OTC Derivatives Pricing Models

TOPS FX

Covers the latest FX derivatives structures. Handles a multitude of variations on FX derivatives including barriers, baskets, lookbacks and averages, including plain vanilla, accrual swaps, asians/averages, barriers/knockins/knockouts, baskets, rainbow better, rainbow worse, choosers, currency swaps, currency swaptions, bonds convertible into currencies, 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. Currency swaps may be valued in a multi-factor framework with stochastic interest rates.

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 FX Model List:

Fixed Rate Asset Accrual / Range Floater, Floating Rate Asset Accrual / Range Floater, Asian / Average Rate, Asian / Average Strike, Strip of Asians / Averages, Barrier, Basket, Better of Two, Chooser, FX / Currency Swap, Chooser, Convertible, Yield Curve Generator, Digital, Digital Quanto, Eurodollar Convexity Adjustment, Option to Exchange, Forward, Dual Currency Swaption, 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