{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Mortgage"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<pre style=\"white-space:pre;overflow-x:auto;line-height:normal;font-family:Menlo,'DejaVu Sans Mono',consolas,'Courier New',monospace\"><span style=\"color: #800080; text-decoration-color: #800080; font-weight: bold\">Connecting engine server -&gt; </span><span style=\"color: #800080; text-decoration-color: #800080; font-weight: bold; text-decoration: underline\">http://localhost:8081</span>\n",
       "</pre>\n"
      ],
      "text/plain": [
       "\u001b[1;35mConnecting engine server -> \u001b[0m\u001b[1;4;35mhttp://localhost:8081\u001b[0m\n"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    },
    {
     "data": {
      "text/html": [
       "<pre style=\"white-space:pre;overflow-x:auto;line-height:normal;font-family:Menlo,'DejaVu Sans Mono',consolas,'Courier New',monospace\">✅<span style=\"color: #008000; text-decoration-color: #008000; font-weight: bold\">Connected, local lib:0.</span><span style=\"color: #008000; text-decoration-color: #008000; font-weight: bold\">28.5</span><span style=\"color: #008000; text-decoration-color: #008000; font-weight: bold\">, server:</span><span style=\"color: #008000; text-decoration-color: #008000; font-weight: bold\">0.31</span><span style=\"color: #008000; text-decoration-color: #008000; font-weight: bold\">.</span><span style=\"color: #008000; text-decoration-color: #008000; font-weight: bold\">2</span>\n",
       "</pre>\n"
      ],
      "text/plain": [
       "✅\u001b[1;32mConnected, local li\u001b[0m\u001b[1;32mb:0\u001b[0m\u001b[1;32m.\u001b[0m\u001b[1;32m28.5\u001b[0m\u001b[1;32m, server:\u001b[0m\u001b[1;32m0.31\u001b[0m\u001b[1;32m.\u001b[0m\u001b[1;32m2\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": [
    "#### No Stress"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [],
   "source": [
    "m = [\"Mortgage\"\n",
    "        ,{\"originBalance\": 12000.0\n",
    "            ,\"originRate\": [\"fix\",0.045]\n",
    "            ,\"originTerm\": 30\n",
    "            ,\"freq\": \"Monthly\"\n",
    "            ,\"type\": \"Level\"\n",
    "            ,\"originDate\": \"2021-02-01\"}\n",
    "        ,{\"currentBalance\": 10000.0\n",
    "            ,\"currentRate\": 0.075\n",
    "            ,\"remainTerm\": 20\n",
    "            ,\"status\": \"Current\"}]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### (\"Mortgage\", `Default`,`Prepayment`,`Recovery`,`Extra`)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Balance</th>\n",
       "      <th>Principal</th>\n",
       "      <th>Interest</th>\n",
       "      <th>Prepayment</th>\n",
       "      <th>Default</th>\n",
       "      <th>Recovery</th>\n",
       "      <th>Loss</th>\n",
       "      <th>WAC</th>\n",
       "      <th>BorrowerNum</th>\n",
       "      <th>PrepayPenalty</th>\n",
       "      <th>CumPrincipal</th>\n",
       "      <th>CumPrepay</th>\n",
       "      <th>CumDelinq</th>\n",
       "      <th>CumDefault</th>\n",
       "      <th>CumRecovery</th>\n",
       "      <th>CumLoss</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2021-12-01</th>\n",
       "      <td>10000.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-01-01</th>\n",
       "      <td>9529.05</td>\n",
       "      <td>470.95</td>\n",
       "      <td>62.50</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>470.95</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-02-01</th>\n",
       "      <td>9055.14</td>\n",
       "      <td>473.91</td>\n",
       "      <td>59.55</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>944.86</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-03-01</th>\n",
       "      <td>8578.28</td>\n",
       "      <td>476.86</td>\n",
       "      <td>56.59</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>1421.72</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-04-01</th>\n",
       "      <td>8098.43</td>\n",
       "      <td>479.85</td>\n",
       "      <td>53.61</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>1901.57</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "             Balance  Principal  Interest  Prepayment  Default  Recovery  \\\n",
       "Date                                                                       \n",
       "2021-12-01  10000.00       0.00      0.00           0        0         0   \n",
       "2022-01-01   9529.05     470.95     62.50           0        0         0   \n",
       "2022-02-01   9055.14     473.91     59.55           0        0         0   \n",
       "2022-03-01   8578.28     476.86     56.59           0        0         0   \n",
       "2022-04-01   8098.43     479.85     53.61           0        0         0   \n",
       "\n",
       "            Loss    WAC BorrowerNum PrepayPenalty  CumPrincipal  CumPrepay  \\\n",
       "Date                                                                         \n",
       "2021-12-01     0  0.075        None          None          0.00          0   \n",
       "2022-01-01     0  0.075        None          None        470.95          0   \n",
       "2022-02-01     0  0.075        None          None        944.86          0   \n",
       "2022-03-01     0  0.075        None          None       1421.72          0   \n",
       "2022-04-01     0  0.075        None          None       1901.57          0   \n",
       "\n",
       "            CumDelinq  CumDefault  CumRecovery  CumLoss  \n",
       "Date                                                     \n",
       "2021-12-01          0           0            0        0  \n",
       "2022-01-01          0           0            0        0  \n",
       "2022-02-01          0           0            0        0  \n",
       "2022-03-01          0           0            0        0  \n",
       "2022-04-01          0           0            0        0  "
      ]
     },
