The Dynamic Schedule functionality on Mirai enhances how financial institutions model and price contracts with irregular or non standard repricing structures.
Unlike traditional fixed or floating patterns, Dynamic Schedules (DS) enables the modeling of products with shifting repricing curves, changing accrual conventions, evolving spreads, or transitions between fixed and floating regimes, all within a single contract lifecycle.
This advanced flexibility enables users to model complex instruments with complete accuracy by replicating non-standard pricing structures, dynamically adapting to real world product features and market driven conditions.
The Dynamic Schedule capability extends Mirai’s financial behavior framework by introducing an entirely new layer of flexibility for repricing mechanics, allowing multiple shifts in key parameters such as reference type, repricing curve, repricing frequency, tenor, accrual type, and spread across the entire horizon of a contract.
Mirai offers a flexible and granular way to configure multiple portfolios (or specific contracts within portfolios) by including a new interface dedicated to pricing non-standard positions.
Users can control and audit the pricing algorithms included through the Process Monitor screen, where they can upload the behavior that includes all dynamic pricing conditions for a given report date.
Dynamic Schedule functions by allowing users to define a sequence of repricing and accrual conditions that automatically apply at different stages of a contract’s life. Users can reference single contracts (or pools of contracts) in the source systems and apply pricing terms conditional on the period (referencing the start/age of the contract, report date, or calendar dates) and apply pricing behavior that impact attributes such as:
accrual_type (e.g., ACT/360, ACT/365, 30/ACT)
reference (Fixed or Floating)
fixed_rate (for fixed legs)
pricing curve, reference point, spread or repricing frequency
This structure allows for virtually any repricing pattern, from predictable transitions (e.g., floating → fixed after a certain number of months) to highly customized structures (e.g., floating EURIBOR until a calendar cutoff, then fixed, then floating again with a new repricing curve e.g. ESTR).
The analytical capabilities in Mirai allow ALM users to review in detail all pricing stages and changes through dedicated metric fields for analysis.
A bank holds a floating rate bond that begins life referenced to EUR LIBOR 6M with an ACT/360 accrual convention. Eighteen months after the reporting date, it switches to a new curve and accrual basis [EURIBOR with ACT/365] before eventually converting into a fixed rate bond after another 18 months.
Using Dynamic Schedule, this sequence is modeled with two entries in the DS interface:
Accrual: ACT/360 → ACT/365
Curve: EUR LIBOR → EURIBOR
Tenor: 6M → ON
Reference remains Floating
Spread remains 0%
Reference: Floating → Fixed
Coupon: Fixed
All changes appear in the results table, with dynamic fields capturing the precise repricing curves, accrual types, and coupon logic applicable to each period. Metrics such as interest cashflow, NII, and coupon evolve accordingly across the timeline.
Dynamic Schedule also applies to new business, enabling banks to model products like nonstandard mixed rate mortgages:
Years 0–5: Fixed coupon
Years 5-10: Floating rate referencing a managed or administered rate (incentive rate)
After year 10: Floating rate referencing a market rate (such as EURIBOR)
All other new business parameters (accrual type, interest frequency, principal frequency) are automatically inherited from the run off dimension, requiring minimal user intervention. The results table dynamically shows coupon transitions and their downstream impacts on NII, PVE, and interest cashflows.
Dynamic Pricing Schedule introduces a new dimension of flexibility to Mirai, enabling users to price highly complex financial products that deviate from standard repricing rules. With the ability to model evolving accrual methods, shifting reference curves, and dynamic transitions between fixed and floating regimes, DS equips institutions to accurately represent real world product features and market responsive pricing structures. Seamlessly integrated into both run off and new business processes, this innovation dramatically enhances modeling precision and product control across all Mirai environments.