SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

Overview

The Fixed Income Portfolio Optimiser is a powerful line-level optimiser not restricted to insurance asset management.

It is suitable for use by any fixed income portfolio manager who wishes to regularly improve their existing portfolio at smallish turnovers, or build an ideal model portfolio from scratch to meet tailored demands of a new mandate.

By maximising yield or spread while conforming to multi-dimensional constraints, it can generate tangible P&L and provide inspiration for portfolio construction from new angles.

In the following sections, we talk though its usage using a concrete example.