Savvysoft, a derivatives pricing and analytic software company, has released software for pricing and hedging credit derivatives.

The pricing tool was designed by Rich Tannenbaum, a partner of Savvysoft who founded the company after his tenure as head of derivatives research at Bankers Trust.

Called Tops 2000 Credit, the spreadsheet add-in handles total- rate-of- return swaps, credit-default swaps, credit-linked notes, credit- spread options, credit baskets, and other credit derivatives. It allows the user to input probabilities for issuer default and can perform calculations on the probability of counterparty default. It can also perform correlations between these two probabilities. The probabilities may be based on interest rates, stock prices, or time.

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