/StructuredProducts-AbsBox

a cashflow engine wrapper for structured finance professionals

Primary LanguagePythonApache License 2.0Apache-2.0

AbsBox

a structured finance cashflow engine wrapper for structured credit professionals:

  • transparency -> open source for both wrapper and backend engine, great variable inspection support.
  • human readable waterfall -> no more coding/scripting, just lists and maps in Python !
  • easy interaction with Python numeric libraries as well as databases/Excel to accomodate daily work.

PyPI version PyPI download

installation

pip install absbox

Documentation

Goal

  • Structuring
    • Easy way to create different pool assets/deal capital structures and waterfalls
    • User can tell how key variables(service fee/bond WAL/bond cashflow etc) changes in different structure of transactions.
  • Investor
    • Given powerful modelling language to build cashflow model , user can price bonds of transaction with pool performance assumption

What it does

  • Provide building blocks to create cashflow models for ABS/MBS
  • Adapt to multiple asset classes
    • Residential Mortgage / AdjustRateMortgage/ IO,PO,Balloon Mortgages / Auto Loans
    • Corp Loans
    • Consumer Credit
    • Lease (For CMBS)
    • Fix Asset (Solar Panel/Hotel)
    • Receivable
    • SRT/Siginificant Risk Transfer
    • Master Trust
  • Features
    • Sensitivity Analysis on different scenarios or deal structures
      • sensitivity analysis on pool performance assumptions
      • sensitivity analysis on capital structures or any deal components
    • Bond Cashflow/Pool Cashflow Forecast, Pricing

What it takes to master

  • Python syntax, nice to have knowledge of functional programming ,or exposure to package toolz/lenses
  • Patience & Persistence, but remember , there is a slack community and responsive support !

Missing Features ?

Raise issues or disucssion with the prospectus or spreadsheet how asset cashflow should be projected.

Data flow

Data Privacy

User can have option to connect to a private calculation engine in his/her own environment

Screenshot_2024-08-19_15-09-10

Community & Support

Misc

Proposed Rule regarding Asset-Backed Securities: File No. S7-08-10