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OTC Derivatives Pricing Models

TOPS Fixed Income
TOPS Fixed Income is a suite of 34 multi-functional, models for pricing and hedging all types of interest rate derivatives including: bonds, plain vanilla bond options, interest rate swaps, swaptions, caps, floors, floating caps, floating floors, installment swaps, diff swaps, asians, barrier caps, barrier floors, barrier swaptions, captions, rainbows (better and worse), digitals, digital quantos, FX swaptions, indexed principal swaps, indexed principal floating swaps. ratchets, spreads etc. Each TOPS Fixed Income model is arbitrage free. Fixed income models employ theoretical models such as Ho-Lee, Black-Derman-Toy, Black-Karasinski, Hull-White, etc., as well as Savvysoft proprietary extensions.

Models for valuing and pricing uneven and even cash flow streams, generating cash flows, as well as calculating duration and convexity are included. TOPS Fixed Income provides the full range of settlement conventions such as: following, preceding, modified, eurobond, etc. Day count conventions include: 30/360, 30/360E, Actual/360, Actual/365, Actual/Actual and more. Holiday schedules and weekends are included. This means bonds and swaps iissued in any country, denominated in any currency, can be valued by TOPS Fixed Income models.

TOPS Fixed Income provides four important analytical tools: a curve generator, a Euro-dollar convexity adjustment calculator, an instant yield converter, and an interpolator.

CurveGen , the market's most sophisticated model for generating yield curves, will derive the market implied yield curve, a zero coupon curve, or a discount factor curve using the market's prevailing Libor, swap and Eurodollar futures rates.

EDConvex is a model that will calculate adjustments for the Eurodollar convexity bias. It can be used in conjunction with any TOPS model.

IntQuote is a model that will instantaneously convert yields or yield curves from one compounding frequency and basis to any other, and will calculate any spot or forward par bond or zero coupon rate given the yield curve. Use it to go from semi-annual to annual, annual to monthly, etc. IntQuote can be used in conjunction with any TOPS Fixed Income model.

Interp & Interp2D are models for one dimensional and two dimensional interpolation and extrapolations. Four methods are available: none (step function), straight-line, log, and cubic spline. Can be used in conjunction with any TOPS model.

All models satisfy requirements for ASC 815, FASB 133, FAS 157, IAS 39 and CICA 3865. Customized TOPS deal entry and deal valuation screens come with the purchase of each model. Models may be purchased separately, as an entire suite, or as a partial suite. Ask about our generous Multiple Model Discount Program.

TOPS Fixed Income Model List:

Fixed Range Floaters / Accrual Swaps, Floating Range Floaters / Accrual Swaps, Asian / Average Rate, Barrier Cap / Floor, Barrier Swaption, Better of Two Rates, Fixed Rate Bond, Cap / Floor, Caption, Fixed Cash Flow Generator, Floating Cash Flow Generator, Cash Flow Valuation, Convertibles, DECS, Discount Curve Generator, Bssis Curve Generator, DiffS Swap, Digital, Digital Quanto, Eurodollar Convexity Adjustment, Floating Rate Cap / Fioor, FX Swaption, One Dimensional Interpolator, Two Dimensional Interpolator, Interest Rate Quote Converter, Generalized Interest Rate Swap, Interest Only / IO, Principal Only / PO, Fixed Rate Indexed Amortizing Swap/ Indexed Principal Swap, Floating Rate Indexed Amortizing Swap/ Indexed Principal Swap, Mortgage Backed Security / MBS, Ratchet, Spread Option, Plain Vanilla Option, Swaption, Installment Swaption, Worse of Two Rates


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