Pricing Service Offered by Icap Information Services
IIS to partner with Prism Valuation.
Icap Equity Derivatives will include volatility surfaces, variance swap curves and forward curves for the top 13 global equity indices, including maturities from one month up to 10 years and strikes between 5 percent and 400 percent of spot.
Information is delivered in end-of-day file format at 5:30 p.m. EST each day, and is available through download on a file transfer protocol (FTP) site or via email as a comma-separating values (CSV) file.
Icap Equity Derivatives uses calculation and extrapolation techniques in addition to listed option data from exchanges, historical Icap trade data and the variance swap curve.
"Icap Equity Derivatives provides investment managers with sophisticated valuation tools that enable them to conduct accurate portfolio analysis, forecast volatility and hedge against risk in the over-the-counter (OTC) equity derivatives markets," says Kevin Taylor, managing director IIS.
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