model_clo_insight.engines.post_defaults module¶
Post-Default Pooling Analytics
This module contains the methods used in the analysis after the binary default / non-default process
- calc_def_pct_from_amort(loans, ttd_matrix)¶
Computes the Exposure at Default Using Transaction Tenor Driven Amortization Table
Per trial (row), compute the percentage of the security that defaults via the security’s amort schedule and the simulated time-to-default.
- Parameters
loans (list[clo_internal_objects.CorpLoan]) – List of loans in the pool
ttd_matrix (numpy.ndarray) – \(n_{trials}\) x \(n_{obligors}\) matrix of simulated default times from
model_clo_insight.engines.defaults.run_defaults
- Returns
\(n_{trials}\) x \(n_{obligors}\) matrix of Exposure-at-Default
- Return type
np.ndarray
- calc_def_pct_from_asset_specific_bullet(loans, ttd_matrix)¶
Computes the Exposure at Default Using Asset Specific Tenor Bullet Amortization
Per trial (row), determine if the security defaults via the tenor of the security and its simulated time-to-default
- Parameters
loans (list[clo_internal_objects.CorpLoan]) – List of loans in the pool
ttd_matrix (numpy.ndarray) – \(n_{trials}\) x \(n_{obligors}\) matrix of simulated default times from
model_clo_insight.engines.defaults.run_defaults
- Returns
\(n_{trials}\) x \(n_{obligors}\) matrix of Exposure-at-Default
- Return type
np.ndarray
- calc_wal(loans)¶
Computes the Weighted Average Life
Loop through loan objects to build pool-wide amortization schedule that is based off total par per quarterly period
- Parameters
loans (list[clo_internal_objects.CorpLoan]) – List of loans in the pool
- Returns
weighted average life of list of loans
- Return type
- run_defaults_only(loans, def_pct_matrix)¶
Computes cumulative defaults at the pool level per trial
- Parameters
loans (list[clo_internal_objects.CorpLoan]) – List of loans in the pool
def_pct_matrix – \(n_{trials}\) x \(n_{obligors}\) matrix of simulated default times from calc_def_pct_from_amort()
- Returns
\(n_{trials}\) x \(n_{obligors}\) matrix of default percentage
- Return type
numpy.ndarray
- run_losses_only(loans, def_pct_matrix)¶
Computes cumulative losses at the pool level per trial. Requires asset specific recovery inputs.
- Parameters
loans (list[clo_internal_objects.CorpLoan]) – List of loans in the pool
def_pct_matrix – \(n_{trials}\) x \(n_{obligors}\) matrix of simulated default times from calc_def_pct_from_amort()
- Returns
\(n_{trials}\) x \(n_{obligors}\) matrix of default percentage
- Return type
numpy.ndarray