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Sibelius Pricers: Autocalls (ELS) Feature Now Complete ​

We are excited to announce that Sibelius Pricers has successfully completed the development of its Autocalls (Equity-Linked Securities, ELS) pricing feature, further enhancing the tool's capabilities for structured products. This milestone marks an important step in our mission to provide quants and traders with the most powerful and flexible pricing tools in the industry.

What are Autocalls (ELS)? ​

Autocalls, also known as Equity-Linked Securities (ELS), are a popular type of structured product that pays a coupon if certain market conditions are met before the product matures. These conditions are typically linked to the performance of one or more underlying assets, such as equity indices or single stocks. If the conditions are not met, the product continues until maturity or until an early redemption event occurs.

ELS products are often complex, with features such as barrier levels, knock-ins, knock-outs, and optional redemption dates. These require sophisticated pricing models to capture all the intricacies of the product’s structure.

Sibelius Pricers: A Comprehensive Solution for ELS ​

With the new Autocalls (ELS) feature, Sibelius Pricers now provides a robust framework for pricing these complex products, enabling users to model:

  • Early Redemption Events: Define barrier levels and conditions for early redemption, allowing the product to "autocall" based on predefined market events.
  • Coupon Payments: Accurately model coupon structures, including conditional coupons based on market performance.
  • Barriers and Knock-In/Knock-Out Features: Capture the full range of barrier options, including down-and-in, down-and-out, and more.
  • Flexible Underlyings: Price ELS products with multiple underlyings such as equity indices, single stocks, or FX, giving you the versatility to model a broad range of scenarios.

This feature is fully integrated into the Sibelius pricing suite, allowing for smooth workflow when pricing not only ELS but also other structured products. Our Hybrid Local Volatility (HLV) models, Monte Carlo simulations, and PDE solvers ensure that the complexities of ELS products are modeled with high precision and efficiency.

Why This Matters ​

Structured products like autocalls (ELS) are gaining popularity among investors due to their attractive yield potential in various market conditions. However, pricing these products accurately has always been a challenge, given their complexity and the various market scenarios they depend on.

The addition of Autocalls (ELS) functionality to Sibelius Pricers provides:

  • Accurate Risk Management: Ensure proper pricing and risk assessment with sophisticated volatility models.
  • Flexibility in Design: Easily model different types of autocall structures with customized payoffs and conditions.
  • Speed and Efficiency: Our advanced numerical techniques ensure fast and accurate pricing even for the most complex ELS products.

What’s Next? ​

The completion of the Autocalls (ELS) feature is just one step in our continuous effort to expand and improve Sibelius Pricers. We are committed to delivering industry-leading tools that meet the evolving needs of financial professionals around the world. Stay tuned for future updates as we introduce even more powerful features to the Sibelius suite.