Fixed Income Optimiser
Portfolio & Investment
Constraint-aware rebalancing across sukuk and conventional books, with the regulatory limits built into the problem.
Constraints in the problem
- Limits such as RWA, LCR, NSFR, duration and concentration form part of the formulation
- Every solution returned is already executable
- Objective set by the client: return on capital, asset swap spread or capital consumption
Signals
- Market and quantitative data: carry, DV01, curve position, relative value
- Machine learning: liquidity assessment, anomaly detection, capital efficiency
- Text: sentiment, early spread signals, geopolitical risk
Control and output
- The business sets the objective and risk sets the limits
- The engine proposes and the desk executes
- Output is a buy and sell list with attribution, alongside a before-and-after comparison