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Savvysoft Adds Function To Calculate Key Rate Durations

New routines extend award-winning TOPS suite to help with risk management, risk measurement and hedging

New York, May 17, 2019 –- Savvysoft announced today that it has added the capabiity to calculate key rate durations to its award-winning TOPS Suite of dervatives pricing models.

The standard measure of bond risk is often expressed as either duration, which is the percentage change in a bond's price given change in yield, and dv01 (dollar value of an 01), which is the absolute price change for a change in yield. The new routine allows for either one of these.

The user can also control whether the calculation is done using classical formulas (weighted average time to cash flow) or via effective price changes (bumping the curve and repricing). And there is also an option to specify whether or not the calculated key rate durations are scaled to sum to the parallel shift duration to deal with cross effects. And the user has complete freedom to specify which key rates to calculate (i.e. one year, three year, ten year).

The new Savvysoft TOPS model 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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