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1 Sep 2010: work has started on version 7 of GRM/OPD which will include a web based version of the program, as well as other new functionality! 

 

4 Jun 2010: how long does it take your pensions valuation software to run? OPD version 6.50 takes 30 seconds (including producing detailed output to Excel) to value a UK pension plan with more than 20,000 members.  OPD650 includes further significant improvements in speed, customisation and a new "Store valuation run automatically in batch file" in OPD650 - see here for screenshots and short video clips.

 

Our GRM/OPD software has support for yield curve valuations and automated production of results by member in drill down cashflows, screenshots can be seen here and here respectively.

 

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 Yield curve valuations in OPD 
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OPD input files in format 5.50 (required for yield curve calculations) have an extra column in the ValuationEconomicAssumptions table on the FinancialData&Assumptions. This represents the year from which a forward rate (for discount, salary increase or price inflation) applies (until and unless superseded by a rate at a higher term.
OPD input files in format 5.50 (required for yield curve calculations) have an extra column in the ValuationEconomicAssumptions table on the FinancialData&Assumptions. This represents the year from which a forward rate (for discount, salary increase or price inflation) applies (until and unless superseded by a rate at a higher term.
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If a dual basis applies (e.g. different discount rates for current pensioners), forward discount rates for the secondary basis are set similarly for each term.
If a dual basis applies (e.g. different discount rates for current pensioners), forward discount rates for the secondary basis are set similarly for each term.
Viewed: 381 times.
Similarly, yield curves can be set for any pension increase overrides (assumptions that you want to tell the program to use [e.g. for LPI or other cap and collar formulae] (as opposed to letting the program calculate its own estimate of a reasonable assumption for such rates. Terms specified in the ValuationPensionIncreaseOverrides table must correspond to terms previously set in the ValuationEconomicAssumptions table.
Similarly, yield curves can be set for any pension increase overrides (assumptions that you want to tell the program to use [e.g. for LPI or other cap and collar formulae] (as opposed to letting the program calculate its own estimate of a reasonable assumption for such rates.
Terms specified in the ValuationPensionIncreaseOverrides table must correspond to terms previously set in the ValuationEconomicAssumptions table.
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To perform valuation calculations (e.g. commutation factor, enhanced benefit or aggregate/drilldown cashflow projections) using a yield curve, simply run the calculations in the normal way, but selecting an Excel OPD inputs file in OPD550 format with the appropriate yield curve specified.
To perform valuation calculations (e.g. commutation factor, enhanced benefit or aggregate/drilldown cashflow projections) using a yield curve, simply run the calculations in the normal way, but selecting an Excel OPD inputs file in OPD550 format with the appropriate yield curve specified.
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Select an existing or new file for your detailed valuation output in the usual way.
Select an existing or new file for your detailed valuation output in the usual way.
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This screenshot shows the output from a commutation factor valuation where a yield curve has been specified. The Summary worksheet of the output file has a comment highlighted in red to warn you that a yield curve has been used. The key assumptions from the yield curve are also shown, with the terms shown in red.
This screenshot shows the output from a commutation factor valuation where a yield curve has been specified. The Summary worksheet of the output file has a comment highlighted in red to warn you that a yield curve has been used. The key assumptions from the yield curve are also shown, with the terms shown in red.
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The format of the rest of the output is unchanged from that for an input file which does not support yield curves. Here the valuation balance sheet and summary of implied future contribution rates are shown.
The format of the rest of the output is unchanged from that for an input file which does not support yield curves. Here the valuation balance sheet and summary of implied future contribution rates are shown.
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If no yield curve is present in the OPD Excel inputs file used, comments are added in the Summary worksheet of the output file stating that no yield curve was present (and the red highlighting/terms from which rates are apply which appear for output with yield curves are absent).
If no yield curve is present in the OPD Excel inputs file used, comments are added in the Summary worksheet of the output file stating that no yield curve was present (and the red highlighting/terms from which rates are apply which appear for output with yield curves are absent).
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Similar red highlighting and information about the yield curves used appears in output from other valuation calculations, e.g. here from the new drilldown cashflow valuation (with results shown for each individual member) introduced in OPD version 5.9.0.
Similar red highlighting and information about the yield curves used appears in output from other valuation calculations, e.g. here from the new drilldown cashflow valuation (with results shown for each individual member) introduced in OPD version 5.9.0.
Viewed: 437 times.
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