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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