The October 2023 issue of Pathways is now available! For this month’s case study, Kedron Wolcott, walks through an example of High-Performance Scenario Calculations (HPSC) on a book of TBAs. His analysis utilizes our stochastic scenario generator in conjunction with PolyPaths’ Enterprise solution to arrive at a table of P&L values spread across interest rate scenarios derived from PolyPaths’ industry-leading LIBOR / SOFR Market Model, with deep dive analysis available for any path(s) of interest. To access the newsletter please click here.
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