Starting in June, PolyPaths will be hosting weekly 30 minute webinars on various topics, including demos of new features, Q&A sessions on topics of interests, overviews of underutilized features, and both targeted and general training sessions to help new users get up to speed with the system. The schedule for June is available here. Please contact email@example.com with any questions. In addition, if you have any topics you would like to recommend for a future webinar, we welcome your suggestions!
PolyPaths is thrilled to be attending the 2019 MBA National Secondary Conference in Times Square from May 19 to 22! PolyPaths offers a versatile, easy-to-use, fixed income analytics solution with uncompromising analytical rigor. To learn more about our product, reach out to firstname.lastname@example.org to schedule a meeting. We’ll be at Booth 408 so please stop by!
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.
PolyPaths offers a detailed stress testing FAQ along that walks through a step-by-step example of building the CCAR 2019 scenarios in PolyPaths. The document starts with the manual version for illustration of what each step is doing, but then moves into how to automate the entire process including bulk import of the scenario definitions and export of the results. Sample reference files are also available with the scenarios in both CSV and SCN format. Please reach out to us at firstname.lastname@example.org to receive these files.
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 email@example.com for more details on these enhancements and our roadmap related to the LIBOR replacement.