The PolyPaths fixed income platform provides a solution designed with the requirements of modern bank stress testing, including CCAR and DFAST (Dodd-Frank Act Stress Test) supervisory scenarios published by the Federal Reserve. Using the PolyPaths system, market value and risk can be calculated across these or any scenario defined using our flexible framework. Scenarios can be defined based on shifts to many common spreads and term structures used in fixed-income analysis including yield curves, volatility surfaces, current coupon term structures, and pricing spreads (OAS). Calculations and reports can be generated ad-hoc or scheduled using our command-line utility or Enterprise add-on.
New to PolyPaths version 7.09 is a generalized current coupon framework which allows users to integrate many commonly-used current coupon functional forms without the need to program a fully-custom current coupon model. Examples of the features currently supported through this framework include reversion of secondary rates to a long-term spread, dynamic primary-secondary spread functions, and embedded caps and floors on spreads. For more information or to request a demo, please contact us at email@example.com.
PolyPaths now supports an Index Security Type. Users can either provide the Index data directly or use Bloomberg to automatically source the risk metrics for indices such as the family of Bloomberg Barclays Fixed Income Indices. Once the Index has been added to the portfolio, returns can be benchmarked against the Index either in a portfolio or sub-portfolio basis. Additionally, users may evaluate the returns under a multitude of stress scenarios through the PolyPaths Scenario Analysis framework. Please contact us at firstname.lastname@example.org to schedule a demo.
Analytic support has been added for Equity Options, Bloomberg Barclays Bond Indices, and SOFR-linked instruments. A Generalized Current Coupon Model has been implemented which provides the option to specify a time-varying secondary spread as well as a P-S spread calculation via text file. Along these lines, GNMA CC rates and spreads are retrieved and accessible for current coupon modeling. To help meet regulatory needs, multi-horizon volatility shock capability has been added to our stress testing framework. Lastly, deeper analysis of PolyPaths’ interest rate simulation for path dependent securities is now offered.
For more information regarding version 7.09, please reach out to us at email@example.com or 212-332-6288.
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.