+1 212 742-8677
+1 212 742-8677

Press Releases

Savvysoft Releases New Types of Interest Rate Cap and Floor Models For Knockouts and Digitals

Company expands award-winning TOPS model coverage

New York, May 11, 2017 –- Savvysoft announced today the addition of two new models to its award-winning TOPS Suite of dervatives pricing models for variants on plain vanilla caps and floors.

The first model is a strip of caplets or floorlets, like the standard structure. But if the short term index is above a specified upper barrier on a reset date (or alternatively below a specified lower barrier on a reset date) the structure expires immediately.

The second model is a similar to the first, but the payoff in each period that the caplet or floorlet is in the money is a fixed amount, regardless of the amount it is in the money.

The new models are available immediately.

About Savvysoft

Savvysoft is a New York City-based provider of award winning OTC derivatives pricing analytics, and portfolio and risk management systems. Savvysoft’s products handle OTC derivatives in every traded market including: Interest Rates, Inflation, Credit, Equities, FX, Commodities, Convertibles, Energy & Electricity. Our products are used by thousands of users from a broad range of financial institutions 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 former 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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