The March 2023 issue of Pathways is now available! In this month’s issue, Daniel Wang explores how VaR can be leveraged across large data sets where LIBOR data may terminate while SOFR may not cover an entire lookback period. To handle this, PolyPaths has introduced built-in and extendible fallback logic, allowing users to designate fallback curves and volatility surfaces that can be used as proxies for historical intervals for which the primary driver curve or vol may not be available. To access the newsletter please click here.
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