     "execution_count": 14,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "r = localAPI.runAsset(\"2020-01-02\"\n",
    "                     ,[m]\n",
    "                     ,poolAssump=(\"Pool\"\n",
    "                                    ,(\"Mortgage\", None, None, None, None)\n",
    "                                    ,None\n",
    "                                    ,None)\n",
    "                     ,read=True)\n",
    "\n",
    "r[0].head(5)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### Default Assumption\n",
    "\n",
    "`{\"CDR\": x}` -> using constant annualized default rate"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Balance</th>\n",
       "      <th>Principal</th>\n",
       "      <th>Interest</th>\n",
       "      <th>Prepayment</th>\n",
       "      <th>Default</th>\n",
       "      <th>Recovery</th>\n",
       "      <th>Loss</th>\n",
       "      <th>WAC</th>\n",
       "      <th>BorrowerNum</th>\n",
       "      <th>PrepayPenalty</th>\n",
       "      <th>CumPrincipal</th>\n",
       "      <th>CumPrepay</th>\n",
       "      <th>CumDelinq</th>\n",
       "      <th>CumDefault</th>\n",
       "      <th>CumRecovery</th>\n",
       "      <th>CumLoss</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2021-12-01</th>\n",
       "      <td>10000.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-01-01</th>\n",
       "      <td>9496.06</td>\n",
       "      <td>469.33</td>\n",
       "      <td>62.28</td>\n",
       "      <td>0</td>\n",
       "      <td>34.61</td>\n",
       "      <td>0</td>\n",
       "      <td>34.61</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>469.33</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>34.61</td>\n",
       "      <td>0</td>\n",
       "      <td>34.61</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-02-01</th>\n",
       "      <td>8992.57</td>\n",
       "      <td>470.63</td>\n",
       "      <td>59.14</td>\n",
       "      <td>0</td>\n",
       "      <td>32.86</td>\n",
       "      <td>0</td>\n",
       "      <td>32.86</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>939.96</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>67.47</td>\n",
       "      <td>0</td>\n",
       "      <td>67.47</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-03-01</th>\n",
       "      <td>8492.37</td>\n",
       "      <td>472.09</td>\n",
       "      <td>56.02</td>\n",
       "      <td>0</td>\n",
       "      <td>28.11</td>\n",
       "      <td>0</td>\n",
       "      <td>28.11</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>1412.05</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>95.58</td>\n",
       "      <td>0</td>\n",
       "      <td>95.58</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-04-01</th>\n",
       "      <td>7989.58</td>\n",
       "      <td>473.40</td>\n",
       "      <td>52.89</td>\n",
       "      <td>0</td>\n",
       "      <td>29.39</td>\n",
       "      <td>0</td>\n",
       "      <td>29.39</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>1885.45</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>124.97</td>\n",
       "      <td>0</td>\n",
       "      <td>124.97</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "             Balance  Principal  Interest  Prepayment  Default  Recovery  \\\n",
       "Date                                                                       \n",
       "2021-12-01  10000.00       0.00      0.00           0     0.00         0   \n",
       "2022-01-01   9496.06     469.33     62.28           0    34.61         0   \n",
       "2022-02-01   8992.57     470.63     59.14           0    32.86         0   \n",
       "2022-03-01   8492.37     472.09     56.02           0    28.11         0   \n",
       "2022-04-01   7989.58     473.40     52.89           0    29.39         0   \n",
       "\n",
       "             Loss    WAC BorrowerNum PrepayPenalty  CumPrincipal  CumPrepay  \\\n",
       "Date                                                                          \n",
       "2021-12-01   0.00  0.075        None          None          0.00          0   \n",
       "2022-01-01  34.61  0.075        None          None        469.33          0   \n",
       "2022-02-01  32.86  0.075        None          None        939.96          0   \n",
       "2022-03-01  28.11  0.075        None          None       1412.05          0   \n",
       "2022-04-01  29.39  0.075        None          None       1885.45          0   \n",
       "\n",
       "            CumDelinq  CumDefault  CumRecovery  CumLoss  \n",
       "Date                                                     \n",
       "2021-12-01          0        0.00            0     0.00  \n",
       "2022-01-01          0       34.61            0    34.61  \n",
       "2022-02-01          0       67.47            0    67.47  \n",
       "2022-03-01          0       95.58            0    95.58  \n",
       "2022-04-01          0      124.97            0   124.97  "
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "r = localAPI.runAsset(\"2020-01-02\"\n",
    "                     ,[m]\n",
    "                     ,poolAssump=(\"Pool\"\n",
    "                                    ,(\"Mortgage\", {\"CDR\":0.04}, None, None, None)\n",
    "                                    ,None\n",
    "                                    ,None)\n",
    "                     ,read=True)\n",
    "\n",
    "r[0].head(5)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "`{\"CDR\":[x1,x2,x3]}` -> using a curve, starting from date which determined from `remainTerms`"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th></th>\n",
       "      <th>Balance</th>\n",
       "      <th>Principal</th>\n",
       "      <th>Interest</th>\n",
       "      <th>Prepayment</th>\n",
       "      <th>Default</th>\n",
       "      <th>Recovery</th>\n",
       "      <th>Loss</th>\n",
       "      <th>WAC</th>\n",
       "      <th>BorrowerNum</th>\n",
       "      <th>PrepayPenalty</th>\n",
