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.
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.