Icap Bows End-of-Day Equity Derivatives Pricing Curves

Service will provide investment managers with valuation tools to conduct portfolio analysis and hedge risk.


Developed with Toronto-based valuations provider Prism Valuation, in which Icap holds a minority stake, the service uses listed options data and historical trade data from Icap to create an investment model verified using the broker's daily trade data.

The broker then emails a CSV file containing the surfaces and curves at 5:30pm each day, or allows users to download the data from an FTP site.

Kevin Taylor, managing director of Icap Information Services, says the new service "provides investment

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