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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new endpoint : combo sensitivity analysis #215

Open yellowbean opened 2 weeks ago

yellowbean commented 2 weeks ago

Screenshot 2024-09-25 at 12 52 08

Currently, user can perform sensitivity on a single component, either on Deal Obj or Deal Run Assumption or Pool Performance assumption.

But there is not functionality to expose a Joint sensitivity that simulation both Deal Obj AND Pool Performance Assumption, i.e: Different tranche sizing with different pool performance.

Then the input signature :

A map of deal obj, A map of pool performance, A map of Deal run assumption.

The response type:

A map with 
* Key : (name of deal obj, name of pool performance, name of deal run assump)
* Value : <Single Run Result>