Include Obligor Infos to Assets

[yellowbean]

Tag on asset can be very flexible , just act like a map[str, str] , ie

{"rating":"AA"}

or

{"FICO":"650"}

Because in the CLO transaction , or other transaction, it requires to query sum balance of assets with certain criteria. which suggest, the tagging can be anything. The engine should able to query by type of string.

This will impose strict requirement on the inputs and complex internal query function .

But it seems inevitable .

[yellowbean]

Propose Solution

For each asset, there should be one more extra Optional field obligor

obligor object shall have three optional fields:

• ID , string, which serve as mapping id to user's database
• Tags, set(strings), user can apply assumption by tags
• Fields, dict(string, string|number), which represent a exclusive field with k-v. => reserved for future use

Apply assumption

User now are able to apply performance assumption by:

• ID
• Tags
• Fields

Propose Syntax

In Python wrapper:

("ByObligor"
  ,("EqID",[<ID>...],<Asset Performance Assumption> )
  ,("hasAnyTag",[<Tag>],<Asset Performance Assumption> ) 
  ,("hasAllTag",[<Tag>],<Asset Performance Assumption> ) 
  ,("EqTag",[<Tag>], <Asset Performance Assumption> )
  ,("subsetTag",[<Tag>],<Asset Performance Assumption> ) 
  ,("Rest", <Asset Performance Assumption> ）｜ ,("_", <Asset Performance Assumption> ）
  ,....
  )

Strategy

• hasAnyTag -> when intersect( set(asset'tags), set(assump'tags)) > 0
• hasAllTag -> set(assump'tags) is a subset of set(asset'tags)
• subsetTag -> set(asset'tags) is a subset of set(assump'tags)
• EqTag -> set(asset'tags) == set(assump'tags)
• Rest -> default assumption

Scope

• apply assumption by tags

Out of scope

• query formula via tags
• Fields just serves a place holder

[yellowbean]

close 0296c28

[yellowbean]

8397393