Create Mortgage Performance projection type - 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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Create Mortgage Performance projection type #71

Closed yellowbean closed 1 year ago

yellowbean commented 1 year ago

there are different ways of using pool stress factor to project mortgage cashflows

Apply assumption with sequence:
- whether using prepay before default ? or use default before prepay ?
how delinquency was modeled in the cashflow projection ? https://github.com/yellowbean/Hastructure/issues/17
how recovery is modeled ?

Ideally , the engine shall expose different types of projection to user, user shall able to project cashflow base on their preference