SCR Calculator User Manual

Version 1.16.0.0 Last modified 2024-12-8

Overview

The Fixed Income Portfolio Optimiser is a versatile, line-level optimisation tool suitable for a wide range of applications beyond insurance asset management.

It is designed for fixed income portfolio managers looking to enhance their existing portfolios with minimal turnover or create an optimal model portfolio from scratch to meet the specific requirements of a new mandate.

By maximising yield or spread while adhering to multi-dimensional constraints, the optimiser delivers tangible P&L improvements and offers fresh perspectives for portfolio construction.

In the following sections, we will demonstrate its functionality through a detailed example.