Scanrate has released version 4.5 of RIO and RIO Function Library. This version contain an extension of the loan functions available for liability management applications and mortgage advisory services.
This release also introduces an improved calibration method for the yield curve shifts and delta vectors.
Loan functions
The first version of our loan functions was released in October 2009. Based on extensive feedback from customers we have now released a new set of functions which considerably increase the existing functionality and introduce new calculation settings and product types.
The functions covers the majority of the loans available in the Danish mortgage market, such as fixed rate callable loans, different types of adjustable rate loans as well as ordinary bank loans. The flexible setup makes it is possible to modify almost any loan parameter, e.g. amortization schedule, coupon caps/floors, changes in coupon, fixing rules, loan termination conditions, costs associated with issuance and termination etc.. For an introduction in danish to the capabilities of functions see the Loan Functions Factsheet.