https://github.com/open-risk/opensecuritisation

Demonstrating technical elements in support of open source securitisation frameworks
https://github.com/open-risk/opensecuritisation

cashflows credit-risk lambda-functions python quantitative-finance standards yaml

Last synced: 4 months ago
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Demonstrating technical elements in support of open source securitisation frameworks

• Host: GitHub
• URL: https://github.com/open-risk/opensecuritisation
• Owner: open-risk
• License: apache-2.0
• Created: 2019-04-10T08:39:37.000Z (almost 6 years ago)
• Default Branch: master
• Last Pushed: 2023-10-06T09:46:13.000Z (over 1 year ago)
• Last Synced: 2023-10-06T10:38:22.044Z (over 1 year ago)
• Topics: cashflows, credit-risk, lambda-functions, python, quantitative-finance, standards, yaml
• Language: Python
• Homepage: https://www.openriskmanagement.com/tags/securitisation/
• Size: 51.8 KB
• Stars: 9
• Watchers: 2
• Forks: 6
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE.txt

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README

        
# openSecuritisation

This repository aims to demonstrate a number of technical elements in support of open source securitisation frameworks. The motivation and approach is [described more fully here](https://www.openriskmanagement.com/open-source-securitisation/)

More specifically, we propose the following:

* Specifying a securitisation structure (_tranching_) using a yaml file

* Specifying cashflow operations using lambda functions serialized in a yaml file

* Documenting the cashflow logic using a python file

![Cashflow Screenshot](cashflows.png)

# Dependencies

* ruamel.yaml for parsing and emitting yaml documents that are part of the specification

* numpy for storage and processing of vectors / matrices holding numerical data

* pickle for storage of data / objects not part of the specification

# Further Resources

* [Open Risk Manual](https://www.openriskmanual.org/wiki/Category:Securitisation)