Savvysoft, the award-winning derivatives analytics provider, today announced the release of a new suite of models for pricing inflation bonds and derivatives. The product line includes an inflation yield curve generator, as well as a model for each of the four major types of bonds and swaps traded. These are:
Inflation Bond: A bond which pays a fixed coupon, but the par amount grows over time based on the amount of inflation since the issue date of the bond
Price Index Inflation Swap: Swap with fixed leg, and a floating leg that pays based on the amount of inflation since the inception of the swap
Real Yield Inflation Swap: Swap with a LIBOR based floating leg (including a spread), and the other leg based on the product of the stated coupon rate and the amount of inflation since the inception of the swap
Zero Coupon Inflation Swap: Swap with a single payment at maturity, equal to the difference between a compounded fixed rate, and the amount of inflation since the inception of the swap
âThe development of our inflation suite rounds out Savvysoftâs TOPS line of models for every asset class traded: Equities, Interest Rates, FX, Commodities, Convertibles, MBS, Energy, Electricity, Credit, and now Inflation,â said Rich Tanenbaum, Savvysoftâs founder. âAnd as new markets and new structures evolve, Savvysoft will be there to price them and manage their risk.â
Savvysoftâs inflation models are available immediately.