What is this repository for?

• This is the ABS Pricer (Project 1) of MTH 9815 : OOP for Financial Applications
• Date: 11/07
• Description : This application allows users to construct an asset backed security and provides methods that help determine the fair coupon rates for each tranches. It contains classes and methods to manage loans and loan pools, default modelling, create tranches, run waterfalls and monte carlo simulations, analyse metrics useful for rating the ABS. By default, main runs a single waterfall and prints out some metrics, as well ass kicks off a bigger monte carlo simulation to determine fair coupon rates. These results are printed to console by default. The sample waterfall is also written to csv files as Liabiliies_x.csv, where x is the Tranche number.

How do I run the program?

• Requires Loans.csv to be in the same directory
• Requires write permissions in the directory that it is run from
• Run command : python main.py

Team members

• Harishchandra Ramayyagari
• Duo Han
• Tianhao Chen
• Haocheng Wang

Who do I talk to?

• Group email : [email protected]
• Point of contact email : [email protected]