Pricing a single asset
m = ["Mortgage"
,{"originBalance": 12000.0
,"originRate": ["fix",0.045]
,"originTerm": 30
,"freq": "Monthly"
,"type": "Level"
,"originDate": "2021-02-01"}
,{"currentBalance": 10000.0
,"currentRate": 0.075
,"remainTerm": 20
,"status": "Current"}]
from absbox import 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/stable/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:0.52.3
Pricing by balance
### Pricing a single Mortgage
r = localAPI.runAsset("2020-01-02"
,[m]
,poolAssump=("Pool"
,("Mortgage", {"CDR":0.01}
, None
, {"Rate":0.3,"Timing":[0.5,0.25,0.25]}
, None)
,None
,None)
,pricing=["Current|Defaulted",0.95,0]
,read=True)
r[1]
/home/docs/checkouts/readthedocs.org/user_builds/absbox-doc/envs/stable/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(
| Pricing | WAL | Duration | Convexity | AccruedInterest | |
|---|---|---|---|---|---|
| 0 | 9500 | 2.95 | -1 | -1 | -1 |
Pricing by rate
r = localAPI.runAsset("2021-12-01"
,[m]
,poolAssump=("Pool"
,("Mortgage", {"CDR":0.01}
, None
, {"Rate":0.3,"Timing":[0.5,0.25,0.25]}
, None)
,None
,None)
,pricing=["PvRate",0.0525]
,read=True)
r[1]
/home/docs/checkouts/readthedocs.org/user_builds/absbox-doc/envs/stable/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(
| Pricing | WAL | Duration | Convexity | AccruedInterest | |
|---|---|---|---|---|---|
| 0 | 10142.91 | 0.92 | 0.859649 | 0 | 61.64 |
Pricing by curve
r = localAPI.runAsset("2021-12-01"
,[m]
,poolAssump=("Pool"
,("Mortgage", {"CDR":0.01}
, None
, {"Rate":0.3,"Timing":[0.5,0.25,0.25]}
, None)
,None
,None)
,pricing=["PVCurve",[["2021-12-01",0.0525]
,["2022-12-01",0.0825]]]
,read=True)
r[1]
/home/docs/checkouts/readthedocs.org/user_builds/absbox-doc/envs/stable/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(
| Pricing | WAL | Duration | Convexity | AccruedInterest | |
|---|---|---|---|---|---|
| 0 | 9930.16 | 0.92 | 0.852143 | 0 | 61.64 |