Welcome to Hastructure

Hastructure

a powerful and extensible open-source cashflow/analytics engine for structured finance world.

support customized waterfall distribution, trigger etc

shipped with RESTful interface as well as a docker image.

Github

Notices

2026Q3 Update

2026-09-28

Web app update

After a few months in auto-pilot mode, the web app can now auto-pull from the data source, digest with an LLM, and normalize into the database. The UI shows the data in an almost real-time fashion (only 15 minutes, end to end!).

On the tech stack, Airflow is just too heavy, and APScheduler is a good replacement.

AI is everything

I just subscribed to an AI/LLM service, and it does a great job assisting with web application development as well as the Hastructure engine.

Now new features can be driven fairly quickly with the help of a coding agent! That makes it possible to speed up work on legacy bugs and refactoring and, more importantly, the verbose unit tests.

I'm quite confident that, with the help of AI/LLM, Hastructure and absbox will enter a new era. Items I'm thinking of:

  • Include protobuf, which allows interaction with more languages. It used to be tedious to map, but it will become possible; AI will take over those responsibilities.
  • MCP on the data feed, which lowers the barrier for users to access it (no more RESTful API).
  • skills. Actually, it is quite a low-hanging fruit! That might help users pick up absbox even quicker. absbox-skill

2025Q4 Update

2025-11-27

Web app progress

Recently I have been using LLMs extensively to support the technical infrastructure for structured finance and asset securitization. The results have been surprisingly good. We are now getting strong performance extracting bond attributes, waterfall allocation rules, and triggers or credit enhancements.

With these technologies and Airflow workflows, the SQLite database has accumulated a lot of dataā€”approaching 1 GBā€”so we are considering migrating to PostgreSQL.

FastAPI has proven very useful for building a deal library and a data-feed API service for absbox.

Hastructure/absbox

We have collected many requirements related to non-performing assets. Significant enhancements are planned for Q1 2026. Q1 priorities are:

  • NPL asset classes
  • Private Credit products
  • Student loans

2025Q3 Update

2025-10-19

New Offering: Chinese Data Feed!

I've been working on this for 2 months! Before releasing this I spent many days thinking about how this can be different from other vendors: is it going to be faster? More machine-readable?

This product will cover the entire Chinese inter-bank market, with full coverage of deals that disclose trustee reports.

DSL handles everything

The greatest difficulty in parsing trustee reports in the China market is diversity: different issuers use various formats and styles.

  • a slash symbol / may be OCR'd as the number 1
  • heavy handwriting . may be OCR'd as ,
  • some issuers present numbers in thousands, but others present numbers in decimal
  • some use percentage rates like 7.5% while others use 0.075 or just 7.5

The solution is to design a DSL to describe the report.

  • The third element of a table row is a (percentage rate).
  • The second element of the second row is a balance value.

Given these annotations, the logic I wrote understands them and performs the conversion.

  • 7.5% will be converted to 0.075 for consistency.
  • / will be read as 0 if it is a balance.

This reduces a lot of complexity, and supports multilingual inputs.

Automation & Assisted with LLM

I tried a bit of LLM assistance and it is amazing: instead of writing hundreds of regular expressions (which I'm experienced at), a simple question to the LLM API will often get you what you need.

With the help of structured output helpers like instructor, productivity is greatly improved; the only concern is cost, so I will adopt a multi-vendor strategy to slow cash outflow.

Next: The API and Web App

I'm still thinking about the tech stack; I want it to be simple, lightweight, and scalable. I'm leaning towards HTMX+Alpine while gathering more feedback on nicegui.

One certainty is that I'm starting to build the web API with FastAPI and will replace the legacy Flask-based deal library API.

2025Q2 Update

2025-08-01

Update about the update

It's worthwhile to send out the heartbeat to the community to keep confidence afloat; I'll try to note what happened in Hastructure & absbox on a quarterly basis.

Python Regression Test

I've included code-based regression tests in the test-suite. The old JSON-based cashflow comparisons will be sunset because they produce too much noise.

Migration from Jupyter to marimo

It's great: marimo can be served as a notebook for exploratory research, as a script, or even as an App!

