Pricing Integration

Overview

The Horizon platform can integrate proprietary valuation models, as part of the list of libraries available in the system. Horizon has also strong experience in integrating external systems into its software. All non-trading related services can be externalized and imported to the Horizon platform thanks to our scripting framework. The system can easily integrate an external pricing model.

Based on long-standing experience, Horizon considers that the most straightforward approach is not to integrate the model itself but to rely on the capacity to quickly get results from any model within the bank. In such a scenario, our client would provide a price engine that could generate prices for any type of product that Horizon is able to support.

Horizon can query once a day if the product is very time-consuming to price. Alternatively, the external price engine can define a spot validity range. Horizon offers an API which notifies the external price engine that a spot has gone out of the valid range. When such an event occurs, the external price engine must calculate a new price and submit it to Horizon.

Horizon uses interpolation of the second order on the multi-underlying for all products and the platform will build a fair value based on this interpolation mechanism. From the fair value the solution will add shift – this shift could be a function as well – also taking into account some linear or nonlinear amortization over time as well as a spread, with various combination of tick/cash/vega/% sensitivities.

The function can be inserted into Horizon or could be external and Horizon will add a spread with specific logic from the bank or in Horizon (percentages, tick, cash, etc.). Also, specific margin management procedures can be added to pre-define margin allocation within the pricing of the product displayed to the end-client. With this model, the platform memorises all the valuations provided by the bank (a process called “external price cash”) and any new instrument that the bank is capable of pricing and that must be quoted thanks to Horizon, can be added with no need for additional integration.

Pricing Integration

Key features

Top benefits

  • Integration of prop valuation models or external libraries
  • Management of the spot range
  • Interpolation mechanism on multi-underlying
  • Specific margin management
  • Amortisation from the fair value
  • Open scripting framework for integration
  • Quote once a day if necessary
  • Integration of multiple pricing strategies
  • Recording of valuations
  • Pricing of any instrument