New Assumption: CDR+DefaultAtEnd

[yellowbean]

Like a balloon mortgage or other asset that has a large portion of principal repay at the end of life.

For such asset, it's not best to use CDR which means the default rate is evenly distributed over the life time.

But in the real world, it's large default balance is allocated in the last period ,which presents a larger repayment obligation.

To model such feature, the default rate should looks like: ( default rate 1, default rate 2)

• default rate 1 -> used to model the default Over the life time
• default rate 2 -> used to model the default rate at LAST payment

Applicable Asset Class

• Balloon Mortgage
• Installment with I_P type. ( interest only for starting period and one off principal repayment at last period)

[yellowbean]

done at acc8969