OTC Derivatives Pricing Models

TOPS Electricity

The models in TOPS Electricity do not assume that electricity is just like every other asset. Instead, the models are based on the fundamental concept that electricity is not storable, so the forward price curve is treated much differently than in any other market. These models all include mean reversion, which is of paramount importance in this market.

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 Electricity Model List:

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