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

Cash Flow Analysis: - CF Analysis Graph supports viewing Market Rate Data versus CFs - ‘CF Components’ field added to calc. aggregate summaries of CFs

MSRs: - Schedule format for MSR Recapture Pct supported - Support added for MSR P&I, T&I, & corp advance CFs based on current loans - Ability to export P&I Adv Bal, T&I Adv Bal, & Corp Adv Bal values through time

Modeling: - Market vol surfaces generalized to allow sector vols based on sector curves - Bachelier model implemented for Libor & OIS Swaption, Black to BP Vol conversion - Orig Term, Amort Term & Balloon Amort Term supported for fixed-rate SN’s - Enhancements to support HELOCs - LSM supports amort. cancellable swaps & callable asset swaps w/ user amort. schedules - Time-dependent mean reversion vector for callables supported - Support added for market Cap Vols with 0 or negative absolute strikes

Reporting: - OA Dur & Partial Dur components supported for all Sec Types - Drop & Net Carry supported in Scen. Analysis - Hist. Rate Lookups performed for Floaters Based on Sector Curves - Add’l collateral-level templates added for Agency CMBS & HMBS - Time Value calculation expanded to incl. Time Value both with & without accrued - Support added for Historical Act. v. Model Speeds graphs

Stress Testing: - Changes in Index Rates incl. in scen. files created from MRs using /actual_shock_scn - Support non-parallel CPI shifts using schedule format in Scenario

Deposit: - Prepay Speed Equivs now calc’ed for Deposits - “Prpy Mult” & “Prepay Mult” in Scen. Analysis now apply to Deposits - Most Deposits import-able via CSV