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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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Delinquency Ratio Rolling Average #69

Closed yellowbean closed 1 year ago

yellowbean commented 1 year ago

image

yellowbean commented 1 year ago

Two requirements

A

the tricky part is to ensure ,when collecting pool flow to deal , it shall always consolidate the pool cashflow and merge them by "Collection Period" ,then it make possible to calculate pool stats base on collection period.

once pool collection data were aggregated by collection period, then it is possible to get rolling average by N on each stats

B

Model delinquency -> https://github.com/yellowbean/Hastructure/issues/17

yellowbean commented 1 year ago

A.-> Done , 22afd41fe4d1ba9354a18fd7ef90621855917210 , consolidate cashflow periods to single period. Now it's easy to query on pool stats in N -period collections in the past. Getting stats like Total Prepayment amount in last 3 periods, Higher number of default balance in last 10 periods etc.

Now ,it remains B to implement

yellowbean commented 1 year ago

B. https://github.com/yellowbean/Hastructure/pull/77 , now the engine can query last N period cumulative default rate , etiher "Average","Max","Min", "Sum". The next step would be expose delinquency projection

C. -> Model delinquency rates