LATEST STANDARD FOR OTC DERIVATIVES PRICING

P A R T O F T H O M S O N R E U T E R S

PRICE-IT® LIBRARY

Price-it® LibraryPricing Analytics - Portfolio Management - Risk Management

© 2013 Pricing Partners All rights reservedd

Price-it® LibraryP A R T O F T H O M S O N R E U T E R S

Research and Development

The department of research and development (R&D) represents in average 40% of the company’s re-sources 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

• SupervisedbyascientificcommitteeheadedbyNicole El Karoui and Bernard Lapeyre, respec-tively heading the laboratory of mathematics of Ecole Polytechnique and director of research of Ecole Nationale des Ponts et Chaussées

• Seriesoflecturesandscientificconferences

• Founding member of CREDINEXT that develops a new generation of mathematical models on structuredproducts.Thisprojectregroupsfinan-cial institutions, large investment banks, techno-logyfirmsandalsotop-rankedFrenchUniversi-ties.

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

Products Price-it® Library is an internally developed pricing and analytical tool. It empowers financial institutions to getaccurate 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

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

© 2013 Pricing Partners All rights reservedd

Price-it® LibraryP A R T O F T H O M S O N R E U T E R S

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 stochas-tic volatility (Heston)

• Others: Markov Functional model 1 & 2 F, Hagan Adjusters

• Analytical, Black Scholes, Nor-mal, SABR

FX• Black Scholes, Vanna-Volga

Black Scholes • Local Volatility: Dupire • Stochastic Volatility: Heston,

SABR, Piterbarg, Double Hes-ton

• Local Volatility + Jump: Miri Benhamou Gobet, Andersen

• Stochastic Volatility + Jump: Bates

• Local + Stochastic Volatility: Andersen

Equity• Black Scholes • Local Volatility: Dupire• Stochastic Volatility: Heston, SABR,

Piterbarg, Double Heston• Local Volatility + Jump: Miri Benha-

mou Gobet, Andersen • Stochastic Volatility + Jump: Bates • Local + Stochastic Volatility: Ander-

sen • Stochastic Dividends

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

Asset Class Coverage and Models

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 Ben-

hamou Gobet, Andersen • Stochastic Volatility + Jump:

Bates • Local + Stochastic Volatility:

Andersen • Gabillon and Gibson Schwartz

- 1 and 2 factors –Stochastic Convenience Yield

Life Insurance• Deterministic (piecewise

constant, linear interpolation or exponential)

• Mortality Forecasting (Lee Carter)

Global FunctionalitiesRisk 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)

• DealCashflowprojection,ScenariosandWhatifcapa-city

• 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

anddealcashflowsNPVandForwardValues

Price-it® LibraryP A R T O F T H O M S O N R E U T E R S

For more information about Pricing Partners, please contact:

© 2013 Pricing Partners All rights reservedd

Pricing Partners6 rue Rougemont Paris 75009 FranceTel: +33 1 70 60 72 30

Technology Rankings 2010Number 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, aswellasproprietaryalgorithmic indices. Itsbest-of-breedfinancial library,Price-it®, instand-aloneorSaaSmode,coversallmajorassetclasses:interestrates,equity,inflation,credit,foreignexchange,commodities,variableannui-tiesandhybridproducts.PricingPartners’intrinsicknowledgeandinnovativesolutionsempowerfinancialinstitutionsto 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.

Email: sales@pricingpartners.com

www.pricingpartners.com