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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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Include Obligor Infos to Assets #169

Open yellowbean opened 4 months ago

yellowbean commented 4 months ago

Tag on asset can be very flexible , just act like a map[str, str] , ie

{"rating":"AA"}

or 

{"FICO":"650"}

Because in the CLO transaction , or other transaction, it requires to query sum balance of assets with certain criteria. which suggest, the tagging can be anything. The engine should able to query by type of string.

This will impose strict requirement on the inputs and complex internal query function .

But it seems inevitable .

yellowbean commented 3 days ago

Propose Solution

For each asset, there should be one more extra Optional field obligor

obligor object shall have three optional fields:

Apply assumption

User now are able to apply performance assumption by:

Propose Syntax

In Python wrapper:

("ByObligor"
  ,("EqID",[<ID>...],<Asset Performance Assumption> )
  ,("hasAnyTag",[<Tag>],<Asset Performance Assumption> ) 
  ,("hasAllTag",[<Tag>],<Asset Performance Assumption> ) 
  ,("EqTag",[<Tag>], <Asset Performance Assumption> )
  ,("subsetTag",[<Tag>],<Asset Performance Assumption> ) 
  ,("Rest", <Asset Performance Assumption> ）
  ,....
  )

Strategy