{
"cells": [
{
"cell_type": "markdown",
"metadata": {},
"source": [
"### Run Multiple Scenario on Pool"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"
Connecting engine server -> https://absbox.org/api/dev\n",
"\n"
],
"text/plain": [
"Connecting engine server -> \u001b[4;94mhttps://absbox.org/api/dev\u001b[0m\n"
]
},
"metadata": {},
"output_type": "display_data"
},
{
"name": "stderr",
"output_type": "stream",
"text": [
"/home/xiaoyu/repo/AbsBox/lib/python3.13/site-packages/urllib3/connectionpool.py:1097: InsecureRequestWarning: Unverified HTTPS request is being made to host 'absbox.org'. Adding certificate verification is strongly advised. See: https://urllib3.readthedocs.io/en/latest/advanced-usage.html#tls-warnings\n",
" warnings.warn(\n"
]
},
{
"data": {
"text/html": [
"✅Connected, local lib:0.46.5, server:0.50.1\n",
"\n"
],
"text/plain": [
"✅Connected, local li\u001b[1;92mb:0\u001b[0m.\u001b[1;36m46.5\u001b[0m, server:\u001b[1;36m0.50\u001b[0m.\u001b[1;36m1\u001b[0m\n"
]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"from absbox import API,EnginePath\n",
"\n",
"localAPI = API(EnginePath.DEV, lang='english',check=False)"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"#### Pool\n",
"\n",
"In `Pool` , it will have a field named `assets` ,which contains a list of `assets`"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"outputs": [],
"source": [
"mortgage1 = [\"Mortgage\"\n",
" ,{\"originBalance\": 12000.0\n",
" ,\"originRate\": [\"fix\",0.045]\n",
" ,\"originTerm\": 40\n",
" ,\"freq\": \"monthly\"\n",
" ,\"type\": \"level\"\n",
" ,\"originDate\": \"2021-02-01\"}\n",
" ,{\"currentBalance\": 10000.0\n",
" ,\"currentRate\": 0.075\n",
" ,\"remainTerm\": 30\n",
" ,\"status\": \"current\"}]\n",
"\n",
"mortgage2 = [\"Mortgage\"\n",
" ,{\"originBalance\": 800.0\n",
" ,\"originRate\": [\"fix\",0.045]\n",
" ,\"originTerm\": 25\n",
" ,\"freq\": \"monthly\"\n",
" ,\"type\": \"level\"\n",
" ,\"originDate\": \"2021-02-01\"}\n",
" ,{\"currentBalance\": 600.0\n",
" ,\"currentRate\": 0.075\n",
" ,\"remainTerm\": 15\n",
" ,\"status\": \"current\"}]\n",
"\n",
"myPool = {'assets':[ mortgage1, mortgage2],\n",
" 'cutoffDate':\"2022-03-01\"}"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"#### Set Multi Assumption\n",
"\n",
"It is just a map!"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {},
"outputs": [],
"source": [
"multiAssump= \\\n",
" {\"cdr001\":(\"Pool\",(\"Mortgage\",{\"CDR\":0.01},None,None,None)\n",
" ,None\n",
" ,None)\n",
" ,\"non\":(\"Pool\",(\"Mortgage\",None,None,None,None)\n",
" ,None\n",
" ,None\n",
" )}"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"Make sure call `runPoolByScenarios`"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {},
"outputs": [
{
"name": "stderr",
"output_type": "stream",
"text": [
"/home/xiaoyu/repo/AbsBox/lib/python3.13/site-packages/urllib3/connectionpool.py:1097: InsecureRequestWarning: Unverified HTTPS request is being made to host 'absbox.org'. Adding certificate verification is strongly advised. See: https://urllib3.readthedocs.io/en/latest/advanced-usage.html#tls-warnings\n",
" warnings.warn(\n"
]
}
