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Press Releases

Savvysoft Extends OmniPricer With Libor Market Model

Allows users to create payoff functions in Excel, then price interest rate products 50 times faster with world’s only recombining multi-factor tree

New York -- November 11, 2009 -- Savvysoft, the award-winning derivatives analytics provider, today announced the release of the newest version of its groundbreaking OmniPricer product, which allows users to price any derivative by simply specifying its payoff function in an Excel spreadsheet. This new version adds the ability to price interest rate derivatives using Savvysoft’s proprietary Libor Market Model based on a multi-factor recombining tree.

Savvysoft’s implementation is the only commercially available Libor Market Model that does not rely on Monte Carlo simulation. Savvysoft’s trees are up to 50 times faster than Monte Carlo, and produce much more accurate greeks. For example, a tree with 3 factors and 15 periods can run in three seconds, but it provides the same accuracy as a Monte Carlo simulation with over one billion paths.

“OmniPricer has set the standard for ease of use in pricing exotic derivatives since it was first introduced,” said Rich Tanenbaum, Savvysoft founder. “Unlike other products, it never required users to learn a proprietary scripting language. Instead, users can simply specify a payoff function in a few cells of an Excel spreadsheet. We use the technology ourselves when we build new models, and now creators of interest rate derivative products have the Libor Market model available in a simple, and blindingly fast package.”

The new version of OmniPricer is available now.

About Savvysoft

Savvysoft, a New York City-based provider of high-caliber OTC derivatives analytics, and portfolio and risk management systems, has been named the #1 ranked Derivatives Analytics vendor five years in a row by Risk Magazine. Savvysoft’s products handle OTC derivatives in every traded market, and are used by thousands of institutions in 15 countries worldwide. These institutions include top-tier banks, dealers, brokers, money managers, energy suppliers, corporate treasurers, auditors and consultants. Savvysoft was founded by Rich Tanenbaum, the head of Derivatives Research at Bankers Trust (now Deutsche Bank). Rich was a founding member of the first OTC derivatives desk on Wall Street at Bankers Trust.

All product names referenced herein are trademarks of their respective companies.

Contact: LeeAnn Chen (212) 742-8677 leeann@savvysoft.com

 

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