Case Study: Largest Fund Management Company achieves 304x faster mortgage optimization with Julia Computing

One of the largest global fund managers is using Julia to model the world’s largest mortgage market

One of the largest global fund management companies partnered with Julia Computing to tackle a large, complex mortgage optimization challenge in the world’s largest mortgage market. The firm needed better modeling to support mortgage valuation, investment decisions, liquidity, and overall market stability.

Julia Computing provided Julia to accelerate the company’s mortgage modeling and optimization work. The result was a dramatic performance gain: optimization time dropped from 558.095 seconds to 1.833 seconds, a 304x speed increase, while iterations fell from 3,110 to 50, a 62x improvement. The company has since expanded its use of Julia to model fixed income portfolios with similar gains in speed and productivity.