Several recent enhancements have been made to support the secured overnight financing rate (SOFR) and the associated instruments that are trading, including 1m/3m SOFR futures, SOFR swaps, and SOFR-based floating notes. These changes are part of version 7.08.2 and later releases. Please contact firstname.lastname@example.org for more details on these enhancements and our roadmap related to the LIBOR replacement.
- ADCO HPI3 & LDM Multi-Family Model Integration
- Espiel 6.2 Model Integration
- Periodic Auto-Save Feature implemented
- Pricing Matrix expanded to apply rules-based pricing to loan portfolios
- One-sided KRDs & User Durations supported
- 6M Tenor supported for Partial Vega
- Scenario Path-wise & Average OAS CF Reports available
- 12 & 15 year Eris swap futures supported
Thank you to all who attended our MSR valuation and hedging webinar overview, which covered the following topics:
- Modeling the MSR Asset o Loan or Cohort Upload via CSV o MSR Cash Flow Model o Decomposing Value Across Cash Flow Components
- Modeling Hedging Instruments
- Static and OAS Valuation
- Static and OAS Cash Flows
- Risk Measures and P&L Attribution
If you missed this and would like more information on MSR through PolyPaths, please contact us at email@example.com.
There are many new features in version 7.07 including -
- Users may now control the Market Vol Unit for Sensitivities and Scenarios, determining whether Black or BP Vols are held constant by default when shifting market rates.