expose default at end with rate assump

yellowbean · Aug 15, 2024 · f981746 · f981746
1 parent 7def2df
commit f981746
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Showing 4 changed files with 13 additions and 2 deletions.
diff --git a/absbox/local/china.py b/absbox/local/china.py
@@ -30,7 +30,6 @@ def readTrgStmt(x):
     return pd.DataFrame(list(tz.pluck("contents", tStmt)), columns=china_trigger_flow_fields_d).set_index("日期")
 
 
-
 @dataclass
 class SPV:
     名称: str

diff --git a/absbox/local/component.py b/absbox/local/component.py
@@ -1442,6 +1442,8 @@ def mkAssumpDefault(x):
             return mkTag(("DefaultByAmt", (vNum(bal), vList(rs,numVal))))
         case "DefaultAtEnd":
             return mkTag(("DefaultAtEnd"))
+        case {"DefaultAtEndByRate":(r1,r2)}:
+            return mkTag(("DefaultAtEndByRate", [vNum(r1), vNum(r2)]))
         case _ :
             raise RuntimeError(f"failed to match {x}")
 

diff --git a/docs/requirements.txt b/docs/requirements.txt
@@ -5,4 +5,10 @@ sphinxemoji
 notebook
 myst-nb
 absbox
-pyxirr
+pyxirr
+toolz
+lenses
+dateparser
+more_itertools
+pandas
+python-dateutil
diff --git a/docs/source/analytics.rst b/docs/source/analytics.rst
@@ -126,6 +126,7 @@ Performing
     * ``{"CDR":0.01}`` means 1% in annualized of current balance will be defaulted at the end of each period
     * ``{"CDR":[0.01,0.02,0.04]}`` means a vector of CDR will be applied since the asset snapshot date (determined by ``remain terms``)
     * ``{"ByAmount":(2000,[500,500,1000])}`` apply a custom default amount vector.
+    * ``{"DefaultAtEndByRate":(0.05,0.10)}``, will apply 5% as CDR for all periods except last period. The last period will use default CDR 10% (which start from begining day).
 
 * <Prepayment Assumption>
 
@@ -187,6 +188,7 @@ Summary
         "Default Assumption" -> "{'CDR':x}"
         "Default Assumption" -> "{'CDR':[x...]}"
         "Default Assumption" -> "{'ByAmount':(<total>, [x...])}"
+        "Default Assumption" -> "{'DefaultAtEndByRate':(x,y)}"
         "Prepayment Assumption" -> "{'CPR':x}"
         "Prepayment Assumption" -> "{'CPR':[x...]}"
         "Recovery Assumption" -> "{'Rate':x,'Lag':y}"
@@ -230,6 +232,7 @@ Summary
         Performing -> "Recovery Assumption"
         "Prepayment Assumption" -> "{'CPR':x}"
         "Default Assumption" -> "{'CDR':x}"
+        "Default Assumption" -> "{'DefaultAtEndByRate':(x,y)}"
         "Recovery Assumption" -> "{'Rate':x,'Lag':y}"
     }
 
@@ -269,6 +272,7 @@ Summary
         Performing -> "Recovery Assumption"
         "Prepayment Assumption" -> "{'CPR':x}"
         "Default Assumption" -> "{'CDR':x}"
+        "Default Assumption" -> "{'DefaultAtEndByRate':(x,y)}"
         "Recovery Assumption" -> "{'Rate':x,'Lag':y}"
     }