],
"source": [
"r = localAPI.runPoolByScenarios(myPool,poolAssump=multiAssump,read=True)"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"Use keys from `multiAssump` to retrive results"
]
},
{
"cell_type": "code",
"execution_count": 6,
"metadata": {
"scrolled": true
},
"outputs": [
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" Balance | \n",
" Principal | \n",
" Interest | \n",
" Prepayment | \n",
" Default | \n",
" Recovery | \n",
" Loss | \n",
" WAC | \n",
" BorrowerNum | \n",
" PrepayPenalty | \n",
" CumPrincipal | \n",
" CumPrepay | \n",
" CumDelinq | \n",
" CumDefault | \n",
" CumRecovery | \n",
" CumLoss | \n",
"
\n",
" \n",
" | Date | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
"
\n",
" \n",
" \n",
" \n",
" | 2022-03-01 | \n",
" 9542.79 | \n",
" 345.80 | \n",
" 61.80 | \n",
" 0 | \n",
" 7.62 | \n",
" 0 | \n",
" 7.62 | \n",
" 0.075 | \n",
" None | \n",
" None | \n",
" 345.80 | \n",
" 0 | \n",
" 0 | \n",
" 7.62 | \n",
" 0 | \n",
" 7.62 | \n",
"
\n",
" \n",
" | 2022-04-01 | \n",
" 9186.98 | \n",
" 347.68 | \n",
" 59.58 | \n",
" 0 | \n",
" 8.13 | \n",
" 0 | \n",
" 8.13 | \n",
" 0.075 | \n",
" None | \n",
" None | \n",
" 693.48 | \n",
" 0 | \n",
" 0 | \n",
" 15.75 | \n",
" 0 | \n",
" 15.75 | \n",
"
\n",
" \n",
" | 2022-05-01 | \n",
" 8829.85 | \n",
" 349.56 | \n",
" 57.36 | \n",
" 0 | \n",
" 7.57 | \n",
" 0 | \n",
" 7.57 | \n",
" 0.075 | \n",
" None | \n",
" None | \n",
" 1043.04 | \n",
" 0 | \n",
" 0 | \n",
" 23.32 | \n",
" 0 | \n",
" 23.32 | \n",
"
\n",
" \n",
" | 2022-06-01 | \n",
" 8470.88 | \n",
" 351.45 | \n",
" 55.13 | \n",
" 0 | \n",
" 7.52 | \n",
" 0 | \n",
" 7.52 | \n",
" 0.075 | \n",
" None | \n",
" None | \n",
" 1394.49 | \n",
" 0 | \n",
" 0 | \n",
" 30.84 | \n",
" 0 | \n",
" 30.84 | \n",
"
\n",
" \n",
" | 2022-07-01 | \n",
" 8110.54 | \n",
" 353.35 | \n",
" 52.89 | \n",
" 0 | \n",
" 6.99 | \n",
" 0 | \n",
" 6.99 | \n",
" 0.075 | \n",
" None | \n",
" None | \n",
" 1747.84 | \n",
" 0 | \n",
" 0 | \n",
" 37.83 | \n",
" 0 | \n",
" 37.83 | \n",
"
\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" Balance Principal Interest Prepayment Default Recovery Loss \\\n",
"Date \n",
"2022-03-01 9542.79 345.80 61.80 0 7.62 0 7.62 \n",
"2022-04-01 9186.98 347.68 59.58 0 8.13 0 8.13 \n",
"2022-05-01 8829.85 349.56 57.36 0 7.57 0 7.57 \n",
"2022-06-01 8470.88 351.45 55.13 0 7.52 0 7.52 \n",
"2022-07-01 8110.54 353.35 52.89 0 6.99 0 6.99 \n",
"\n",
" WAC BorrowerNum PrepayPenalty CumPrincipal CumPrepay \\\n",
"Date \n",
"2022-03-01 0.075 None None 345.80 0 \n",
"2022-04-01 0.075 None None 693.48 0 \n",
"2022-05-01 0.075 None None 1043.04 0 \n",
"2022-06-01 0.075 None None 1394.49 0 \n",
"2022-07-01 0.075 None None 1747.84 0 \n",
"\n",
" CumDelinq CumDefault CumRecovery CumLoss \n",
"Date \n",
"2022-03-01 0 7.62 0 7.62 \n",
"2022-04-01 0 15.75 0 15.75 \n",
"2022-05-01 0 23.32 0 23.32 \n",
"2022-06-01 0 30.84 0 30.84 \n",
"2022-07-01 0 37.83 0 37.83 "
]
},
"execution_count": 6,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"r['cdr001']['PoolConsol']['flow'].head()"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"#### Run Multiple Pools with Multiple Assumptions"
