IRR Example (continue)

In absbox, user can calculate irr of a tranche or (multiple tranches) for scenarios of:

During the waterfall distribution, user want to pay up to x% IRR to a bond (which makes IRR of the bond close to that threshold.
Using IRR from the formula, like inspect the current IRR of the bond, or use the IRR in a condition

Init

from absbox import examples,API,EnginePath
localAPI = API(EnginePath.DEV, check=False)

Connecting engine server -> https://absbox.org/api/dev

/home/docs/checkouts/readthedocs.org/user_builds/absbox-doc/envs/latest/lib/python3.11/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
  warnings.warn(

✅Connected, local lib:0.52.3, server:0.52.4

from absbox import Generic

Irr02 = Generic(
    "IRR Case 02"
    ,{"cutoff":"2021-03-01","closing":"2021-04-01","firstPay":"2021-06-20"
     ,"payFreq":["DayOfMonth",20],"poolFreq":"MonthFirst","stated":"2030-01-01"}
    ,{'assets':[["Mortgage"
        ,{"originBalance":2200,"originRate":["fix",0.045],"originTerm":20
          ,"freq":"Monthly","type":"Level","originDate":"2021-02-01"}
          ,{"currentBalance":2200
          ,"currentRate":0.08
          ,"remainTerm":20
          ,"status":"current"}]]}
    ,(("acc01",{"balance":0}),)
    ,(("A1",{"balance":1000
             ,"rate":0.07
             ,"originBalance":1000
             ,"originRate":0.07
             ,"startDate":"2021-04-01"
             ,"rateType":{"Fixed":0.08}
             ,"bondType":{"Sequential":None}})
      ,("B",{"balance":1000
             ,"rate":0.0
             ,"originBalance":1000
             ,"originRate":0.07
             ,"startDate":"2021-04-01"
             ,"rateType":{"Fixed":0.00}
             ,"bondType":{"Equity":None}
             ,"stmt":[["2021-04-01",0,0,0,0,-1000,0,0,None,""],]
             }))
    ,(("incentiveFee",{"type":{"fixFee":100},"feeStart":"2021-04-01"}),)
    ,{"amortizing":[
         ["accrueAndPayInt","acc01",["A1"]]
         ,["payPrin","acc01",["A1"]]
         ,["payPrin","acc01",["B"]]
         #,["payIntResidual","acc01","B",{"limit":("ds",("floorWithZero",("amountForTargetIrr",0.11,"B")))}]
         ,["payIntResidual","acc01","B",{"limit":("ds",("floorWithZero",("amountForTargetIrr",0.10,"B")))}]
         ,["payFee","acc01",['incentiveFee',]]
         ,["payFeeResidual","acc01","incentiveFee"]
     ]}
    ,[["CollectedInterest","acc01"]
      ,["CollectedPrincipal","acc01"]
      ,["CollectedPrepayment","acc01"]
      ,["CollectedRecoveries","acc01"]]
    ,None
    ,None
    ,None
    ,None
    ,("PreClosing","Amortizing")
    )

It says , pay out cash from account acc01 as a residual yield ( which won’t be constrainted to interest due ) to the bond B, by amount limited to a cap , which is the amount will make irr of bond B equal to 10%

["payIntResidual","acc01","B",{"limit":("ds",("floorWithZero",("amountForTargetIrr",0.10,"B")))}]

adding a floorWithZero , because the amountForTargetIrr may return negative

Inspect the IRR changes of bond

r0 = localAPI.run(Irr02
                ,poolAssump=("Pool",("Mortgage",{"CDRPadding":[0.01,0.02]},{"CPR":0.02},{"Rate":0.1,"Lag":5},None)
                                ,None
                                ,None)
                ,runAssump = [
                    ("inspect",["MonthEnd",("irrOfBond","B")]
                                )
                ]
                ,read=True
                )

/home/docs/checkouts/readthedocs.org/user_builds/absbox-doc/envs/latest/lib/python3.11/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
  warnings.warn(

r0['result']['inspect']['<IrrOfBond:B>']

	<IrrOfBond:B>
Date
2021-03-01	-1.000000
2021-03-31	-1.000000
2021-04-30	-1.000000
2021-05-31	-1.000000
2021-06-30	-1.000000
2021-07-31	-1.000000
2021-08-31	-1.000000
2021-09-30	-1.000000
2021-10-31	-1.000000
2021-11-30	-0.991550
2021-12-31	-0.924962
2022-01-31	-0.819225
2022-02-28	-0.691808
2022-03-31	-0.556005
2022-04-30	-0.418251
2022-05-31	-0.284275
2022-06-30	-0.156962
2022-07-31	-0.038095
2022-08-31	0.071716
2022-09-30	0.099997
2022-10-31	0.099997
2022-11-30	0.099997
2022-12-31	0.099997
2023-01-31	0.099997
2023-02-28	0.099997