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Basket pricer

The basket pricer calculates bid and ask prices of linear combinations of instruments, such as baskets and option combinations. It can optionally also compute bid and ask volumes, that are implied from the legs, if you wish to trade the basket or combination.

The basket pricer is a highly optimized pricing application that calculates a price index as a weighted average of prices of the basket constituents. It is also capable of calculating implied prices and volumes for any option combination, including delta neutrals. For the basket case, potentially with hundreds of constituent legs with real-time market prices, calculations may be computationally heavy and requires highly optimised algorithms. When markets are closed, you can choose to calculate leg prices based on correlation factors with other financial instruments that are being traded.

The Basket pricer app effectively manages the complexity of the pricing and you can use the resulting prices as the foundation for pricing up and quoting other instruments which are directly related to the basket, such as equity index futures or exchange traded funds.

Highlights

  • High performance server based basket calculation.
  • Support for constituents quoted in multiple currencies.
  • Support for implied in price calculations for option combinations.
  • Correlation pricing.

Building blocks

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