]
},
{
"cell_type": "code",
"execution_count": 7,
"metadata": {},
"outputs": [],
"source": [
"receivable1 = [\"Invoice\"\n",
" ,{\"start\":\"2024-04-01\",\"originBalance\":2000\n",
" ,\"originAdvance\":1500,\"dueDate\":\"2024-06-01\"}\n",
" ,{\"status\":\"Current\"}]\n",
"\n",
"myMixedPool = {\"invoicePool\": {'assets':[receivable1],}\n",
" ,\"mortgagePool\": {'assets':[mortgage1]}\n",
" ,'cutoffDate':\"2022-03-01\"}"
]
},
{
"cell_type": "code",
"execution_count": 8,
"metadata": {},
"outputs": [
{
"name": "stderr",
"output_type": "stream",
"text": [
"/home/xiaoyu/repo/AbsBox/lib/python3.13/site-packages/urllib3/connectionpool.py:1097: InsecureRequestWarning: Unverified HTTPS request is being made to host 'absbox.org'. Adding certificate verification is strongly advised. See: https://urllib3.readthedocs.io/en/latest/advanced-usage.html#tls-warnings\n",
" warnings.warn(\n"
]
}
],
"source": [
"mPoolAssump0 = (\"Pool\",\n",
" (\"Mortgage\",None,None,None,None)\n",
" ,None\n",
" ,None)\n",
"\n",
"mPoolAssump = (\"Pool\",\n",
" (\"Mortgage\",{\"CDR\":0.01},None,None,None)\n",
" ,None\n",
" ,None)\n",
"\n",
"iPoolAssump0 = (\"Pool\"\n",
" ,(\"Receivable\", None, None, None)\n",
" ,None\n",
" ,None)\n",
"\n",
"iPoolAssump = (\"Pool\"\n",
" ,(\"Receivable\", {\"CDR\":0.01}, None, None)\n",
" ,None\n",
" ,None)\n",
"\n",
"\n",
"r = localAPI.runPoolByScenarios(myMixedPool\n",
" ,poolAssump = {\"NonStress\":(\"ByPoolId\",\n",
" {\"invoicePool\":iPoolAssump0\n",
" ,\"mortgagePool\":mPoolAssump0})\n",
" ,\"Stress\":(\"ByPoolId\",\n",
" {\"invoicePool\":iPoolAssump\n",
" ,\"mortgagePool\":mPoolAssump})}\n",
" ,read=True)"
]
},
{
"cell_type": "code",
"execution_count": 9,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" Balance | \n",
" AccuredFee | \n",
" Principal | \n",
" Fee | \n",
" Default | \n",
" Recovery | \n",
" Loss | \n",
" CumPrincipal | \n",
" CumPrepay | \n",
" CumDelinq | \n",
" CumDefault | \n",
" CumRecovery | \n",
" CumLoss | \n",
"
\n",
" \n",
" | Date | \n",
" | \n",
" | \n",
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" | \n",
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"
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" \n",
" \n",
" \n",
" | 2024-04-01 | \n",
" 2000 | \n",
" 0 | \n",
" 0 | \n",
" 0 | \n",
" 0 | \n",
" 0 | \n",
" 0 | \n",
" 0 | \n",
" 0 | \n",
" 0 | \n",
" 0 | \n",
" 0 | \n",
" 0 | \n",
"
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" \n",
" | 2024-06-01 | \n",
" 0 | \n",
" 0 | \n",
" 2000 | \n",
" 0 | \n",
" 0 | \n",
" 0 | \n",
" 0 | \n",
" 0 | \n",
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" 0 | \n",
" 0 | \n",
" 0 | \n",
"
\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" Balance AccuredFee Principal Fee Default Recovery Loss \\\n",
"Date \n",
"2024-04-01 2000 0 0 0 0 0 0 \n",
"2024-06-01 0 0 2000 0 0 0 0 \n",
"\n",
" CumPrincipal CumPrepay CumDelinq CumDefault CumRecovery \\\n",
"Date \n",
"2024-04-01 0 0 0 0 0 \n",
"2024-06-01 0 0 0 0 0 \n",
"\n",
" CumLoss \n",
"Date \n",
"2024-04-01 0 \n",
"2024-06-01 0 "
]
},
"execution_count": 9,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"r['NonStress']['invoicePool']['flow'].head()"
