Floating rate within Pool

[Orangemaple23]

Hi @yellowbean, I've been experimenting with floating rate pools a bit and I've been having trouble getting them to work.

I have defined a pool of 10 assets with a spread of 0.25 each and the linked interest rate index is EURIBOR3M. However when I try and pass in different values for EURIBOR3M for different dates it doesn't give me the expected result. (have attached a jupyter notebook showing this)

Do you have any tips for a floating rate pool of assets?

Thanks in advance!
run_pool_floating_rate.zip

[yellowbean]

Sure, let me take a look

[Orangemaple23]

Thank you!

[yellowbean]

There are two options :

A: A quick workaround is just passing a dummy pool performance assumption .

I've change the init rate for asset 1, to 0.01

The rate works as expected.

The interest looks tie out.

B: using latest engine with version server:0.28.20

[Orangemaple23]

@yellowbean Ahhh understood, thank you very much for the workaround and the fix!

Quick question, if I had a floating rate pool and also a floating rate note, where would the interest rate assumptions go when running the full deal? Would it be incorporated in the run assumptions or in the pool assumptions?

[yellowbean]

Yes, the interest rate ( in the run assumption ) will be applied for both bonds with floater and assets in the pool.

When running deal , the assumption has two type:

• deal level -> including interest rate assumption , which applies to both pool and bonds in the deal.
• pool performance -> the one reflect the * credit * performance of assets, which means, the prepayment/ default behavior of the pool assets.