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yellowbean / 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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Enhance pricing on assets #168

Open yellowbean opened 4 months ago

yellowbean commented 4 months ago

Missing outputs Screenshot 2024-04-24 at 21 08 16

yellowbean commented 4 months ago

I'm not sure if Convexity/AccruedInterest really make sense to have right now .

Probabaly , AccuredInterest will have an impact on the PV

yellowbean commented 4 months ago

There should be a flag AccuredInterest in pool ,so that ,user have the option to include accrued interest should be included in the pool in the closing date of deal issuance.

The calculation of the AccuredInterest should be implemented.

yellowbean commented 1 month ago

Need to implement pricing via curve