       "      <th>CumPrincipal</th>\n",
       "      <th>CumPrepay</th>\n",
       "      <th>CumDelinq</th>\n",
       "      <th>CumDefault</th>\n",
       "      <th>CumRecovery</th>\n",
       "      <th>CumLoss</th>\n",
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       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2021-12-01</th>\n",
       "      <td>10000.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-01-01</th>\n",
       "      <td>9520.91</td>\n",
       "      <td>470.56</td>\n",
       "      <td>62.44</td>\n",
       "      <td>0</td>\n",
       "      <td>8.53</td>\n",
       "      <td>0</td>\n",
       "      <td>8.53</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>470.56</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>8.53</td>\n",
       "      <td>0</td>\n",
       "      <td>8.53</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-02-01</th>\n",
       "      <td>9031.90</td>\n",
       "      <td>472.69</td>\n",
       "      <td>59.40</td>\n",
       "      <td>0</td>\n",
       "      <td>16.32</td>\n",
       "      <td>0</td>\n",
       "      <td>16.32</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>943.25</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>24.85</td>\n",
       "      <td>0</td>\n",
       "      <td>24.85</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-03-01</th>\n",
       "      <td>8536.30</td>\n",
       "      <td>474.53</td>\n",
       "      <td>56.31</td>\n",
       "      <td>0</td>\n",
       "      <td>21.07</td>\n",
       "      <td>0</td>\n",
       "      <td>21.07</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>1417.78</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>45.92</td>\n",
       "      <td>0</td>\n",
       "      <td>45.92</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-04-01</th>\n",
       "      <td>8058.81</td>\n",
       "      <td>477.49</td>\n",
       "      <td>53.35</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>1895.27</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>45.92</td>\n",
       "      <td>0</td>\n",
       "      <td>45.92</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "             Balance  Principal  Interest  Prepayment  Default  Recovery  \\\n",
       "Date                                                                       \n",
       "2021-12-01  10000.00       0.00      0.00           0     0.00         0   \n",
       "2022-01-01   9520.91     470.56     62.44           0     8.53         0   \n",
       "2022-02-01   9031.90     472.69     59.40           0    16.32         0   \n",
       "2022-03-01   8536.30     474.53     56.31           0    21.07         0   \n",
       "2022-04-01   8058.81     477.49     53.35           0     0.00         0   \n",
       "\n",
       "             Loss    WAC BorrowerNum PrepayPenalty  CumPrincipal  CumPrepay  \\\n",
       "Date                                                                          \n",
       "2021-12-01   0.00  0.075        None          None          0.00          0   \n",
       "2022-01-01   8.53  0.075        None          None        470.56          0   \n",
       "2022-02-01  16.32  0.075        None          None        943.25          0   \n",
       "2022-03-01  21.07  0.075        None          None       1417.78          0   \n",
       "2022-04-01   0.00  0.075        None          None       1895.27          0   \n",
       "\n",
       "            CumDelinq  CumDefault  CumRecovery  CumLoss  \n",
       "Date                                                     \n",
       "2021-12-01          0        0.00            0     0.00  \n",
       "2022-01-01          0        8.53            0     8.53  \n",
       "2022-02-01          0       24.85            0    24.85  \n",
       "2022-03-01          0       45.92            0    45.92  \n",
       "2022-04-01          0       45.92            0    45.92  "
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "r = localAPI.runAsset(\"2020-01-02\"\n",
    "                     ,[m]\n",
    "                     ,poolAssump=(\"Pool\"\n",
    "                                    ,(\"Mortgage\", {\"CDR\":[0.01,0.02,0.03,0.0]}, None, None, None)\n",
    "                                    ,None\n",
    "                                    ,None)\n",
    "                     ,read=True)\n",
    "\n",
    "r[0].head(5)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "`{\"DefaultByAmt\":(\"totalDefaultAmt\",[x1,x2,x3...])`: allocate default balance in cashflow projection"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
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       "\n",
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       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Balance</th>\n",
       "      <th>Principal</th>\n",
       "      <th>Interest</th>\n",
       "      <th>Prepayment</th>\n",
       "      <th>Default</th>\n",
       "      <th>Recovery</th>\n",
       "      <th>Loss</th>\n",
       "      <th>WAC</th>\n",
       "      <th>BorrowerNum</th>\n",
       "      <th>PrepayPenalty</th>\n",
       "      <th>CumPrincipal</th>\n",
       "      <th>CumPrepay</th>\n",
       "      <th>CumDelinq</th>\n",
       "      <th>CumDefault</th>\n",
       "      <th>CumRecovery</th>\n",
       "      <th>CumLoss</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2021-12-01</th>\n",
       "      <td>10000.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-01-01</th>\n",
       "      <td>9481.39</td>\n",
       "      <td>468.61</td>\n",
       "      <td>62.18</td>\n",
       "      <td>0</td>\n",
       "      <td>50</td>\n",
       "      <td>0</td>\n",
       "      <td>50</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>468.61</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>50</td>\n",
       "      <td>0</td>\n",
       "      <td>50</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-02-01</th>\n",
