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
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
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