Pathways Issue No. 33

The June 2022 issue of Pathways is now available! In this month’s issue, Aaron Leclair outlines a heuristic method for determining volatility skew; following the exercise, the derived skew value may be imposed on PolyPaths’ interest rate model such that simulated rates assume the prescribed statistical distribution. To access the newsletter please click here.

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

PolyPaths SOFR May 2022 Update Recording Now Available

Several recent enhancements have been made to support the secured overnight financing rate (SOFR) and the associated instruments that are now trading, including SOFR Future Options contracts, SONIA Futures, and ERIS SOFR Swap Futures. Furthermore, full support of the System’s analytics without the presence of Libor curve and volatility is now available and the integration of several unique SOFR-related index names such as CME Term SOFR, calendar month SOFR, NY Fed SOFR Average, SOFR90A, and SOFR180A are supported in our latest version. During the webinar, we will discuss these updates and more as we continue to support the transition away from LIBOR. Clients can watch our webinar here for more details. Please contact support@polypaths.com on how PolyPaths can help you during the SOFR transition.

Pathways Issue No. 32

The May 2022 issue of Pathways is now available! In this month’s issue, Parmeet Singh explores our Funds Transfer Pricing (FTP) feature, using SOFR vs. LIBOR funding as a sanity check for illustration. FTP ties together our calculation engine with our forecasting tool, allowing for another layer of NII analysis. To access the newsletter please click here.

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

Pathways Issue No. 31

The April 2022 issue of Pathways is now available! In this month’s issue, Andy Lui presents the required steps to make Libor an optional market input and to use an alternate yield curve like Treasury or SOFR in its place. To access the newsletter please click here.

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

PolyPaths Enterprise Version 7.12 Highlights Webinar Recording Now Available

As a companion to our recent AppPort and ALM version 7.12 feature webinars, this webinar highlights the latest enhancements to our database product, PolyPaths Enterprise. This includes an overview of enhancements made to the pricing matrix, updates to our APIs, transparency and efficiency in high performance scenario calculations, improvements to our integration between ALM and Enterprise, enhanced clarity into database performance and security, and finally features that improve reporting and streamline usage. Clients can watch the webinar here.

Pathways Issue No. 30

The March 2022 issue of Pathways is now available! In this month’s issue, David Oh gives insight into new functionality in version 7.12 to stress volatility surfaces independent of one another - for example, shocking Libor volatilities more than SOFR volatilities. To access the newsletter please click here.

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

PolyPaths ALM v7.12 Highlights Webinar Recording Now Available

As a companion to our recent AppPort 7.12 features showcase, this webinar explores the latest enhancements in our forecasting tool, PolyPaths ALM. From mass speed acceleration of distributed simulations to ASC815 hedges, version 7.12 features many enhancements that focus on analytical and productivity improvements both in flexibility and convenience. Clients can now watch our highlights webinar here.

PolyPaths Version 7.12 Highlights Webinar Recording Now Available

PolyPaths Version 7.12 includes several enhancements related to reporting, modeling, and ease of use. Clients can now watch our webinar here to walk through several of the key highlights of version 7.12, including additional features in support of LIBOR transition, complete specification of Market Rates from CSV, ability to model primary-secondary spread as a logistic function, and enhancements to shock volatility surfaces independently when stress testing.