absbox

Prompt

Model a simple mortgage-backed security with a pool of loans and generate cashflow projections.

Output

import absbox
from absbox import API, EnginePath, mkDeal
api = API(EnginePath.PROD)
pool_assets = [
    ["Mortgage",
     {"originBalance": 200000, "originRate": ["fix", 0.04], "originTerm": 360, "freq": "Monthly", "type": "Level", "originDate": "2020-01-01"},
     {"currentBalance": 198000, "currentRate": 0.04, "remainTerm": 359, "status": "Current"}]
]
deal_data = {
    "name": "MortgagePoolDeal",
    "dates": {"cutoff": "2023-01-01", "closing": "2023-02-01", "firstPay": "2023-02-15", "payFreq": ["MonthEnd", 15], "poolFreq": "MonthEnd", "stated": "2033-01-01"},
    "pool": {"assets": pool_assets},
    "accounts": {"acc01": {"balance": 0}},
    "bonds": {"A": {"balance": 200000, "rate": 0.035, "originBalance": 200000, "originRate": 0.035, "startDate": "2023-02-01"}}
}
deal = mkDeal(deal_data)
response = api.run(deal)
print(response['bonds'])  # Bond cashflows
print(response['pool'])   # Pool cashflows
print(response['result']) # Overall deal analysis

Prompt

Create a securitization deal with tranches and perform sensitivity analysis on CPR assumptions.

Output

import absbox
from absbox import API, EnginePath, mkDeal
api = API(EnginePath.PROD)
pool_assets = [
    ["Loan",
     {"originBalance": 500000, "originRate": ["fix", 0.045], "originTerm": 120, "freq": "Monthly", "type": "Level", "originDate": "2021-01-01"},
     {"currentBalance": 490000, "currentRate": 0.045, "remainTerm": 119, "status": "Current"}]
]
deal_data = {
    "name": "CLOWithTranches",
    "dates": {"cutoff": "2023-01-01", "closing": "2023-02-01", "firstPay": "2023-02-15", "payFreq": ["MonthEnd", 15], "poolFreq": "MonthEnd", "stated": "2033-01-01"},
    "pool": {"assets": pool_assets},
    "accounts": {"acc01": {"balance": 0}},
    "bonds": {
        "Senior": {"balance": 400000, "rate": 0.03, "originBalance": 400000, "originRate": 0.03, "startDate": "2023-02-01"},
        "Mezzanine": {"balance": 100000, "rate": 0.06, "originBalance": 100000, "originRate": 0.06, "startDate": "2023-02-01"}
    }
}
# Run initial deal
deal = mkDeal(deal_data)
response = api.run(deal)
# Sensitivity analysis with CPR variation
sensitivity_params = {'CPR': [0.06, 0.08, 0.10]}
response_sensitivity = api.run(deal, params=sensitivity_params)
print(response_sensitivity['result'])  # Sensitivity results for different CPRs