Stress Testing

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.

Equity Options

PolyPaths now supports Equity Options as of version 7.09. Users may load Equity Options into their portfolio from Bloomberg or by manually modeling them. Risk analysis such as interest rate durations and volatility durations as well as horizon analysis and other stress tests may be performed on Equity Options through PolyPaths. One potential use case for equity derivatives, for instance, may be to hedge a portfolio to improve the risk-return profile.

Generalized Current Coupon Model

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

Track your Portfolio against an Index

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 to schedule a demo.

PolyPaths Version 7.09 is now available!

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 or 212-332-6288.

CCAR 2019 in PolyPaths

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 to receive these files.

Secured Overnight Financing Rate (SOFR)

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 for more details on these enhancements and our roadmap related to the LIBOR replacement.

A Yield Curve Equilibrium Model

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.

PolyPaths Version 7.08 is now available!

New Features


  • 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

MSR Webinar

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