Pyxis provides Valuation Services for broad range of vanillas including long-dated or extremely out-of-the money (OTM) contracts as well as exotic and correlation instruments. Pyxis team specializes in valuations of illiquid, hard-to-value OTC securities and exotic structured products.

• Pyxis uses both its in-house and external analytical libraries to provide the service. Pyxis resources are experienced in creating structured product templates, valuation, stress testing and risk reporting.
• The Valuation models are stress-tested by a wide variety of circumstances and, particularly where long dated maturities are involved, the results are more reliable as the assumptions in the models will have been adjusted appropriately.
• Pyxis sources the market data from international inter-bank brokers for different asset classes.
• Pyxis provides the following set of reports under this service:

Valuation Report
Yield Risk Reports
Volatility Risk Report
EQ/FX Spot Sensitivities
Greeks Report

Key factors of an optimal valuation process for a client –

The pricing of OTC and complex derivative products is a challenging and complex process. The process requires choosing the appropriate pricing model depending on the asset class covered and the type of instrument within each asset class. The description of the model is provided including:

• source of valuation model
• Whether external model or internally developed
• Numerical method used such as Monte Carlo, Lattice, Finite Difference etc
• Inputs for the model
• Market data sources
• Simplification of model assumptions depending on the shape of the yield curve on correlations taking into account smiles etc
• Relevance of the model used
• Mathematical details and associated formulas
• A precise description of the payoff