Adopting marimo will replace many notebooks in the docs and will be used in the backend deal library (which will phase out htmx-alpine). This lets me be relieved from some web development tasks.

The pilot development will rebuild this website (absbox.org).

Stack & Nix

Even with help from Stack and GHCup, there is still friction when installing different versions and managing dependencies. I chose Nix as the final solution and climbed the learning curve; it worked well after I installed it on two laptops running NixOS and resolved a couple of driver issues.

The benefits:

  • Enterprise users feel more comfortable building from source if they choose Nix as the package manager; now it's a one-liner to build Hastructure.

  • I'm more relaxed about updating dependencies for Hastructure.

As of Aug 1, Hastructure is on stackage and should be easy to install via stack; hopefully it will appear in nixpkgs as well.

Welcome, new friend!

2025-01-10

Happy New Year 2025!

  • I'm excited to announce the first great news from absbox this year!
  • @algoritmica.ai has started commercially supporting absbox.org. This development targets institutions interested in structured finance cashflow models, providing enhanced analytical capabilities in the ABS/MBS space.
  • With commitment from @algoritmica.ai, this initiative is expected to bolster development and efficiency of in-house cash flow models for users. Users can utilize all capabilities of absbox for structuring, surveillance, and trading.
  • The startup is helping with onboarding for absbox and acts as a long-term growth partner in areas like large language models and collateral data management.
  • For more information, visit @algoritmica.ai or contact their support team.
  • Let's get the new year started!

Global tour: Australia Melbourne/Sydney

2024-12-30

2024-12-30 -> 2025-01-08 in Melbourne and Sydney

  • Onboard Workshop on Absbox/Hastructure
    • installation/deployment
    • cashflow modeling
    • stress testing

Early booking via Email to support@asset-backed.org

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Changelog for Hastructure

0.52.14

2026-10-19

  • FIX: macOS release builds select the Command Line Tools toolchain (sudo xcode-select -s /Library/Developer/CommandLineTools) before building, working around the ld/SDK mismatch (tapi error: malformed file, arm64e.x1-macos) that broke linking on the macos-26-arm64 image 20261013.0424.1 (actions/runner-images#14940). 0.52.13 was not published because of this CI failure.

0.52.13

2026-10-19

  • ENHANCE: dependency modernization for GHC 9.10.3 / 9.12.4: the unused aeson-gadt-th dependency is gone, upper bounds widened (aeson <2.4, time <1.17, containers <0.9, base-compat <0.16, hashable <1.6, parallel <3.4, servant-openapi3 <2.2) and unused dependencies pruned from every component (library, executable, test suite); verified with all 531 tests on GHC 9.10.3 and 9.12.3
  • ENHANCE: tooling refresh: CI builds on GHC 9.10.3 and 9.12.4 (was 9.8.4), the Docker image uses haskell:9.12.4-slim-bookworm, Stack moves to LTS 24.63, and build.nix / release.nix pin nixos-26.05 (stale generated nix files removed)
  • ENHANCE: pushing a v* tag now publishes the release to Hackage automatically (previously dry-run only)

0.52.12

2026-10-18

  • FIX: multi-arch Docker merge passes the metadata tags with -t flags; "Publish Multi-Arch Manifest" recovery workflow added (PR #322 H2)
  • DOCS: Installation section with config.yml field documentation; Features section made collapsible

0.52.11

2026-10-18

  • FIX: Lib.prorataFactors clamps negative balances (treated as zero) instead of producing negative allocations (PR #322 L3)
  • ENHANCE: UT.LedgerTest tracked in the cabal file; Lib.periodsBetween removal documented (PR #322 L2/L3)

