Construct and value asset backed securities.
- Create the waterfall from both asset and liability sides. Create several Python classes and functions for each side, and combine them together to produce two waterfalls, one for asset and the other for liability.
- Implement functions to compute the metrics of the Waterfall. Calculate internal rate of return, weighted average life and reduction in yield of each tranche and get their rating.
- Value and rate ABS. Use the Monte Carlo algorithm to simulate thousands of credit default scenarios. Use multiprocessing to speed up my code.