Opscore 3.9.6.0 delivers several new capabilities to end-users:

• Support for call trigger periods based on average
• Support for Warrant make whole
• Improvements for Warrant dividend protection
• Display Brownian volatility with Front End outputs
• Display Equivalent Credit Spread in Front End outputs
• Support for 20 out of 30 contingent conversion
• Support for NDF based yield curves
• Allow import of full database from ITO33 server
• Option to delete database before import

CoCo33 Data Service delivers to risk managers consistent pricing and risk data on Regulatory Capital Securities issued by Banks and Insurance companies.

ITO33 is Sponsor of Quant Insights conference: THE CASE OF BANK REGULATORY CAPITAL SECURITIES
27th-28th October 2021, Globally Live-Online

Paris, May 11, 2020 - ITO33 announces a new major version of Opscore.

Opscore 3.9 delivers several new capabilities to end-users:

• Better support for bond series, all public/private equities and depositary receipts, basket of bond and warrant.
• Improved Dividend Protection Passthrough clause.
• A new representation of the yield curves to enable usage of the legs as reference for floating rate bonds.
• New Database structure which includes in particular a new dividend extrapolation model, new object for Delta One inputs, new storage for model inputs.
• API support fugit for American option, fugit and probability for soft call and hard call events, Mandatory with overlapping soft and hard call, conversion make whole support, new conversion settlement issuer options.

ITO33 is Sponsor of Volatility and Tail Risk Investing conference
6 April 2017, London

ITO33/Kite Surf 1st VOLATILITY SUMMIT: Everything you always wanted to know about Volatility but were afraid to ask

Among the various issues that will be covered, here is a foretaste:

1. Banks and Asset-Managers still have a problem with their volatility surfaces modelling let alone their exotic options risk.
2. Why ITO33’s regime switching stochastic Volatility model is the long-awaited solution to this problem of volatility surfaces and volatility arbitrage.
3. On the importance of a proper delta one calibration before you run your volatility model.
4. On the importance of withholding tax on dividends, seasonality of dividends and borrow rates in the delta one calibration.
5. An explanation of the spread between the variance swap curve and the log-k option strips curve. Introduction to a service that can quantify that spread.
6. Should S&P options and VIX options be priced separately, or should they be priced in a single and consistent framework?
7. Introduction to optimal hedging of equity derivatives.
8. The benefit of using sanitised and pre-organised exchange data, together with over-the-counter data.
9. The usefulness of virtual instruments in the calibration basket for model parameter stability and dealing with sparse data markets.
10. The benefit to your technology and quant departments of outsourcing your model calibration.