0.52.10

2026-10-17

  • FIX: #332 sumTsCF now takes NonEmpty TsRow (source-level breaking for library consumers) instead of throwing on an empty group; the dead, unexported partial sumTs (foldr1) is removed; firstDate returns the frame's begin date for an empty frame (epocDate for DummyCF) instead of failing; emptyTsRow and viewTsRow gained the missing CashFlow clause so extendCashFlow / buildCollectedCF zero-row synthesis no longer crash on generic rows; buildCollectedCF lost its unreachable error clause. aggTsByDates keeps its signature and behavior (empty groups are skipped via NE.nonEmpty).
  • FIX: #323 PrepaymentABS: SMM is now 0 at and after the implied balance-exhaustion month (m >= 1 + 1/r) instead of dividing by zero (Rational exception) or emitting negative SMM; 100% rate edge covered. The remaining over-reporting when SMM > 1 before exhaustion is tracked in #358.
  • FIX: #329 / #345 request rejections (misrouted request shapes and oversized multi-run grids) now answer 400 with the standard JSON error envelope ({"Left":"ā€¦"} and application/json) instead of a plain-text body with no content type, matching the in-band errors and the #344 boundary (PR #322 review M1).
  • FIX: #344 handler responses are now forced inside the handler action ā€” single-run Either results to WHNF and every value of the multi-run response maps via Util.forceMapValues ā€” so engine exceptions surface before Warp starts the response and are rendered by the JSON error boundary. Previously the response body was only forced while Warp was already streaming it, so error/partial-function failures inside computed responses aborted the connection (empty reply) instead of returning the JSON envelope. Deep laziness inside response payloads may still surface during streaming (see forceMapValues).
  • FIX: #329 the multi-run / single-run request handlers were non-exhaustive over RunDealReq / RunPoolReq / RunAssetReq / RootFindReq: a request decoded with the wrong constructor for the routed endpoint crashed with a pattern-match failure (now rendered as an opaque engine error: 500 by the #344 boundary). Every handler is now total. A misrouted request to a single-run endpoint (runDeal, runPool, runAsset) returns the reason in-band as Left "<endpoint>: expected <Constructor>"; map-valued multi-run endpoints (whose response type has no error slot) answer HTTP 400 with the same message, uniform with the #345 run-cap rejections. wrapRunAsset rejects non-PoolLevel assumption shapes (per-pool / per-index / obligor strategies and pricing without assumptions) in-band.
  • FIX: #329 runByRootFinder no longer crashes on the legacy FirstLossReq / MaxSpreadToFaceReq request shapes (kept on the wire but unsupported; absbox composes RootFinderReq for both runFirstLoss and runRootFinder); a stress tweak (stressDefault / stressPrepayment) without pool assumptions is rejected with a descriptive error instead of crashing; the BalanceFormula stop condition is rejected as not implemented yet. The executable now compiles with -Wincomplete-patterns -Werror=incomplete-patterns, so any future non-exhaustive match in the API layer fails the build (the library is unchanged); note locally cabal needs one clean rebuild to pick up the new flags.

    0.52.9

2026-10-17

  • FIX: #344 add a JSON error boundary at the Warp level: exceptions raised while a handler computes its response (pure error calls, partial accessors, pattern failures) now answer 500 with the same envelope as in-band failures ({"Left":"engine error: ā€¦"}) and the CORS header, instead of Warp's opaque plain-text 500; server-side exception logging is unchanged
  • FIX: #345 the maxScenario / maxDealNum limits declared in config.yml were dead configuration: the engine never read them and scenario/deal grids were unbounded (DoS via large runByCombo cartesian products). Each multi-run endpoint (runPoolByScenarios, runDealByScenarios, runMultiDeals, runDealByRunScenarios, runByCombo) now enforces a per-request total-run cap, default 1000, configurable per endpoint via the new maxRunNum.<endpoint> keys in config.yml; runByCombo sizes the cartesian product before materialising it, so oversized grids are rejected without allocation. Oversized requests are rejected with HTTP 400 naming the endpoint, the configured limit and the key to raise. The in-flight worker cap is now configurable via workerNum in config.yml (precedence: HASTRUCTURE_WORKERS env > workerNum > RTS -N); the internal unsafePerformIO global is gone.
  • FIX: BEHAVIOR CHANGE: a malformed config.yml, a missing port or a non-positive maxRunNum.* value now aborts startup with a descriptive error instead of silently falling back to defaults; the startup log prints the effective port, worker count and per-endpoint limits. The unused maxScenario/maxDealNum keys are removed from config.yml.

