The US housing market is the world’s largest and more than two-thirds of
US homeowners have a mortgage. The 2008-2009 financial crisis was fueled
in large part by a collapse in the value of mortgage-backed securities
in the US. This crisis crushed US pension funds, investment banks, hedge
funds, asset managers, insurers, and individual investors and
How did the survivors learn the lessons of this collapse and re-tool?
One of the largest fund management companies in the US called on Julia
to help solve a large complex mortgage optimization problem. This helps
the US economy by providing proper valuation of mortgages, needed
investment and liquidity for the mortgage industry, investment
opportunities and returns for investors, and improved security and
stability for the mortgage market, the housing market, and the US and
global financial system.
Switching to Julia reduced the amount of time required to complete
optimization from 558.095 seconds to 1.833 seconds – a speed increase of
Switching to Julia also reduced the number of iterations from 3,110
iterations to 50 iterations – an improvement of 62x.
Their analysts have expanded their use of Julia to model fixed income
portfolios, and have seen similar gains in speed and productivity across
our enterprise products
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