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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Missing cumulative defaults/delinq/loss when cutoff asset' cashflow #87

Closed yellowbean closed 1 year ago

yellowbean commented 1 year ago

Background

An asset originated date at 2022-1-1, with term of 24 months, remain term =12 then , defaults will be started to project from 2023-1-1. ( because remain term is 12 )

if cutoff date is 2023-6-1, all cashflow ( P & I ) will be aggregated into SPV but the defaults balance are left out:

When calculate cumulative defaults ,calculate period starts from 2023-1-1 instead of 2022-1-1, which leads to under estimate total default balance

Affect Scope

it will make a different if projection date( 2023-1-1) is far behind the cutoff date (2023-6-1)