add OAS spread - Githubissues

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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add OAS spread #38

Open yellowbean opened 1 year ago

yellowbean commented 1 year ago

reference sr674.pdf

yellowbean commented 1 year ago

Introduction to Securitization - 2008 - Fabozzi - Appendix B Valuing Mortgage‐Backed and Asset‐Backed Securities.pdf

yellowbean commented 1 year ago

20190619_OAS.pdf

yellowbean commented 7 months ago

Option Adjusted Spreads (Definition, Formula) _ Calculation with Examples.pdf

yellowbean commented 7 months ago

Screenshot 2024-03-01 at 12 21 40

yellowbean commented 7 months ago

The input will be :

a list of interest paths, alongside with prepayment curve interest path should be paired with prepayment curve, as low market interest rate curve leads to high prepayment behavior
with each pair of interest curve/prepayment, generate a path of pool cashflow, then feed to bond cashflow with same interest curve. PV the bond cashflow with spread grid
average the PV of each spread grid
interpolerate PVs/Spreads with input market price