The Imagine Marketplace

Calibrate to Market

Imagine Software, Inc

With the Calibrate to Market App, IFP users can quickly reconcile discrepancies between fair and market prices throughout the day by calculating and applying implied credit spreads or implied volatilities on demand for all relevant holdings in a specific portfolio.

This app supports a wide variety of security types and can be used to reset credit spread or volatility environment values to their defaults by selecting the Update Environment to Default option in the input window. 

The Calibrate to Market app calculates the implied credit spread or implied volatility that matches the fair price to the market price for all relevant holdings in a specific portfolio. The app then saves these values in the security or holding environment, providing a simple process for implying volatility or credit spreads given intraday market movements. 

Current Derivatives.com users can click here for additional information on using Calibrate To Market.