OTC Derivatives Pricing Models

TOPS Credit

TOPS Credit is capable of handling many types of credit derivatives, including Total Rate of Return Swaps, Credit Default Swaps, Credit Linked Notes, Credit Spread Options, Nth To default, CDX tranches, and others. In addition to letting the user specify the probability of an issuer default, TOPS Credit can also base its calculations on the probability of counterparty default, and the correlation between these two probabilities. The probabilities may be functions of time, interest rate levels and stock price levels, giving the user an unprecedented level of control over their credit derivatives valuations.

TOPS Credit Model List:

Total Rate of Return Swaps on Assets, Total Rate of Return Swaps on Bonds, Credit Default Swaps / CDS, Credit Linked Notes, Credit Spread Options, Nth To Default, CDX tranches, CDO, CLO, Probability of Default Generator, CDS Rate Calculator, Credit Spread Option

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.