       "      <td>8986.10</td>\n",
       "      <td>470.29</td>\n",
       "      <td>59.10</td>\n",
       "      <td>0</td>\n",
       "      <td>25</td>\n",
       "      <td>0</td>\n",
       "      <td>25</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>938.90</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>75</td>\n",
       "      <td>0</td>\n",
       "      <td>75</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-03-01</th>\n",
       "      <td>8489.19</td>\n",
       "      <td>471.91</td>\n",
       "      <td>56.00</td>\n",
       "      <td>0</td>\n",
       "      <td>25</td>\n",
       "      <td>0</td>\n",
       "      <td>25</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>1410.81</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>100</td>\n",
       "      <td>0</td>\n",
       "      <td>100</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-04-01</th>\n",
       "      <td>8014.33</td>\n",
       "      <td>474.86</td>\n",
       "      <td>53.05</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>1885.67</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>100</td>\n",
       "      <td>0</td>\n",
       "      <td>100</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "             Balance  Principal  Interest  Prepayment  Default  Recovery  \\\n",
       "Date                                                                       \n",
       "2021-12-01  10000.00       0.00      0.00           0        0         0   \n",
       "2022-01-01   9481.39     468.61     62.18           0       50         0   \n",
       "2022-02-01   8986.10     470.29     59.10           0       25         0   \n",
       "2022-03-01   8489.19     471.91     56.00           0       25         0   \n",
       "2022-04-01   8014.33     474.86     53.05           0        0         0   \n",
       "\n",
       "            Loss    WAC BorrowerNum PrepayPenalty  CumPrincipal  CumPrepay  \\\n",
       "Date                                                                         \n",
       "2021-12-01     0  0.075        None          None          0.00          0   \n",
       "2022-01-01    50  0.075        None          None        468.61          0   \n",
       "2022-02-01    25  0.075        None          None        938.90          0   \n",
       "2022-03-01    25  0.075        None          None       1410.81          0   \n",
       "2022-04-01     0  0.075        None          None       1885.67          0   \n",
       "\n",
       "            CumDelinq  CumDefault  CumRecovery  CumLoss  \n",
       "Date                                                     \n",
       "2021-12-01          0           0            0        0  \n",
       "2022-01-01          0          50            0       50  \n",
       "2022-02-01          0          75            0       75  \n",
       "2022-03-01          0         100            0      100  \n",
       "2022-04-01          0         100            0      100  "
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "r = localAPI.runAsset(\"2020-01-02\"\n",
    "                     ,[m]\n",
    "                     ,poolAssump=(\"Pool\"\n",
    "                                    ,(\"Mortgage\", {\"ByAmount\":(100,[0.5,0.25,0.25])}, None, None, None)\n",
    "                                    ,None\n",
    "                                    ,None)\n",
    "                     ,read=True)\n",
    "\n",
    "r[0].head(5)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### Prepayment Assumption"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Balance</th>\n",
       "      <th>Principal</th>\n",
       "      <th>Interest</th>\n",
       "      <th>Prepayment</th>\n",
       "      <th>Default</th>\n",
       "      <th>Recovery</th>\n",
       "      <th>Loss</th>\n",
       "      <th>WAC</th>\n",
       "      <th>BorrowerNum</th>\n",
       "      <th>PrepayPenalty</th>\n",
       "      <th>CumPrincipal</th>\n",
       "      <th>CumPrepay</th>\n",
       "      <th>CumDelinq</th>\n",
       "      <th>CumDefault</th>\n",
       "      <th>CumRecovery</th>\n",
       "      <th>CumLoss</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
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       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2021-12-01</th>\n",
       "      <td>10000.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-01-01</th>\n",
       "      <td>9520.91</td>\n",
       "      <td>470.56</td>\n",
       "      <td>62.44</td>\n",
       "      <td>8.53</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>470.56</td>\n",
       "      <td>8.53</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-02-01</th>\n",
       "      <td>9039.70</td>\n",
       "      <td>473.09</td>\n",
       "      <td>59.45</td>\n",
       "      <td>8.12</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>943.65</td>\n",
       "      <td>16.65</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-03-01</th>\n",
       "      <td>8557.05</td>\n",
       "      <td>475.69</td>\n",
       "      <td>56.45</td>\n",
       "      <td>6.96</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>1419.34</td>\n",
       "      <td>23.61</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-04-01</th>\n",
       "      <td>8071.50</td>\n",
       "      <td>478.25</td>\n",
       "      <td>53.43</td>\n",
       "      <td>7.30</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>1897.59</td>\n",
       "      <td>30.91</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "             Balance  Principal  Interest  Prepayment  Default  Recovery  \\\n",
       "Date                                                                       \n",
       "2021-12-01  10000.00       0.00      0.00        0.00        0         0   \n",
       "2022-01-01   9520.91     470.56     62.44        8.53        0         0   \n",
