callable Power Reverse Dual Currency (PRDC) swaps and cross-asset knock outs, SuperDerivatives said in a statement.
“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 Center. “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 recognized industry standard.”