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Press Releases

Savvysoft Improves Performance Attribution To Explain 100% of Bond or Swap P&L

Enhancement to existing routine achieves perfect accuracy

New York, January 5, 2021 –- Savvysoft announced today that the bond and swap performance atribution module of it's award-winning TOPS suite of models can fully explain each instrument's profit and loss, for an arbitrary set of points on the yield curve.

The Performance Attribution function in TOPS takes market data for two different dates, and attributes the change in an instrument's price due to changes in the data between the two dates. The factors considered are points on the risk-free curve (the user decides which maturities, and how many to use), the spread between the risky curve and the risk-free curve, and the passage of time.

There is a separate routine to deal with any optionality in the instrument, if necessary. The Performance Attribution routine does the attribution for any options separately, and attributes risk based on the same factors as the non-optionable bond, as well as volatility changes, delta, gamma, and time decay, among others. While the option portion does not explain 100% of the option P&L, it does explain over 99.5% of it.

The new Savvysoft TOPS 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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