Release Notes

Last Updated: 2024-4-29



29th April 2024


29th April 2024 - Improvements to the SAA Optimiser

A few important improvements to the SAA Optimiser are made, enhancing its value for institutional practitioners:

  • It can now accept tailored optimisation objective, instead of just risk. The user would need to give it a customised set of columns and a correlation matrix as a definition. The user can observe the efficient frontier being flipped between different objectives.
  • It can now include Liability Replicating Portfolios (LRPs) in the SAA and optimise on surplus volatility or a tailored objective for the surplus.
  • It can now handle quarterly time series and allow a small number of missing values in any time series. Pair-wise correlations are calibrated between all time series, be it quarterly or monthly.
  • It now accepts zero or negative asset weights, so that long/short positions can enter the optimisation.
  • Now the 'One-Click SCR' will not automatically kick in upon every user edit. This is so that the user can manually overwrite SCR or other values.
  • It can now read input sheets with linked cells correctly.

Thanks my friend Vlad for his great feedbacks on the above points!



Limitations

  • For determining LRP weights, the user would need to do the calculation outside the calculator. A common method is to fit the KRDs of a basket of LRPs to those of the actual liabilities; then the total returns series of those LRPs can be used to represent the liabilities.
  • For a partially-currency-hedged total returns series, the user would still need to compute that series beforehand then feed into the optimiser. A partially hedged series can be computed using the formula Hedged Return = Local Currency Return + (1 - Hedge Ratio) * FX Movement +/- Hedging Gain/Costs


Misc. Bug Fixes

  • Previously some yield curve "get/set/set base" functions (in the Menu) stopped working because of a minor framework update. Now these are fixed.
  • Previously the "Reference Data & Parameters" → "Solvency II - Equity Symmetric Adjustment" manual setting facility stopped working. Now this is fixed.
  • Previously several chart buttons in Cashflow form are mis-located. Now this is fixed.
  • Previously some downloadable example Excel spreadsheets and PowerPoint slides stopped being downloadable due to a link formatting error. Now this is fixed.