OTC Derivatives Pricing Models

TOPS Energy

Designed specifically for the energy market, TOPS Energy easily handles cyclical forward price curves, allowing seasonality to be taken into account when pricing and hedging energy derivatives. The models also include mean reversion, which is more observable in this market than in markets with financial assets.

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 Energy Model List:

Fixed Rate Energy Accrual / Range Floater, Floating Rate Energy Accrual / Range Floater, Asian / Average Price, Asian / Average Strike, Strip of Asians / Averages, Barrier, Basket, Better of Two, Chooser, Energy Swap, Energy Swaption, Convertible, Yield Curve Generator, Digital, Digital Quanto, Eurodollar Convexity Adjustment, Option to Exchange, Forward, One Dimensional Interpolation, Two Dimensional Interpolation, Ladder, Lookback Price, LookBack Strike, Pay As You Go / Installment, Compound Option / Option on Option, Quanto, Spread Option, Plain Vanilla Option, Strip of Plain Vanilla Options, Worse of Two