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  1. Welcome

    This forum is not limited to Savvysoft’s software; other forums exist for that. Here, we can discuss derivatives in general, and specifically. Want to talk about how to decompose the latest reverse counter-rotational contra-currency structure? Do that here. Discuss the merits of normal versus lognormal interest rate models? This area is for that, too. Risk measurement, hedging, backtesting… all are welcome here.
  2. Welcome

    We need your help! Please tell us how to improve our products here. We can’t promise to add every feature requested, but we can say if you want a feature added, it’s much more likely to be added if we know about it. This is the best place to tell us, as you can then watch the groundswell of support build as others clamor for it too.
  3. Welcome

    This forum is for those looking for support with FreeCreditDerivatives. Savvysoft support engineers monitor this forum and will respond to questions, but other members of the community are free to chime in with answers as well, or to ask follow-up questions. Our goal is to provide world-class support for all of our products, and our customer satisfaction awards indicate we’ve been successful. We hope these forums will make our support even better.
  4. Welcome

    This forum is for anything you want to talk about regarding FreeCreditDerivatives and FutureDefaults in general. There are separate forums for support, bug fixes, suggestions, and downloads; this one’s for everything else. Discussions about how to use the default probabilities, modeling issues, data sources, and more, are all welcome here.
  5. Welcome

    We need your help! Please tell us how to improve our products here. We can’t promise to add every feature requested, but we can say if you want a feature added, it’s much more likely to be added if we know about it. This is the best place to tell us, as you can then watch the groundswell of support build as others clamor for it too.
  6. Welcome

    This forum is for those looking for support with STARS, and reporting bugs. Savvysoft support engineers monitor this forum and will respond to questions, but other members of the community are free to chime in with answers as well, or to ask follow-up questions. Our goal is to provide world-class support for all of our products, and our customer satisfaction awards indicate we’ve been successful. We hope these forums will make our support even better.
  7. Welcome

    We need your help! Please tell us how to improve our products here. We can’t promise to add every feature requested, but we can say if you want a feature added, it’s much more likely to be added if we know about it. This is the best place to tell us, as you can then watch the groundswell of support build as others clamor for it too.
  8. Welcome

    This forum is for those looking for support with TOPS, and reporting bugs. Savvysoft support engineers monitor this forum and will respond to questions, but other members of the community are free to chime in with answers as well, or to ask follow-up questions. Our goal is to provide world-class support for all of our products, and our customer satisfaction awards indicate we’ve been successful. We hope these forums will make our support even better.
  9. Welcome

    This forum is for anything you want to talk about regarding TOPS in general. There are separate forums for support, bug fixes, suggestions, and downloads; this one’s for everything else. Have a tip or trick you want to share? This is the place to do it. Want to discuss the merits of using one function over another? This is where to do that, too. For more general derivatives topics, please use the Derivatives forum.
  10. Welcome

    We need your help! Please tell us how to improve our products here. We can’t promise to add every feature requested, but we can say if you want a feature added, it’s much more likely to be added if we know about it. This is the best place to tell us, as you can then watch the groundswell of support build as others clamor for it too.
  11. Welcome

    This forum is for those looking for support with Calc4Web, and reporting bugs. Savvysoft support engineers monitor this forum and will respond to questions, but other members of the community are free to chime in with answers as well, or to ask follow-up questions. Our goal is to provide world-class support for all of our products, and our customer satisfaction awards indicate we’ve been successful. We hope these forums will make our support even better.
  12. Welcome

    This forum is for anything you want to talk about regarding TurboExcel in general. There are separate forums for support, bug fixes, suggestions, and downloads; this one’s for everything else. Have a tip or trick you want to share? This is the place to do it. Want to discuss the merits of using one compiler over another? This is where to do that, too. Do you have ideas for a new name for TurboExcel, or you want to contribute to our legal defense fund? You’ve found the right place. For more general Excel topics, please use the Excel forum.
  13. Frequently Asked Questions

