New York, October 12, 2017 –- Savvysoft announced today the addition of two versions of a new routine to its award-winning TOPS Suite of dervatives pricing models which calculate swaption price sensitivities to changes in a volatility cube. A volatility cube specifies a volatility for each combination of expiration, maturity and moneyness.
The two routines differ in that one is used with the single curve version of the TOPS Swaption model, and the other is for the dual curve (OIS) version. A vega (change in option price given a change in volatility) is calculated for every point in the vol cube.
Hedging against the full vol cube is important because the historical changes in the volatilities are dramatically different for different strikes. Hedging just the at the money vol grid assumes a parallel shift in all volatilities, which can lead to large errors in hedging, risk management, risk measuremnt, and performance attribution.
Both new Savvysoft TOPS models are available immediately.
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.
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Contact: LeeAnn Chen (212) 742-8677 leeann@savvysoft.com
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