HIMIPref Parameterization Changes

As a result of continuing optimization of parameters, the following optimizableParameters have been changed:

Parameter Old Value New Value
riskPseudoModifiedDurationPort 0.059 0.060
riskPseudoConvexityPort 0.014 0.012
instrumentYieldDisparityValuation 0.360 0.358

I do not consider any of these changes to be particularly earth-shaking (although every little bit helps!) and do not anticipate that any users will find that a slew of trades has suddenly been recommended.

Leave a Reply

You must be logged in to post a comment.