Pathways Issue No. 25

The October 2021 issue of Pathways is now available! In thosis month’s issue, David Oh reviews recent extensions that were made to our Performance Attribution module. A full webinar is available here. In this case study, David walks through a sample duration attribution analysis step-by-step for a sample portfolio. To access the newsletter please click here.

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PolyPaths Shifted Lognormal Lattice

As part of version 7.11 release, we extended our existing trinomial tree model for callable bonds by adding a Shifted Lognormal Trinomial Tree as a new options model. Clients can now watch our webinar here where we overview the motivation of the model, discuss recommendations, cover some model validation features, and touch upon some upcoming version 7.12 enhancements in relation to the model.

PolyPaths Enterprise Logging and Audit Trail Webinar Recording Now Available

PolyPaths Enterprise has in-depth logging capabilities that allow IT and business users to understand what is happening within the system at a fine level of granularity, including the exact information being sent to and from the calculator farm. Clients can now watch our webinar here where we cover all the various logs that are available to end-users, how they relate to one another, how logs can be retrieved and from where, and how they can be configured to provide the amount of information necessary to debug an issue.

Basis Risk Decomposition, Market Component and Duration Attribution Recording Now Available

Performance Attribution in PolyPaths allows users to attribute a change in price between two market rates or scenarios for the same security due to various market segments including time value, rate level, mortgage spread, volatility, OAS changes, or even custom factors. Users can watch an introductory webinar here. Starting with PolyPaths version 7.11 this module now supports: Basis Risk Decomposition, Market Component Attribution, and Duration Attribution. To learn more, clients can watch our webinar here.

Pathways Issue No. 24

The September 2021 issue of Pathways is now available! In this month’s case study, Parmeet Singh walks through the BSBY implementation framework in PolyPaths. To access the newsletter please click here.

If you would like to be added to the distribution list, please email pathways@polypaths.com.

Stochastic Scenarios in PolyPaths

Pre-canned deterministic scenarios such as parallel interest rate shocks or a limiting amount of stressed scenarios such as an adverse scenario do not paint a complete a picture of the underlying risk. Users in PolyPaths can seamlessly generate any number of stochastic scenarios on the fly. PolyPaths Stochastic Scenarios framework leverages our three factor interest rate model to create scenarios that follow the month-to-month rate paths implied from the BGM model. To learn more clients can watch our webinar on stochastic scenarios here. Contact us at support@polypaths.com for more details or help in setting up these scenarios.

Pathways Issue No. 23

The August 2021 issue of Pathways is now available! In this month’s case study, Aaron Leclair details how Canadian RMBS may be seamlessly modeled and analyzed in PolyPaths. While the specifics should prove quite useful for any clients with exposure in this sector, it is also an example of the flexibility inherent in our cash flow model. To access the newsletter please click here.

If you would like to be added to the distribution list, please email pathways@polypaths.com.