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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Include cumulative balance fields in cashflow records #95

Closed yellowbean closed 11 months ago

yellowbean commented 12 months ago

Background

Current cashflow projection will yield a record as snapshot on a date like

Date Balance Principal Default Loss Interest

But it pose drawbacks:

Balance Principal Interest Default
100 20 5 10
75 20 3 4 <--

as point of time of the Arrow, there's no way to infer the total balance of original pool is 100+20+10 = 130

But given the cumulative fields included, the integrity of pool performance record is preserved.

Balance Principal Interest Default CumuDefault CumuPrincipal
100 20 5 10 10 20
75 20 3 5 15 40 <--

This will yield extra benefits like , delinquency pool which has extra balance field .

Propose solution

yellowbean commented 12 months ago

It will break the syntax on engine level but won't be in Python wrapper level

yellowbean commented 11 months ago

b35cb20