OTC Derivatives Pricing Models

TOPS Inflation

TOPS Inflation is a suite of models for pricing and hedging inflation bonds and inflation swaps, which have cash flows tied to inflation.

The product line includes an inflation yield curve generator, as well as a model for each of the four major types of bonds and swaps traded. These are:

• Inflation Bond: A bond which pays a fixed coupon, but the par amount grows over time based on the amount of inflation since the issue date of the bond

• Price Index Inflation Swap: Swap with fixed leg, and a floating leg that pays based on the amount of inflation since the inception of the swap

• Real Yield Inflation Swap: Swap with a LIBOR based floating leg (including a spread), and the other leg based on the product of the stated coupon rate and the amount of inflation since the inception of the swap

• Zero Coupon Inflation Swap: Swap with a single payment at maturity, equal to the difference between a compounded fixed rate, and the amount of inflation since the inception of the swap

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.