       "2022-02-01   9039.70     473.09     59.45        8.12        0         0   \n",
       "2022-03-01   8557.05     475.69     56.45        6.96        0         0   \n",
       "2022-04-01   8071.50     478.25     53.43        7.30        0         0   \n",
       "\n",
       "            Loss    WAC BorrowerNum PrepayPenalty  CumPrincipal  CumPrepay  \\\n",
       "Date                                                                         \n",
       "2021-12-01     0  0.075        None          None          0.00       0.00   \n",
       "2022-01-01     0  0.075        None          None        470.56       8.53   \n",
       "2022-02-01     0  0.075        None          None        943.65      16.65   \n",
       "2022-03-01     0  0.075        None          None       1419.34      23.61   \n",
       "2022-04-01     0  0.075        None          None       1897.59      30.91   \n",
       "\n",
       "            CumDelinq  CumDefault  CumRecovery  CumLoss  \n",
       "Date                                                     \n",
       "2021-12-01          0           0            0        0  \n",
       "2022-01-01          0           0            0        0  \n",
       "2022-02-01          0           0            0        0  \n",
       "2022-03-01          0           0            0        0  \n",
       "2022-04-01          0           0            0        0  "
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "r = localAPI.runAsset(\"2020-01-02\"\n",
    "                     ,[m]\n",
    "                     ,poolAssump=(\"Pool\"\n",
    "                                    ,(\"Mortgage\", None, {\"CPR\":0.01}, None, None)\n",
    "                                    ,None\n",
    "                                    ,None)\n",
    "                     ,read=True)\n",
    "\n",
    "r[0].head(5)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Balance</th>\n",
       "      <th>Principal</th>\n",
       "      <th>Interest</th>\n",
       "      <th>Prepayment</th>\n",
       "      <th>Default</th>\n",
       "      <th>Recovery</th>\n",
       "      <th>Loss</th>\n",
       "      <th>WAC</th>\n",
       "      <th>BorrowerNum</th>\n",
       "      <th>PrepayPenalty</th>\n",
       "      <th>CumPrincipal</th>\n",
       "      <th>CumPrepay</th>\n",
       "      <th>CumDelinq</th>\n",
       "      <th>CumDefault</th>\n",
       "      <th>CumRecovery</th>\n",
       "      <th>CumLoss</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2021-12-01</th>\n",
       "      <td>10000.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-01-01</th>\n",
       "      <td>9520.91</td>\n",
       "      <td>470.56</td>\n",
       "      <td>62.44</td>\n",
       "      <td>8.53</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>470.56</td>\n",
       "      <td>8.53</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-02-01</th>\n",
       "      <td>9047.41</td>\n",
       "      <td>473.50</td>\n",
       "      <td>59.50</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>944.06</td>\n",
       "      <td>8.53</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-03-01</th>\n",
       "      <td>8557.68</td>\n",
       "      <td>475.72</td>\n",
       "      <td>56.45</td>\n",
       "      <td>14.01</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>1419.78</td>\n",
       "      <td>22.54</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-04-01</th>\n",
       "      <td>8058.12</td>\n",
       "      <td>477.46</td>\n",
       "      <td>53.34</td>\n",
       "      <td>22.10</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>1897.24</td>\n",
       "      <td>44.64</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "             Balance  Principal  Interest  Prepayment  Default  Recovery  \\\n",
       "Date                                                                       \n",
       "2021-12-01  10000.00       0.00      0.00        0.00        0         0   \n",
       "2022-01-01   9520.91     470.56     62.44        8.53        0         0   \n",
       "2022-02-01   9047.41     473.50     59.50        0.00        0         0   \n",
       "2022-03-01   8557.68     475.72     56.45       14.01        0         0   \n",
       "2022-04-01   8058.12     477.46     53.34       22.10        0         0   \n",
       "\n",
       "            Loss    WAC BorrowerNum PrepayPenalty  CumPrincipal  CumPrepay  \\\n",
       "Date                                                                         \n",
       "2021-12-01     0  0.075        None          None          0.00       0.00   \n",
       "2022-01-01     0  0.075        None          None        470.56       8.53   \n",
       "2022-02-01     0  0.075        None          None        944.06       8.53   \n",
       "2022-03-01     0  0.075        None          None       1419.78      22.54   \n",
       "2022-04-01     0  0.075        None          None       1897.24      44.64   \n",
       "\n",
       "            CumDelinq  CumDefault  CumRecovery  CumLoss  \n",
       "Date                                                     \n",
       "2021-12-01          0           0            0        0  \n",
       "2022-01-01          0           0            0        0  \n",
       "2022-02-01          0           0            0        0  \n",
       "2022-03-01          0           0            0        0  \n",
       "2022-04-01          0           0            0        0  "
      ]
     },
     "execution_count": 11,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "r = localAPI.runAsset(\"2020-01-02\"\n",
    "                     ,[m]\n",
    "                     ,poolAssump=(\"Pool\"\n",
    "                                    ,(\"Mortgage\", None, {\"CPR\":[0.01,0,0.02,0.03]}, None, None)\n",
    "                                    ,None\n",
    "                                    ,None)\n",
    "                     ,read=True)\n",
    "\n",
