First Loss Example

Init

from absbox import examples,API,EnginePath

localAPI = API(EnginePath.DEV, lang='english', 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

Run Input

Using endpoint runRootFinder()

Start with a tuple with :

• “firstLoss”

• deal object

• performance assumption

• run assumption

• bond name

r0 = localAPI.runRootFinder(
                    examples.test01
                    ,("Pool",("Mortgage",{"CDRPadding":[0.01,0.02]},{"CPR":0.02},{"Rate":0.1,"Lag":5},None)
                            ,None
                            ,None)
                    ,[]
                    ,("firstLoss", "A1")
                )

/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(

Result

The first element in the r0 is the factor which will cause first 0.01 loss on the bond

r0[0]

38.68797748235171

The second element in the r0 is

• the deal

• the stressed performance assumption used

• the run assumption used

r0[1]

[{'MDeal': {'name': 'TEST01',
   'status': {'PreClosing': {'tag': 'Amortizing'}},
   'dates': {'GenericDates': {'ClosingDate': {'SingletonDate': '2021-04-01'},
     'CutoffDate': {'SingletonDate': '2021-03-01'},
     'FirstPayDate': {'SingletonDate': '2021-06-20'},
     'FirstCollectDate': {'SingletonDate': '2021-04-01'},
     'StatedMaturityDate': {'SingletonDate': '2030-01-01'},
     'DistributionDates': 'DayOfMonth',
     'CollectionDates': 'MonthFirst'}},
   'accounts': {'acc01': {'accBalance': 0,
     'accName': 'acc01',
     'accInterest': None,
     'accType': None,
     'accStmt': None}},
   'fees': {},
   'bonds': {'A1': {'bndName': 'A1',
     'bndType': 'Sequential',
     'bndOriginInfo': {'originBalance': 1000,
      'originDate': '2020-01-03',
      'originRate': 0.07,
      'maturityDate': None},
     'bndInterestInfo': {'Fix': [0.08, 'DC_ACT_365F']},
     'bndStepUp': None,
     'bndBalance': 1000,
     'bndRate': 0.07,
     'bndDuePrin': 0,
     'bndDueInt': 0,
     'bndDueIntOverInt': 0,
     'bndDueIntDate': None,
     'bndLastIntPay': None,
     'bndLastPrinPay': None,
     'bndStmt': None,
     'tag': 'Bond'},
    'B': {'bndName': 'B',
     'bndType': 'Equity',
     'bndOriginInfo': {'originBalance': 1000,
      'originDate': '2020-01-03',
      'originRate': 0.07,
      'maturityDate': None},
     'bndInterestInfo': {'Fix': [0, 'DC_ACT_365F']},
     'bndStepUp': None,
     'bndBalance': 1000,
     'bndRate': 0,
     'bndDuePrin': 0,
     'bndDueInt': 0,
     'bndDueIntOverInt': 0,
     'bndDueIntDate': None,
     'bndLastIntPay': None,
     'bndLastPrinPay': None,
     'bndStmt': None,
     'tag': 'Bond'}},
   'pool': {'MultiPool': {'PoolConsol': {'assets': [{'Mortgage': [{'originBalance': 2200,
          'originRate': {'Fix': ['DC_ACT_365F', 0.045]},
          'originTerm': 20,
          'period': 'Monthly',
          'startDate': '2021-02-01',
          'prinType': 'Level',
          'prepaymentPenalty': None,
          'obligor': None,
          'tag': 'MortgageOriginalInfo'},
         2200,
         0.08,
         20,
         None,
         'Current']}],
      'futureCf': None,
      'futureScheduleCf': None,
      'asOfDate': '2021-03-01',
      'issuanceStat': {},
      'extendPeriods': 'MonthEnd'}}},
   'waterfall': {'DistributionDay Amortizing': [{'AccrueAndPayInt': [None,
       'acc01',
       ['A1'],
       None]},
     {'PayPrin': [None, 'acc01', ['A1'], None]},
     {'PayPrin': [None, 'acc01', ['B'], None]},
     {'PayIntResidual': [None, 'acc01', 'B']}]},
   'collects': [{'Collect': [None, 'CollectedInterest', 'acc01']},
    {'Collect': [None, 'CollectedPrincipal', 'acc01']},
    {'Collect': [None, 'CollectedPrepayment', 'acc01']},
    {'Collect': [None, 'CollectedRecoveries', 'acc01']}],
   'stats': [{}, {}, {}, {}],
   'liqProvider': None,
   'rateSwap': None,
   'rateCap': None,
   'currencySwap': None,
   'custom': None,
   'triggers': None,
   'ledgers': None}},
 {'PoolLevel': [{'MortgageAssump': [{'DefaultVecPadding': [0.3868797748235171,
       0.7737595496470342]},
     {'PrepaymentCPR': 0.02},
     {'Recovery': [0.1, 5]},
     None]},
   [],
   'DummyDefaultAssump']},
 {'stopRunBy': None,
  'projectedExpense': None,
  'callWhen': None,
  'revolving': None,
  'interest': None,
  'inspectOn': None,
  'buildFinancialReport': None,
  'pricing': None,
  'fireTrigger': None,
  'makeWholeWhen': None,
  'issueBondSchedule': None,
  'refinance': None},
 []]