Running Inflation-Linked Instruments in PolyPaths

Within PolyPaths, users have the ability to incorporate inflation-linked securities in their portfolios. With general uncertainty looming over the post-pandemic economy, these instruments may enjoy favorable returns or provide a hedge against potential outcomes like inflation. Inflation Curves can be fed in by the user or retrieved programmatically from Bloomberg, and then can be leveraged in running valuation and risk on inflation-linked securities. Our support includes: Treasury Inflation-Protected Securities (TIPS), Zero-Coupon Inflation Swaps (ZCIS),and other CPI-linked instruments. Furthermore for those clients using Moody’s Analytics for structured products, CPI assumptions are also passed to the Moody’s Cash Flow Engine. The inflation assumptions can also be stressed in PolyPaths’ Scenario Analysis. Please contact us at for any questions.