    "r[0].head(5)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### Recovery/Loss Assumption"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Recovery by Lag"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Balance</th>\n",
       "      <th>Principal</th>\n",
       "      <th>Interest</th>\n",
       "      <th>Prepayment</th>\n",
       "      <th>Default</th>\n",
       "      <th>Recovery</th>\n",
       "      <th>Loss</th>\n",
       "      <th>WAC</th>\n",
       "      <th>BorrowerNum</th>\n",
       "      <th>PrepayPenalty</th>\n",
       "      <th>CumPrincipal</th>\n",
       "      <th>CumPrepay</th>\n",
       "      <th>CumDelinq</th>\n",
       "      <th>CumDefault</th>\n",
       "      <th>CumRecovery</th>\n",
       "      <th>CumLoss</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2023-01-01</th>\n",
       "      <td>3603.11</td>\n",
       "      <td>502.02</td>\n",
       "      <td>25.65</td>\n",
       "      <td>0</td>\n",
       "      <td>3.50</td>\n",
       "      <td>1.30</td>\n",
       "      <td>3.05</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>6319.87</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>77.02</td>\n",
       "      <td>20.85</td>\n",
       "      <td>48.77</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-02-01</th>\n",
       "      <td>3095.32</td>\n",
       "      <td>504.72</td>\n",
       "      <td>22.50</td>\n",
       "      <td>0</td>\n",
       "      <td>3.07</td>\n",
       "      <td>1.14</td>\n",
       "      <td>2.66</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>6824.59</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>80.09</td>\n",
       "      <td>21.99</td>\n",
       "      <td>51.43</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-03-01</th>\n",
       "      <td>2585.45</td>\n",
       "      <td>507.49</td>\n",
       "      <td>19.33</td>\n",
       "      <td>0</td>\n",
       "      <td>2.38</td>\n",
       "      <td>1.05</td>\n",
       "      <td>2.45</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>7332.08</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>82.47</td>\n",
       "      <td>23.04</td>\n",
       "      <td>53.88</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-04-01</th>\n",
       "      <td>2073.02</td>\n",
       "      <td>510.23</td>\n",
       "      <td>16.14</td>\n",
       "      <td>0</td>\n",
       "      <td>2.20</td>\n",
       "      <td>0.92</td>\n",
       "      <td>2.14</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>7842.31</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>84.67</td>\n",
       "      <td>23.96</td>\n",
       "      <td>56.02</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-05-01</th>\n",
       "      <td>1558.31</td>\n",
       "      <td>513.00</td>\n",
       "      <td>12.94</td>\n",
       "      <td>0</td>\n",
       "      <td>1.71</td>\n",
       "      <td>0.71</td>\n",
       "      <td>1.66</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>8355.31</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>86.38</td>\n",
       "      <td>24.67</td>\n",
       "      <td>57.68</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-06-01</th>\n",
       "      <td>1041.23</td>\n",
       "      <td>515.76</td>\n",
       "      <td>9.73</td>\n",
       "      <td>0</td>\n",
       "      <td>1.32</td>\n",
       "      <td>0.66</td>\n",
       "      <td>1.54</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>8871.07</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>87.70</td>\n",
       "      <td>25.33</td>\n",
       "      <td>59.22</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-07-01</th>\n",
       "      <td>521.81</td>\n",
       "      <td>518.57</td>\n",
       "      <td>6.50</td>\n",
       "      <td>0</td>\n",
       "      <td>0.85</td>\n",
       "      <td>0.51</td>\n",
       "      <td>1.19</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>9389.64</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>88.55</td>\n",
       "      <td>25.84</td>\n",
       "      <td>60.41</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-08-01</th>\n",
       "      <td>0.00</td>\n",
       "      <td>521.37</td>\n",
       "      <td>3.25</td>\n",
       "      <td>0</td>\n",
       "      <td>0.44</td>\n",
       "      <td>0.39</td>\n",
       "      <td>0.92</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>9911.01</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>88.99</td>\n",
       "      <td>26.23</td>\n",
       "      <td>61.33</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-09-01</th>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.25</td>\n",
       "      <td>0.59</td>\n",
       "      <td>0.000</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>9911.01</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>88.99</td>\n",
       "      <td>26.48</td>\n",
       "      <td>61.92</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-10-01</th>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.13</td>\n",
       "      <td>0.30</td>\n",
       "      <td>0.000</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>9911.01</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>88.99</td>\n",
       "      <td>26.61</td>\n",
       "      <td>62.22</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "            Balance  Principal  Interest  Prepayment  Default  Recovery  Loss  \\\n",
       "Date                                                                            \n",
       "2023-01-01  3603.11     502.02     25.65           0     3.50      1.30  3.05   \n",
       "2023-02-01  3095.32     504.72     22.50           0     3.07      1.14  2.66   \n",
       "2023-03-01  2585.45     507.49     19.33           0     2.38      1.05  2.45   \n",
       "2023-04-01  2073.02     510.23     16.14           0     2.20      0.92  2.14   \n",
       "2023-05-01  1558.31     513.00     12.94           0     1.71      0.71  1.66   \n",
