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yellowbean
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Hastructure
ABS/MBS cashflow engine written in Haskell, with API to Python and C/Java (on the way)
https://deal-bench.xyz
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[New] First Dollar Loss
#112
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yellowbean
opened
10 months ago
yellowbean
commented
10 months ago
1 . Base on different asset assumption type:
Stress with a list of scenario
Test if a input
bond
is passing either
P&I timely fashion
P&I ultimately fashion
find the
flip point
of scenario
yellowbean
commented
9 months ago
TODO
how to determine the stress for different asset class ?
it could be rate stress ( CDR )
it could be amount stress ( Default Amount )
it could be curve stress ( Rate Curve)
Solution
Create a new endpoint
Algo to search in scenario spaces
Iteration
Return:
a single flip point
flip curve with shows a frontier of first loss for two dimensions
1 . Base on different asset assumption type:
flip point
of scenario