Pricing Partners, a provider of over-the-counter derivatives pricing analytics, mathematical models and independent valuations, has expanded its Price-it solution. The firm has added Brazilian swap conventions to the solution.
Currently, in the Brazilian swap market the year fraction between two dates is calculated as the difference of business days between the two dates divided by 252. The fixed swap rate is combined and paid at maturity, while the floating leg pays the compounded one day PRE-DI rate over the floating period. The firm will have to alter the bootstrap algorithm to account for these particularities.
Click here for the release from Pricing Partners.