       "2023-06-01  1041.23     515.76      9.73           0     1.32      0.66  1.54   \n",
       "2023-07-01   521.81     518.57      6.50           0     0.85      0.51  1.19   \n",
       "2023-08-01     0.00     521.37      3.25           0     0.44      0.39  0.92   \n",
       "2023-09-01     0.00       0.00      0.00           0     0.00      0.25  0.59   \n",
       "2023-10-01     0.00       0.00      0.00           0     0.00      0.13  0.30   \n",
       "\n",
       "              WAC BorrowerNum PrepayPenalty  CumPrincipal  CumPrepay  \\\n",
       "Date                                                                   \n",
       "2023-01-01  0.075        None          None       6319.87          0   \n",
       "2023-02-01  0.075        None          None       6824.59          0   \n",
       "2023-03-01  0.075        None          None       7332.08          0   \n",
       "2023-04-01  0.075        None          None       7842.31          0   \n",
       "2023-05-01  0.075        None          None       8355.31          0   \n",
       "2023-06-01  0.075        None          None       8871.07          0   \n",
       "2023-07-01  0.075        None          None       9389.64          0   \n",
       "2023-08-01  0.075        None          None       9911.01          0   \n",
       "2023-09-01  0.000        None          None       9911.01          0   \n",
       "2023-10-01  0.000        None          None       9911.01          0   \n",
       "\n",
       "            CumDelinq  CumDefault  CumRecovery  CumLoss  \n",
       "Date                                                     \n",
       "2023-01-01          0       77.02        20.85    48.77  \n",
       "2023-02-01          0       80.09        21.99    51.43  \n",
       "2023-03-01          0       82.47        23.04    53.88  \n",
       "2023-04-01          0       84.67        23.96    56.02  \n",
       "2023-05-01          0       86.38        24.67    57.68  \n",
       "2023-06-01          0       87.70        25.33    59.22  \n",
       "2023-07-01          0       88.55        25.84    60.41  \n",
       "2023-08-01          0       88.99        26.23    61.33  \n",
       "2023-09-01          0       88.99        26.48    61.92  \n",
       "2023-10-01          0       88.99        26.61    62.22  "
      ]
     },
     "execution_count": 12,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "r = localAPI.runAsset(\"2020-01-02\"\n",
    "                     ,[m]\n",
    "                     ,poolAssump=(\"Pool\"\n",
    "                                    ,(\"Mortgage\", {\"CDR\":0.01}, None, {\"Rate\":0.3,\"Lag\":2}, None)\n",
    "                                    ,None\n",
    "                                    ,None)\n",
    "                     ,read=True)\n",
    "\n",
    "r[0].tail(10)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Recovery Timing"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Balance</th>\n",
       "      <th>Principal</th>\n",
       "      <th>Interest</th>\n",
       "      <th>Prepayment</th>\n",
       "      <th>Default</th>\n",
       "      <th>Recovery</th>\n",
       "      <th>Loss</th>\n",
       "      <th>WAC</th>\n",
       "      <th>BorrowerNum</th>\n",
       "      <th>PrepayPenalty</th>\n",
       "      <th>CumPrincipal</th>\n",
       "      <th>CumPrepay</th>\n",
       "      <th>CumDelinq</th>\n",
       "      <th>CumDefault</th>\n",
       "      <th>CumRecovery</th>\n",
       "      <th>CumLoss</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2023-01-01</th>\n",
       "      <td>3603.11</td>\n",
       "      <td>502.02</td>\n",
       "      <td>25.65</td>\n",
       "      <td>0</td>\n",
       "      <td>3.50</td>\n",
       "      <td>1.12</td>\n",
       "      <td>3.05</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>6319.87</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>77.02</td>\n",
       "      <td>22.09</td>\n",
       "      <td>48.77</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-02-01</th>\n",
       "      <td>3095.32</td>\n",
       "      <td>504.72</td>\n",
       "      <td>22.50</td>\n",
       "      <td>0</td>\n",
       "      <td>3.07</td>\n",
       "      <td>1.00</td>\n",
       "      <td>2.66</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>6824.59</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>80.09</td>\n",
       "      <td>23.09</td>\n",
       "      <td>51.43</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-03-01</th>\n",
       "      <td>2585.45</td>\n",
       "      <td>507.49</td>\n",
       "      <td>19.33</td>\n",
       "      <td>0</td>\n",
       "      <td>2.38</td>\n",
       "      <td>0.84</td>\n",
       "      <td>2.45</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>7332.08</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>82.47</td>\n",
       "      <td>23.93</td>\n",
       "      <td>53.88</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-04-01</th>\n",
       "      <td>2073.02</td>\n",
       "      <td>510.23</td>\n",
       "      <td>16.14</td>\n",
       "      <td>0</td>\n",
       "      <td>2.20</td>\n",
       "      <td>0.73</td>\n",
       "      <td>2.14</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>7842.31</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>84.67</td>\n",
       "      <td>24.66</td>\n",
       "      <td>56.02</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-05-01</th>\n",
       "      <td>1558.31</td>\n",
       "      <td>513.00</td>\n",
       "      <td>12.94</td>\n",
       "      <td>0</td>\n",
       "      <td>1.71</td>\n",
       "      <td>0.58</td>\n",
       "      <td>1.66</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>8355.31</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>86.38</td>\n",
       "      <td>25.24</td>\n",
       "      <td>57.68</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-06-01</th>\n",
