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 support@polypaths.com for more details on these enhancements and our roadmap related to the LIBOR replacement.

This month, Stanley Diller, co-founder and principal at PolyPaths, explains his continuing research on the Yield Curve with a paper titled ‘Equilibrium’. “Most people think of a yield curve (YC) as a sequence of yields ordered by their maturities. This view is adequate as long as” Please contact us if you would like to read further.

New Features

General:

• 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 support@polypaths.com.

There are many new features in version 7.07 including -

Modeling:

• 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.