absbox Skill

A skill for modeling and projecting structured finance deals (ABS, MBS, CLO, SRT) with the absbox Python library and the Hastructure engine.

Files

File	Purpose
SKILL.md	Router + quick start (load this)
REFERENCE.md	Exhaustive lookup tables: formulas, actions, constants, API
golden-paths/	Verified end-to-end recipes
evals/	Behavior tests for the skill
doc/CHANGELOG.md	Release history

Setup

pip install absbox          # Python 3.10+
docker pull yellowbean/hastructure   # optional local engine

from absbox import API, EnginePath

api = API(EnginePath.PROD)                              # version check on
api = API(EnginePath.DEV, lang='english', check=False)  # skip version check

The client and engine must share the same MAJOR.MINOR version; the patch may differ. check=True (the default) enforces this.

Minimal deal

from absbox import API, EnginePath, mkDeal

deal = mkDeal({
    "name": "SIMPLE_ABS",
    "dates": {"cutoff": "2021-03-01", "closing": "2021-06-15",
              "firstPay": "2021-07-26", "payFreq": ["DayOfMonth", 20],
              "poolFreq": "MonthEnd", "stated": "2030-01-01"},
    "pool": {"assets": [
        ["Mortgage",
         {"originBalance": 12000, "originRate": ["fix", 0.045], "originTerm": 120,
          "freq": "Monthly", "type": "Level", "originDate": "2021-02-01"},
         {"currentBalance": 10000, "currentRate": 0.075,
          "remainTerm": 80, "status": "Current"}]]},
    "accounts": {"acc01": {"balance": 0}},
    "bonds": {
        "A": {"balance": 8000, "rate": 0.05, "originBalance": 8000,
              "originRate": 0.05, "startDate": "2021-06-15",
              "rateType": {"Fixed": 0.05}, "bondType": {"Sequential": None}},
        "EQ": {"balance": 2000, "rate": 0.0, "originBalance": 2000,
               "originRate": 0.0, "startDate": "2021-06-15",
               "rateType": {"Fixed": 0.0}, "bondType": {"Equity": None}}},
    "waterfall": {"Amortizing": [
        ["accrueAndPayInt", "acc01", ["A"]],
        ["payPrin", "acc01", ["A"]],
        ["payPrinResidual", "acc01", ["EQ"]]]},
    "collect": [["CollectedInterest", "acc01"], ["CollectedPrincipal", "acc01"],
                ["CollectedPrepayment", "acc01"]],
    "status": ("PreClosing", "Amortizing"),
})

api = API(EnginePath.DEV, lang='english')
r = api.run(deal,
            poolAssump=("Pool",
                ("Mortgage", {"CDR": 0.02}, {"CPR": 0.05}, {"Rate": 0.6, "Lag": 12}, None),
                None, None),
            read=True)

print(r['result']['logs'])     # check warnings first
print(r['bonds']['A'])
print(r['pool']['flow'])

Next steps

• New to absbox: read golden-paths/01-minimal-abs.md, then run it.
• Building a specific structure: match it in golden-paths/README.md.
• Need exact syntax: look it up in REFERENCE.md.
• Extending the skill: add a golden path and an eval.

Key resources

• Docs: https://absbox-doc.readthedocs.io/en/latest/
• API: https://absbox-doc.readthedocs.io/en/latest/api.html
• Notebooks: https://absbox-doc.readthedocs.io/en/latest/nbsample/index.html
• Engine: https://github.com/yellowbean/Hastructure