OTC Derivatives Pricing Models

TOPS Commodities

Specially designed to handle non-constant forward price curves, allowing seasonality to be taken into account when pricing and hedging commodity derivatives. Structures valued include plain vanilla, accrual swaps, asians/averages, barriers/knockins/knockouts, baskets, rainbow better, rainbow worse, choosers, commodity swaps, commodity swaptions, bonds convertible into commodities, digitals/binaries, digital quantos, options to exchange, outright forwards, ladders, lookbacks, options on installment options, compound options, quantos, spreads, installment/pay as you go option, strips of plain vanilla options.

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 Commodities Model List:

Fixed Rate Asset Accrual / Range Floater, Floating Rate Asset Accrual / Range Floater, Asian / Average Price, Asian / Average Strike, Strip of Asians / Averages, Barrier, Basket, Better of Two, Chooser, Commodity Swap, Commodity 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