Floating rate within Pool #201
Replies: 3 comments 2 replies
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Sure, let me take a look |
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There are two options : A: A quick workaround is just passing a dummy pool performance assumption . I've change the init rate for asset 1, to 0.01 The rate works as expected. B: using latest engine with version |
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@yellowbean Ahhh understood, thank you very much for the workaround and the fix! Quick question, if I had a floating rate pool and also a floating rate note, where would the interest rate assumptions go when running the full deal? Would it be incorporated in the run assumptions or in the pool assumptions? |
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Hi @yellowbean, I've been experimenting with floating rate pools a bit and I've been having trouble getting them to work.
I have defined a pool of 10 assets with a spread of 0.25 each and the linked interest rate index is EURIBOR3M. However when I try and pass in different values for EURIBOR3M for different dates it doesn't give me the expected result. (have attached a jupyter notebook showing this)
Do you have any tips for a floating rate pool of assets?
Thanks in advance!
run_pool_floating_rate.zip
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