Rolling Triggers

[Orangemaple23]

Hi @yellowbean, thanks for all the development you've implemented so far!

I see wtihin the documentation that you've defined a 3 month rolling default rate trigger as ("avg", ("cumPoolDefaultedRate",) , ("cumPoolDefaultedRateTill",-1,) , ("cumPoolDefaultedRateTill",-2,) ) However, would it be possible to get a tag for curPoolDefaultedRate instead of cumPoolDefaultedRate? I tried to replicate a Default rate trigger to try and replicate the current pool defaulted rate `[ ("/", ("-", #avg works ('cumPoolDefaultedRate',), ('cumPoolDefaultedRateTill', -1),

('cumPoolDefaultedRateTill', -2),

                      ),
                      ("constant",2)
                      ),
            ">",
            x,
        ],`  

      However, these triggers do not work, I have attached a notebook showing this. Let me know what you think!

rolling_triggers.zip

[yellowbean]

Hi @Orangemaple23

May I have some context from the deal documents ? that would help me better to see how to build a right formula

• cumPoolDefaultedRate -> cumulative default balance / current pool balance, this is most common trigger threshold to be setup in most ABS transactions. ("cumPoolDefaultedRate",) means current period cumulative default rate.

If you want to get "current default balance / current pool balance "

• PoolCurCollection [PoolSource] -> current balance from current pool collection period, you can get current default balance , and use formula / with current pool balance to get current default rate

  curDefaultRate = ("/", ("curPoolCollection", None, "Defaults"),("poolBalance",))

Here : https://absbox-doc.readthedocs.io/en/latest/modeling.html#pool

If you try to replicate cumulative default rate formula

you can get cumulative default balance via cumulative pool collection and divide by a current pool balance

    curCumDefaultRate = ("/", ("cumPoolCollection", None, "Defaults"),("poolBalance",))

Let me know if that works , I'm happy to assist further.

[Orangemaple23]

Hi @yellowbean, so for example there could be a 3 month default rate trigger defined like: "3-Month Average Default Rate" refers to, on each calculation date, the rate calculated by taking (A) the sum of (i) the Default Rate as of the Calculation Date two (2) months prior; (ii) the Default Rate as of the Calculation Date one (1) month prior; and (iii) the Default Rate as of the current Calculation Date, and then dividing that total by (B) 3.

Where default rate is the current default rate of the previous period only

[yellowbean]

Hi @yellowbean, so for example there could be a 3 month default rate trigger defined like: "3-Month Average Default Rate" refers to, on each calculation date, the rate calculated by taking (A) the sum of (i) the Default Rate as of the Calculation Date two (2) months prior; (ii) the Default Rate as of the Calculation Date one (1) month prior; and (iii) the Default Rate as of the current Calculation Date, and then dividing that total by (B) 3.

Where default rate is the current default rate of the previous period only

what's the definition of Default Rate ? is it

• new default balance at t / pool balance at t
• cumulative default amount at t / pool balance at t

I see. the formula is :

new default balance at (t-2) / pool balance at (t-2) + new default balance at (t-1) / pool balance at (t-1) + new default balance at (t) / pool balance at (t)

and divide by 3

yes ?

[Orangemaple23]

Hi @yellowbean Yes precisely!

[yellowbean]

Hi @yellowbean Yes precisely!

Getting new default at last N period is not implemented. I'll think about it ,hopefully it should be ready in dev branch before this Friday.

[yellowbean]

rolling default rate 02.ipynb.zip

new propose formula

• ratio which is ratio of two balance type
• avgRatio , average of list of ratios

hastructure: 0.29.5 absbox: 0.29.6

@Orangemaple23 pls let me know if the formula works as expected. (see the notebook example)

[Orangemaple23]

Hi @yellowbean Yes I can confirm that the formula works as expected. Thank you very much for the support and the developments!