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Savvysoft Adds Routine To Display Implied Forward Swaption Volatility

New routine makes it simple to see how much the market is implying vols will rise or fall in the future

New York, Feburary 24, 2020 –- Savvysoft announced today the addition of a new functon to its award-winning TOPS Suite of dervatives pricing models which calculates forward swaption volatility.

The model can work with volatility curves (volatility as a function of expiration), grids (volatility as a function of expiration and maturity), and cubes (volatility as a function of expiration, maturity and moneyness).

The user simply supplies the current market volatility in one of these three forms, as well as the horizon date in the future and the volatility willbe returned for that future date in the same format that was input (curve, grid or cube). This ability to "roll down the vol" (analagous to rolling down the yield curve, which TOPS also provides a routine to do) makes it possible for users to correctly determine the scenario-based future price of a swaption. Traders can also directly see the market-implied vols for multiple horizons and place trades which will profit should the trader's view of future vlatility be realized instead of the market's.

The new Savvysoft TOPS models is 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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