Inflation derivatives and bonds subjects of new models

NEW YORK--(BUSINESS WIRE)--Savvysoft, the award-winning derivatives analytics provider, today announced the release of a new suite of models for pricing inflation bonds and derivatives. 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

“The development of our inflation suite rounds out Savvysoft’s TOPS line of models for every asset class traded: Equities, Interest Rates, FX, Commodities, Convertibles, MBS, Energy, Electricity, Credit, and now Inflation,” said Rich Tanenbaum, Savvysoft’s founder. “And as new markets and new structures evolve, Savvysoft will be there to price them and manage their risk.”

Savvysoft’s inflation models are available immediately.

About Savvysoft
Savvysoft is a New York City-based provider of high-caliber OTC derivatives analytics, and portfolio and risk management systems. 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.

Comments
comments powered by Disqus