10 MARCH 2016 – In the previous release of System updating in correspondence to negative interest rate, Numerical Technologies has announced the version upgrade regarding support of negative interest rate in correspondence to the unconventional monetary policy in Japan. Understanding the urgent needs from our existing customers, Numerical Technologies initiated the software updating at no additional charge and put a high priority on the task.
Update
It is expected that the issue of previously unsupported negative interest rate for certain products will be addressed in the following version upgrade.
Example
As both fixed and floating interest rate were not allowed to fall below zero, the negative cash flow was not supported previously. Negative cash flow was not supported by external cash flow feature either.
According to the latest upgrade, users now can adopt negative interest rate for both market rate and contract rate. The following is an example of how negative coupon payments are generated in a typical corporate loan using the system.
Numerical Technologies is a financial risk management software company and consulting firm that specializes in high-performance computing (HPC), parallel Monte Carlo simulation, and financial modeling. Since 1998, we have been helping some of the largest banks and insurance companies globally to quantify risk, identify opportunities, and meet economic and regulatory capital requirements. Numerical Technologies holds office in Singapore and Tokyo.