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update IC test doc
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‎absbox/local/base.py‎

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@@ -109,7 +109,7 @@
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,"平均比例","irrOfBond"])
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intLikeFormula = set(["borrowerNumber", "monthsTillMaturity", "periodNum"])
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boolLikeFormula = set(["trigger", "事件", "isMostSenior", "最优先", "isPaidOff","清偿完毕","rateTest","allTest","anyTest","比率测试","任一测试","所有测试"
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"isOutstanding"])
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"isOutstanding","isAnyOutstanding"])
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bookDirection = {"Credit":"Credit" ,"Debit":"Debit"
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,"借方":"Debit" ,"贷方":"Credit"

‎docs/source/modeling.rst‎

Lines changed: 13 additions & 3 deletions
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@@ -269,6 +269,9 @@ Pool
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.. versionadded:: 0.24.1
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* ``("schedulePoolValuation", <pricing method>, <pool name1>, <pool name2>..)`` -> get valuation on schedule cashflow from specific pool or all pools with :ref:`Pricing Method`
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.. versionadded:: 0.52.3
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* ``(poolAccruedInterest, )`` -> get accrued interest of the pool
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Accounts
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"""""""""""""
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* ``("accountBalance",)`` -> sum of all account balance
@@ -365,7 +368,8 @@ Bool Type
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.. versionadded:: 0.28.10
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* ``("isOutstanding", "A", "B", "C"...)`` -> True if all "A","B","C" bonds are ALL active
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.. versionadded:: 0.52.3
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* ``("isAnyOutstanding", "A", "B", "C"...)`` -> True if any of "A","B","C" bonds are active
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Or `formula` can be an arithmetic calculation on itselfies.
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@@ -3469,7 +3473,9 @@ examples:
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source of funds:
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* :ref:`Accounts`
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* :ref:`Liquidity Provider`
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* a combination of above
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* a combination of abovef
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.. versionadded:: 0.52.3
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* with a :ref:`Condition` to trigger the support ( if the test return True, then the support will be triggered)
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syntax:
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``["payFee", {Account}, [<Fee>], {'support':<supports>}]``
@@ -3483,10 +3489,14 @@ examples:
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* supported by liquidity provider:
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* ``["facility","liquidity provider name"]``
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* supported by mix (draw via sequence)
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* supported by mix (draw funds sequentially)
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* ``["support" ,["account","accountName1"] ,["facility","liquidity provider name"] ,["account","accountName2"]]``
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* conditionally support
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* ``["withCondition", <Condition>, <support>]``
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<ordering>
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""""""""""""""""
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‎docs/source/nbsample/IC_Test.ipynb‎

