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In
The News
Spreadsheet
Shootout
from Derivatives Strategy, August 1998
by Andrew Webb
and David Little
Savvysoft was founded
by Richard Tanenbaum, the former head of derivatives research at Bankers
Trust from 1984 to 1990. The company’s TOPS (Tanenbaum Option Pricing
Software) product line consists of some 62 models organized into six
principal groups: TOPS CL (classic options), TOPS ST (strip of options),
TOPS MA (multiple risky asset derivatives), TOPS PD (path-dependant
derivatives), TOPS CV (convertible bonds) and TOPS MBS (mortgage-backed
securities).
Each TOPS model
can value multiple derivative structures and is distinguished by TOPS
Power Ranges, which allow for changing strikes, step-up and step-down
coupons, amortizing balances, accreting balances, as well as full
yield curves, full volatility curves, and full forward price curves.
In addition, each TOPS option model handles European, American and
Bermudan exercise. TOPS models can be combined in order to provide
flexibility in handling as wide a range of derivative products as
possible.
Little:
The Tanenbaum Options Pricing Software is focused on the markets and
products that most systems lack and most desks need. It has excellent
coverage for a wide range of exotic swaps and options. Everything
is accessible through a TOPS button on the Excel Toolbar. The button
gives you a menu of transaction types covered - choose one and you
are led through a wizard that selects the correct models and pastes
them into the sheet. It can handle quantos, lookbacks, choosers, options
on spreads and it even takes a shot at MBS theoretical pricing. The
two-volume documentation is excellent. If you need something to support
only the exotic part of your trading operation, this is probably the
package for you. It is relatively straight-forward and, because it
limits itself to a subset of the markets, it covers that niche extremely
well. |
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