    What is FreeCreditDerivatives? FreeCreditDerivatives is a free service that provides market implied default rates for US investment grade indices. FreeCreditDerivatives will tell you, for example, what the probability is that a AAA financial will default in 5 years. The term market implied default rate means a calculated default rate based on market prices of traded bonds. Isn‘t that the same as a Moody’s or S&P rating? Not at all. Rating agencies base their rating on a variety of factors, most significantly the balance sheet and income statement of a firm. That means the ratings are inherently backward looking, because they are based on events that have already happened, not on what will happen. Even worse, accounting statements are issued only quarterly, and the numbers themselves can vary depending on what management chooses to show. Even then, the rating itself is decided on by a small group of people at the rating agency, who may not be the best judge of a company’s prospects. Finally, a rating agency issues just a single rating for each bond. This rating does not break out the bond’s likelihood of default as a function of time, even if a company’s prospects are very good for the next year, but may worsen significantly later on (perhaps due to markets changing, patents expiring, key executives retiring, etc.). The single ratings themselves are also very broad brush, so many companies can have the same rating, and yet have very different prospects. FreeCreditDerivatives bases its probability of default purely on where a company’s bonds are trading, which represents the market’s best assessment of the default risk of the company. This means there is no subjectivity in the calculations, and there is not any one person or small group of people setting the probability. These numbers are forward looking, taking into account all the things the market feels may happen in the future. The numbers are also precise, out to many decimal places, and there are more numbers, as well: FreeCreditDerivatives provides probabilities for one through twenty years out. How are the numbers calculated? FreeCreditDerivatives uses a corporate bond’s spread over where a similar maturity government bond is trading to calculate the implied default risk embedded in the bond’s price, and yield. It does this using Savvysoft’s TOPS Credit, a sophisticated software package used to price credit derivatives. TOPS Credit uses the same mathematical methodologies that underlie option pricing theory, applied to the credit derivatives market. Where do you get the data from? The data in FreeCreditDerivatives comes from the market’s premier data providers for interest rates, including Bloomberg. These are the same data providers used by the world’s leading banks and investment houses to price their corporate bonds every day. Who is this for? FreeCreditDerivatives will be of great value to credit derivatives traders and salespeople, Collateralized Debt Obligation (CDO) structurers, corporate bond traders and analysts, risk managers, corporate treasuries, bank loan officers, academics, and even people at ratings agencies. Who provides this service? FreeCreditDerivatives is from Savvysoft, the world leader in derivatives pricing. The company’s flagship product is TOPS. Savvysoft’s TOPS is a set of derivatives valuation models that handles the full range of derivatives structures from the most plain vanilla to the most exotic derivatives structures. The derivatives markets TOPS cover include: Fixed Income, Equity, FX, Commodity, MBS, Convertible, Energy, Electricity and of course the Credit derivatives markets. How much does it cost? Nothing. It’s free, just as the name implies. A companion product, FutureDefaults, is available via a monthly subscription, and provides market implied default probabilities and spreads for individual issuers. The cost depends on how many corporations a user wishes to get default rates and yield curves for. Please contact us at info@futuredefaults.com or call 1 212-742-8677 for a specific quote.
  14. Frequently Asked Questions

    What is STARS? STARS, Savvysoft Trading And Risk System, is a standalone system for managing portfolios of any type of exchange-traded or OTC structures in any market. What makes it unique? STARS is a generic system, not specific to any one market, or any one user. STARS handles any instrument in any market. All instruments, even the simplest ones, are defined within a simple screen inside the system. This means new instruments of arbitrary complexity can be defined in a matter of minutes, without any programming. New instruments can be added, and existing instruments can be changed, to suit the client’s needs. All this can be done by the client without the need to call Savvysoft (though we’ll be there to help any time you need it). STARS calls into user-defined models for virtually all calculations. That means theoretical prices, sensitivities, cash flows, yield curve and volatility calibration, but also random number generation, random number application (i.e. additive versus multiplicative), portfolio aggregation (summation, weighted average, etc.) scenario aggregation (5% worse loss, for example), rich/cheap analysis, RAROC, collateral netting, cost of capital, and anything and everything else. Models are integrated into STARS through simple input screens, with no programming required. This means instruments can be fully integrated into STARS in less than half a day, instead of weeks or months as with other systems. What instruments can it handle? Any instrument out there. What models does it use? Any model you want to plug in. What platforms does it run on? All flavors of Windows and Linux/Unix. What type of reports are available? Portfolio statistics for an individual scenario, and across scenarios. VaR. Hedging. Performance attribution. Collateral management. Limits. Realized/unrealized profits and losses. Total performance over time. Documentation needs. Interest rate buckets. FAS 133 hedge effectiveness. How does it interface with market data providers? Market data can come in from either real-time feeds or files. Because of the wide variety of data available, and the wide array of ways organizations already handle data, small bridges are typically written during system implementation for the client’s specific needs, which can be easily maintained as data providers and/or their formats change.
  15. Frequently Asked Questions

    What is TOPS? TOPS is a set of models for pricing and measuring the risk of a wide variety of plain vanilla and exotic options and derivatives. Each TOPS model is capable of handling one core component derivatives structure, such as a standard option, a lookback option, a barrier option, a swaption, etc. A model can be used to calculate a price, a sensitivity (like delta, gamma, duration, etc.) and implied volatility. Models can be mixed and matched to create a virtually limitless array of exotic structures. Most input parameters can be single values, or schedules/curves. So even the simplest standard option model can handle full yield and volatility cuirves, as well as changing strikes and amortization schedules. Who uses it? TOPS is used by over 3,000 practitioners at the world’s leading investment banks, commercial banks, hedge funds, money managers, brokers, dealers, corporate treasuries, consultancies and audit firms. In fact, four out of the Big Four auditors use TOPS. Where can it be used? TOPS is a C subroutine library that can be used inside any in-house or third-party open system, as well as inside Excel. It runs on all versions of Windows and Linux/Unix. In Excel, dialog boxes and the TOPS Template Builder make it particularly easy to use. How is it licensed? Licenses are available on a node-locked basis per machine, or on a concurrent basis with a network license, or with the calculation server license any number of users can share the same machine, each with their own client machine. What structures can it handle? TOPS covers derivatives from the interest rate, equity, FX, commodity, convertible, MBS, energy, electricity and credit derivatives markets. How can I try it? Eligible users can sign up for a free trial at http://www.savvysoft.com/reqinfo_topstrial.cgi
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