]
},
{
"cell_type": "code",
"execution_count": 10,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" Balance | \n",
" Principal | \n",
" Interest | \n",
" Prepayment | \n",
" Default | \n",
" Recovery | \n",
" Loss | \n",
" WAC | \n",
" BorrowerNum | \n",
" PrepayPenalty | \n",
" CumPrincipal | \n",
" CumPrepay | \n",
" CumDelinq | \n",
" CumDefault | \n",
" CumRecovery | \n",
" CumLoss | \n",
"
\n",
" \n",
" | Date | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
" | \n",
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" | \n",
" | \n",
" | \n",
"
\n",
" \n",
" \n",
" \n",
" | 2022-03-01 | \n",
" 9059.53 | \n",
" 307.14 | \n",
" 58.54 | \n",
" 0 | \n",
" 7.22 | \n",
" 0 | \n",
" 7.22 | \n",
" 0.075 | \n",
" None | \n",
" None | \n",
" 307.14 | \n",
" 0 | \n",
" 0 | \n",
" 7.22 | \n",
" 0 | \n",
" 7.22 | \n",
"
\n",
" \n",
" | 2022-04-01 | \n",
" 8743.01 | \n",
" 308.80 | \n",
" 56.57 | \n",
" 0 | \n",
" 7.72 | \n",
" 0 | \n",
" 7.72 | \n",
" 0.075 | \n",
" None | \n",
" None | \n",
" 615.94 | \n",
" 0 | \n",
" 0 | \n",
" 14.94 | \n",
" 0 | \n",
" 14.94 | \n",
"
\n",
" \n",
" | 2022-05-01 | \n",
" 8425.32 | \n",
" 310.48 | \n",
" 54.59 | \n",
" 0 | \n",
" 7.21 | \n",
" 0 | \n",
" 7.21 | \n",
" 0.075 | \n",
" None | \n",
" None | \n",
" 926.42 | \n",
" 0 | \n",
" 0 | \n",
" 22.15 | \n",
" 0 | \n",
" 22.15 | \n",
"
\n",
" \n",
" | 2022-06-01 | \n",
" 8105.99 | \n",
" 312.15 | \n",
" 52.61 | \n",
" 0 | \n",
" 7.18 | \n",
" 0 | \n",
" 7.18 | \n",
" 0.075 | \n",
" None | \n",
" None | \n",
" 1238.57 | \n",
" 0 | \n",
" 0 | \n",
" 29.33 | \n",
" 0 | \n",
" 29.33 | \n",
"
\n",
" \n",
" | 2022-07-01 | \n",
" 7785.46 | \n",
" 313.84 | \n",
" 50.62 | \n",
" 0 | \n",
" 6.69 | \n",
" 0 | \n",
" 6.69 | \n",
" 0.075 | \n",
" None | \n",
" None | \n",
" 1552.41 | \n",
" 0 | \n",
" 0 | \n",
" 36.02 | \n",
" 0 | \n",
" 36.02 | \n",
"
\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" Balance Principal Interest Prepayment Default Recovery Loss \\\n",
"Date \n",
"2022-03-01 9059.53 307.14 58.54 0 7.22 0 7.22 \n",
"2022-04-01 8743.01 308.80 56.57 0 7.72 0 7.72 \n",
"2022-05-01 8425.32 310.48 54.59 0 7.21 0 7.21 \n",
"2022-06-01 8105.99 312.15 52.61 0 7.18 0 7.18 \n",
"2022-07-01 7785.46 313.84 50.62 0 6.69 0 6.69 \n",
"\n",
" WAC BorrowerNum PrepayPenalty CumPrincipal CumPrepay \\\n",
"Date \n",
"2022-03-01 0.075 None None 307.14 0 \n",
"2022-04-01 0.075 None None 615.94 0 \n",
"2022-05-01 0.075 None None 926.42 0 \n",
"2022-06-01 0.075 None None 1238.57 0 \n",
"2022-07-01 0.075 None None 1552.41 0 \n",
"\n",
" CumDelinq CumDefault CumRecovery CumLoss \n",
"Date \n",
"2022-03-01 0 7.22 0 7.22 \n",
"2022-04-01 0 14.94 0 14.94 \n",
"2022-05-01 0 22.15 0 22.15 \n",
"2022-06-01 0 29.33 0 29.33 \n",
"2022-07-01 0 36.02 0 36.02 "
]
},
"execution_count": 10,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"r['Stress']['mortgagePool']['flow'].head()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3 (ipykernel)",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
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