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.