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White Paper - One Street, Two Prices

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This report looks at the challenges of new value adjustments in pricing.

What is the fair value mark-to-market for a derivative? Is it Libor discounted? Overnight Index Swap discounted? Or do you need to take into account other factors such as counterparty credit exposures or funding costs?


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Calypso is the leading provider of innovative cross-asset front-to-back technology solutions for complex financial markets. We provide clients with a single platform that enables system consolidation, business innovation and growth at the enterprise level across trading, risk management, processing and accounting.

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