Euronext Integrates Horizon Software’s Derivatives Pricing Solutions Suite

Euronext partners with Horizon Software, targeting volatility and pricing models to monitor options and futures in real-time.

The Eurozone’s leading exchange, Euronext, has integrated Horizon Software for monitoring and pricing derivatives instruments, according to a Euronext statement.

The partnership between Euronext and Horizon Software represents a bid by the exchange to target and streamline its settlement prices on an intra-day basis. The software provider specializes in fully customized trading platform attributes, which Euronext will now utilize in its operations.

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Horizon Software’s solutions will draw upon a suite of volatility management tools, helping enable autofit volatilities, price derivatives and trading limits automatically for market participants. Alternatively, Euronext will use the volatility and pricing models to monitor options and futures in real-time.

In addition, the platform embeds several models for pricing derivatives such as Black-Scholes, Garman-Kohlhagen, Binomial, Cox-Ross, PDE, Trinomial, and amongst a number of volatility models such as Asymptotic Volatility and Dynamic Skew.

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According to Denis Esnault, CIO at Euronext, in a recent statement on the appointment, “We used a proprietary system at Euronext to manage pricing and settlement. Despite being very much tailored to our business, the system was difficult and expensive to maintain, and not scalable enough to support our growth.”

“Horizon has a deep expertise in pricing derivatives and volatility management coupled with a specific edge in aligning its scalable platform to sophisticated clients’ requirements. We are confident that with this new software we will meet our targets and its comprehensive footprint will help us to support our global operations,” he added.

“The scalability of our software allows clients to easily extend its use as and when needed, while containing hardware costs. The flexibility provided by our scripting module, Horizon Automated Trader, natively embedded in all our software, will allow users to customise their experience and automate repetitive tasks,” noted Sylvain Thieullent, CEO of Electronic Trading EMEA and Americas at Horizon Software, in an accompanying statement.

Last week, Euronext announced its trading volumes for the month ending March 2015, reporting a figure of $9,900 million (€9,100 million) in average daily transaction value (ADV) in its cash order book.

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