Lines changed: 38 additions & 32 deletions
Original file line numberDiff line numberDiff line change
@@ -10,16 +10,12 @@
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},
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{
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"cell_type": "code",
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"execution_count": 1,
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"execution_count": null,
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"id": "b8d9117c",
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"metadata": {},
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"outputs": [],
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"source": [
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"%load_ext autoreload\n",
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"%autoreload 2\n",
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"\n",
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"import pandas as pd\n",
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"\n",
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"pd.set_option('display.max_rows', None)"
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]
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},
@@ -73,10 +69,12 @@
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"bond_ICs = [(\"A\",(\"A1\",),1.05),(\"B\",(\"A1\",\"B\"),1.03)]\n",
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"\n",
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"IC_triggers = {f\"IC_{tName}\":\n",
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" {\"condition\":((\"/\",(\"accountBalance\",\"intAcc\")\n",
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" ,(\"bondDueInt\",*b))\n",
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" ,\"<\"\n",
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" ,threshold)\n",
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" {\"condition\":[\"all\"\n",
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" ,[(\"bondDueInt\",*b),\">\",0]\n",
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" ,[(\"/\", (\"accountBalance\",\"intAcc\"),(\"bondDueInt\",*b))\n",
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" ,\"<\"\n",
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" ,threshold]\n",
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" ]\n",
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" ,\"effects\":None\n",
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" ,\"status\":False\n",
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" ,\"curable\":True}\n",
@@ -86,12 +84,10 @@
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"OC_triggerNames = list(OC_triggers.keys())\n",
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"\n",
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"\n",
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"\n",
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"\n",
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"CLO_sample = Generic(\n",
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" \"CLO_sample\"\n",
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" ,{\"cutoff\":\"2021-03-01\",\"closing\":\"2021-06-15\",\"firstPay\":\"2021-07-26\"\n",
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" ,\"payFreq\":[\"DayOfMonth\",20],\"poolFreq\":\"MonthEnd\",\"stated\":\"2030-01-01\"}\n",
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" ,\"payFreq\":[\"DayOfMonth\",20],\"poolFreq\":\"MonthEnd\",\"stated\":\"2030-01-01\"}\n",
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" ,{'assets':[[\"Mortgage\"\n",
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" ,{\"originBalance\":2200,\"originRate\":[\"fix\",0.045],\"originTerm\":30\n",
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" ,\"freq\":\"Monthly\",\"type\":\"Level\",\"originDate\":\"2021-02-01\"}\n",
@@ -107,36 +103,36 @@
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" ,{\"amortizing\":[\n",
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" # intereset waterfall\n",
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" # accrue and pay senior fee \n",
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" [\"calcAndPayFee\",\"intAcc\",['seniorFee']]\n",
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" [\"calcAndPayFee\",\"intAcc\",['seniorFee']]\n",
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" # accrue interest for both bonds (NO payment) \n",
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" ,[\"calcInt\",\"A1\",\"B\"]\n",
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" ,[\"calcInt\",\"A1\",\"B\"]\n",
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" # calculate OC and IC test\n",
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" ,['runTriggers',*IC_triggerNames]\n",
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" ,['runTriggers',*(IC_triggerNames)]\n",
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" # payout interest of A1 \n",
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" ,[\"payInt\",\"intAcc\",[\"A1\"]]\n",
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" ,[\"payInt\",\"intAcc\",[\"A1\"]]\n",
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" # if all IC test is passing \n",
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" ,[\"IfElse\",[(\"trigger\",\"InDistribution\", \"IC_A1\"),False],\n",
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" ,[\"IfElse\",[(\"trigger\",\"InDistribution\", \"IC_A1\"),False],\n",
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" # if passing\n",
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" [[\"payInt\",\"intAcc\",[\"B\"]]\n",
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" ,[\"calcAndPayFee\",\"intAcc\",['subFee']]\n",
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" ,[\"payIntResidual\",\"intAcc\",\"E\"]]\n",
117+
" ,[\"calcAndPayFee\",\"intAcc\",['subFee']]\n",
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" ,[\"payIntResidual\",\"intAcc\",\"E\"]]\n",
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" # if failing, redemption senior to satisfy IC\n",
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" ,[[\"payPrin\",\"intAcc\",[\"A1\"]\n",
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" ,{\"limit\":{\"formula\":(\"bondBalance\",\"A1\")}}\n",
126-
" ]\n",
127-
" # update IC test again\n",
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" ,['runTriggers',*IC_triggerNames]\n",
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" # if IC test is passing\n",
121+
" ,{\"limit\":{\"formula\":(\"bondBalance\",\"A1\")}}\n",
122+
" ]\n",
123+
" # update IC test again\n",
124+
" #,['runTriggers',*IC_triggerNames]\n",
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" # if IC test is passing\n",
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" ,[\"If\",[(\"trigger\",\"InDistribution\", \"IC_A1\"), False],\n",
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" # pay interest of B and residual to E\n",
132128
" [\"payInt\",\"intAcc\",[\"B\"]],\n",
133129
" [\"calcAndPayFee\",\"intAcc\",['subFee']],\n",
134130
" [\"payIntResidual\",\"intAcc\",\"E\"]]\n",
135131
" ]]\n",
136132
" # principal waterfall\n",
137-
" ,[\"payPrinBySeq\",\"prinAcc\",[\"A1\",\"B\"]]\n",
138-
" ,[\"payPrinResidual\",\"prinAcc\",[\"E\"]]\n",
139-
" ]}\n",
133+
" ,[\"payPrinBySeq\",\"prinAcc\",[\"A1\",\"B\"]]\n",
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" ,[\"payPrinResidual\",\"prinAcc\",[\"E\"]]\n",
135+
" ]}\n",
140136
" ,[[\"CollectedInterest\",\"intAcc\"]\n",
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" ,[\"CollectedPrincipal\",\"prinAcc\"]\n",
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" ,[\"CollectedPrepayment\",\"prinAcc\"]\n",
@@ -151,7 +147,7 @@
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},
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{
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"cell_type": "code",
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"execution_count": 64,
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"execution_count": null,
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"id": "79adf3c9",
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"metadata": {},
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"outputs": [
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},
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{
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"cell_type": "code",
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"execution_count": 65,
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"execution_count": null,
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"id": "f748d10e",
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"metadata": {},
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"outputs": [
@@ -463,7 +459,17 @@
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}
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],
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"source": [
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"r['triggers']['InWF']['IC_A1']"
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"r['triggers']['InWF']['IC_A1'].head(20)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "ede47df5",
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"metadata": {},
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"outputs": [],
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"source": [
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"r['triggers']['InWF']['IC_A1'].head(20).loc['2021-07-26'].memo"
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]
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},
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{
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],
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"metadata": {
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"kernelspec": {
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"display_name": "Python 3 (ipykernel)",
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"display_name": "AbsBox (3.13.3)",
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"language": "python",
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"name": "python3"
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},
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.11.9"
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"version": "3.13.3"
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}
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},
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"nbformat": 4,

‎docs/source/nbsample/MultiIntBond.ipynb‎

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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.11.2"
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"version": "3.13.3"
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}
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},
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"nbformat": 4,

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