Pricing Rainbow Options
Imagine’s clients are making increasing use of our Monte Carlo Generator to price multi-asset best-of/worst-of options (aka Rainbow Options). The pricing solution presented in this blog leverages the flexibility of the Imagine Financial Platform (IFP). More specifically, the IFP Model Interface and the IFP Monte Carlo Simulation Generator, as described below.
LONDON – January 27, 2017 – Imagine received top honors as the ”Best Provider of Real-Time Portfolio, Risk and Regulatory Solutions” at the annual Hedge Fund Journal awards event celebrating outstanding industry achievements.
New CFTC guidelines around the clearing of swaps are putting unprecedented demands on futures commission merchants (FCMs). With the timeframe to accept or reject a trade for clearing now slashed down to exactly a minute, FCMs are grappling with the challenge of implementing systems to simultaneously calculate and monitor multiple measures of risk at high speeds and high volumes.