This meeting was primarily an in-depth technical discussion among members of team "State Changers" about how to handle data input, data calculation, and state management for a financial project. Two stages of development were highlighted: the functioning and development of the "Solver" and the calibration of a floating rate array. In the first part of the discussion, they confirmed that Solver is functioning as intended. The second focus of the meeting encompassed handling of array calculations involving yield curves and benchmarks in the context of fixed and floating rates.
The major issue discussed was how to handle different yield changing periods being out of sync with the output from the incremental date to maturity model. The team engaged in a thorough discourse on restructuring the existing benchmark yield curve, how "rate" should apply to different periods, how to improve "information efficiency," and if any additional inputs would be required. It was concluded that the current information available was sufficient, but creating a function to calculate the "average yield" for a specified time period was advised for better abstraction and potential future code changes. The meeting concluded with the agreement to further experiment with the function based on the input from the discussion. They decided to focus more on calculating periods rather than date ranges which would simplify the process. Participants' technical vocabulary suggests familiarity with computer science & programming, with languages or platforms mentioned. The question asked by Pavel towards the end was not included in the transcript.
(Source: State Change Office Hours 9/28/2023 AM )
