PolyPaths Version 7.07 is now available!

There are many new features in version 7.07 including -


  • Users may now control the Market Vol Unit for Sensitivities and Scenarios, determining whether Black or BP Vols are held constant by default when shifting market rates.
  • Cancellable swaps may now be valued using Least Squares Monte Carlo (LSM) options model.
  • At-the-strike calibration extended to callable floaters and fix-to-float callable flips.
  • Parametric Attribution expanded to allow users to include convexity contributions for mortgage spread, OAS, and volatility risk measures.
  • The Bachelier (normal) model is now supported for Caps and Floors.
  • Binomial Models for Options on Treasury Futures and Eurodollar Futures enhanced to better handle negative interest rates.
  • Users may now retrieve BVol Cap data as well as ED Future convexity adjustments when capturing market data from Bloomberg.
  • Implemented a Displaced Diffusion extension to the BGM interest rate model.
  • Expanded integration with Moody’s cash flow API and credit model.
  • New Addl CF Sched field added to allow users to incorporate fees and generic cash flows as part of an instrument.
  • PolyPaths Prepay Model may now be leveraged to model dynamic decay functions for Deposits.
  • Support added for forward-premium (pure/futures-style) European swaptions.
  • Support added to value FRAs using PolyPaths’ OIS Basis Swap model.
  • Prepay Curves may now be anchored to Borrower Age, and built-in fields for HPC and HDC are now supported for reverse mortgages.
  • Introduce the calculation of Historical Model Loss Severity equivalents.
  • Integrated the Espiel 6.0 Model API including the ability to pass mortgage insurance inputs and interface with a revised Scoring API.

• Reporting: - Enhanced PPMODEL tracing added for ADCo and Espiel models. - OA CPR Equivalents now reported based on average prepayment equivalents along OAS paths. - Expanded reporting for HECM deals including new fields for Participating Balance, Borrower Gender, etc. - Added Histogram to VaR Analysis dialog based on P&L Distribution. - User-Defined Math fields may now reference market data. For example, a user-defined field for moneyness can be computed based on difference between the 30yr mortgage rate and an instrument’s WAC. - Path Analysis reports may now be generated through Batchcal. - Several Delinquency and Historical Prepayment fields added for reporting purposes for Intex CMOs.

• Stress Testing: - Users may now apply Scenario Shocks to Absolute Strike Cap Vol Matrix. - Full volatility scenarios (ie nonparallel shocks to swaption vol surface) may now be viewed and modified within the Scenario Editor. - Absolute Current Coupon Rate projections now supported for 30Yr, 15Yr, 7Yr, 5Yr, 101, and 31 current coupon rates. - Stochastic Scenario generation feature extended to support add’l scenario generation options for interval, scenario name prefix, and floor options for rates and vols.

• Cash Flow Analysis: - “Graph” tab in Analysis->Cash Flow Analysis expanded to include all fields available across Cash Flows, Defaults/Loss, and Servicing tabs. Multiple fields may be graphed at the same time, and frequently used field sets may be saved. - New Vol Graph added to the Market Rates dialog to more easily view swaption vol and cap vol surfaces and spot-check for data outliers. - Expanded cash flow reporting for Deposits including reporting Prepayment based on forecasted decay. We now also report the Ref Index projection for the Current Coupon function for Deposits as CC Ref Index and the projected Spread index for Dynamic Decay as Decay Ref Index. - For callable and putable swaps, we now report a breakdown of principal payments into scheduled amortization vs. unscheduled principal due to calls and puts. - Excess Service Fee and Recapture cash flows may now be modeled for MSRs.

Please do not hesitate to reach out to us at support@polypaths.com or 212-332-6288