       "      <td>1041.23</td>\n",
       "      <td>515.76</td>\n",
       "      <td>9.73</td>\n",
       "      <td>0</td>\n",
       "      <td>1.32</td>\n",
       "      <td>0.47</td>\n",
       "      <td>1.54</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>8871.07</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>87.70</td>\n",
       "      <td>25.71</td>\n",
       "      <td>59.22</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-07-01</th>\n",
       "      <td>521.81</td>\n",
       "      <td>518.57</td>\n",
       "      <td>6.50</td>\n",
       "      <td>0</td>\n",
       "      <td>0.85</td>\n",
       "      <td>0.33</td>\n",
       "      <td>1.19</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>9389.64</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>88.55</td>\n",
       "      <td>26.04</td>\n",
       "      <td>60.41</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-08-01</th>\n",
       "      <td>0.00</td>\n",
       "      <td>521.37</td>\n",
       "      <td>3.25</td>\n",
       "      <td>0</td>\n",
       "      <td>0.44</td>\n",
       "      <td>0.21</td>\n",
       "      <td>0.92</td>\n",
       "      <td>0.075</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>9911.01</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>88.99</td>\n",
       "      <td>26.25</td>\n",
       "      <td>61.33</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-09-01</th>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.09</td>\n",
       "      <td>0.59</td>\n",
       "      <td>0.000</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>9911.01</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>88.99</td>\n",
       "      <td>26.34</td>\n",
       "      <td>61.92</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-10-01</th>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0</td>\n",
       "      <td>0.00</td>\n",
       "      <td>0.03</td>\n",
       "      <td>0.30</td>\n",
       "      <td>0.000</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>9911.01</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>88.99</td>\n",
       "      <td>26.37</td>\n",
       "      <td>62.22</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "            Balance  Principal  Interest  Prepayment  Default  Recovery  Loss  \\\n",
       "Date                                                                            \n",
       "2023-01-01  3603.11     502.02     25.65           0     3.50      1.12  3.05   \n",
       "2023-02-01  3095.32     504.72     22.50           0     3.07      1.00  2.66   \n",
       "2023-03-01  2585.45     507.49     19.33           0     2.38      0.84  2.45   \n",
       "2023-04-01  2073.02     510.23     16.14           0     2.20      0.73  2.14   \n",
       "2023-05-01  1558.31     513.00     12.94           0     1.71      0.58  1.66   \n",
       "2023-06-01  1041.23     515.76      9.73           0     1.32      0.47  1.54   \n",
       "2023-07-01   521.81     518.57      6.50           0     0.85      0.33  1.19   \n",
       "2023-08-01     0.00     521.37      3.25           0     0.44      0.21  0.92   \n",
       "2023-09-01     0.00       0.00      0.00           0     0.00      0.09  0.59   \n",
       "2023-10-01     0.00       0.00      0.00           0     0.00      0.03  0.30   \n",
       "\n",
       "              WAC BorrowerNum PrepayPenalty  CumPrincipal  CumPrepay  \\\n",
       "Date                                                                   \n",
       "2023-01-01  0.075        None          None       6319.87          0   \n",
       "2023-02-01  0.075        None          None       6824.59          0   \n",
       "2023-03-01  0.075        None          None       7332.08          0   \n",
       "2023-04-01  0.075        None          None       7842.31          0   \n",
       "2023-05-01  0.075        None          None       8355.31          0   \n",
       "2023-06-01  0.075        None          None       8871.07          0   \n",
       "2023-07-01  0.075        None          None       9389.64          0   \n",
       "2023-08-01  0.075        None          None       9911.01          0   \n",
       "2023-09-01  0.000        None          None       9911.01          0   \n",
       "2023-10-01  0.000        None          None       9911.01          0   \n",
       "\n",
       "            CumDelinq  CumDefault  CumRecovery  CumLoss  \n",
       "Date                                                     \n",
       "2023-01-01          0       77.02        22.09    48.77  \n",
       "2023-02-01          0       80.09        23.09    51.43  \n",
       "2023-03-01          0       82.47        23.93    53.88  \n",
       "2023-04-01          0       84.67        24.66    56.02  \n",
       "2023-05-01          0       86.38        25.24    57.68  \n",
       "2023-06-01          0       87.70        25.71    59.22  \n",
       "2023-07-01          0       88.55        26.04    60.41  \n",
       "2023-08-01          0       88.99        26.25    61.33  \n",
       "2023-09-01          0       88.99        26.34    61.92  \n",
       "2023-10-01          0       88.99        26.37    62.22  "
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "r = localAPI.runAsset(\"2020-01-02\"\n",
    "                     ,[m]\n",
    "                     ,poolAssump=(\"Pool\"\n",
    "                                    ,(\"Mortgage\", {\"CDR\":0.01}\n",
    "                                                , None\n",
    "                                                , {\"Rate\":0.3,\"Timing\":[0.5,0.25,0.25]}\n",
    "                                                , None)\n",
    "                                    ,None\n",
    "                                    ,None)\n",
    "                     ,read=True)\n",
    "r[0].tail(10)"
   ]
  }
 ],
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