    0.52.8

2026-10-17

  • FIX: #328 the TxnComment JSON codec is now total and self-consistent: malformed, legacy or wrong-arity comment strings fail with a descriptive Aeson parse error instead of throwing (head/!!/read and the greedy regex are gone); the encoder emits canonical forms for BankInt (<BankInt:>), PoolInflow (<Pool:ids,Source>), LiquidationSupportInt (<SupportExp:b1,b2>) and BookLedgerBy (<BookLedger:dir,name>), all of which now round-trip; multi-bond list comments decode to their elements; TxnComments arrays can be decoded; Read PoolId no longer throws and accepts what Show PoolId produces

    0.52.7

2026-10-17

  • ENHANCE: #346 enable parallel compute on multi-deals and multi-scenarios
  • ENHANCE: #333 validate bond / account / fee / ledger / swap names referenced by waterfall actions, collect rules, trigger effects and formulas before the run, reporting every missing name up-front
  • ENHANCE: #348 source the engine version from the package (Paths_Hastructure) instead of a hardcoded string, so /version and the OpenAPI schema always match the built package
  • ENHANCE: #352 remove the empty Validation module and de-duplicate pragmas / imports in Deal.DealValidation
  • FIX: #327 IRR bond pricing (priceBonds) no longer crashes when a requested bond name does not exist; it returns a descriptive error
  • FIX: #331 mflowBorrowerNum / mflowPrepaymentPenalty no longer fail with undefined on non-mortgage cashflow rows
  • FIX: #325 Weekly / BiWeekly / Daily periods are now handled by periodRateFromAnnualRate, afterNPeriod, genDates and nextDate (previously a pattern-match failure or a silently non-advancing schedule)
  • FIX: #333 missing bond / account / fee / ledger / swap names used by waterfall actions, trigger effects and formulas now return a descriptive error instead of crashing with Map.!: not found
  • FIX: #335 deal validation no longer crashes with foldl1: empty list when a deal has no collection rules
  • FIX: harden head / last usages across the engine (curves, statements, date generation, asset projections, bond WAL, deal dates and cashflow aggregation) so empty input yields a defined result or a typed error instead of a runtime exception
  • FIX: extend pool-level DefaultByAmt pro-rata allocation coverage with edge-case unit tests (cent rounding, zero-balance assets, empty pool, multi-period weights, negative totals) (#321)

0.52.6

2026-09-27

  • NEW: add new prepayment assumption PrepaymentABS, an ABS / absolute prepayment model driven by the asset's seasoning (months elapsed since origin). Supported for Monthly assets only.
  • FIX: pool-level DefaultByAmt is now allocated across multiple assets proportionally to their current balance.
  • BREAKING (library API): Lib.periodsBetween is removed in favor of Lib.monthsBetween :: Date -> Date -> Integer (whole calendar months between two dates; partial months clipped, so 2021-01-31 -> 2021-02-01 is 0 months; negative when the second date is earlier).

0.52.5

2026-08-23

  • FIX:
    • 🐞Fixed ARM / adjustable-rate mortgage cashflow calculation by replacing the previous ā€œnot implementedā€ path with projCashflow.

0.52.4

2026-03-16

  • NEW: add ConstTrue / ConstFalse for bool type formula

0.52.3

2026-03-05

  • NEW: add IrrOfBond as a formula, which return the irr of the bond
  • NEW: add IsAnyOutstanding as formula: return True if any of the bond is outstanding

  • NEW: add PoolAccruedInterest as a formula: return the accural amount of the pool

  • ENHANCEMENT: allow negative amount when calculating AmountRequiredForIRR

0.51.6

2025-09-05

  • NEW: add new integer formula activeBondNumber
  • NEW: refactor interpolation pricing curve from linear to Hermite way

0.51.5

2025-08-20

  • ENHANCE: add assumption validation on prepayment default recovery .
  • FIX: pricing IRR: engine will use wrong position when Buy Bond

0.51.2

2025-08-02

  • NEW: new asset ProjectedByFactor and ProjectedCashflow .
  • ENHANCE: refactor on waterfall action, throw error when name is missing from the deal object
  • ENHANCE: throw error when divide by zero
  • ENHANCE: refactor on credit support for liquidity suppport.
  • FIX: fix zero cashflow when holding position is too small

0.50.0

2025-07-14

  • NEW: add stopBy in run assumption ,which stop deal run by a list of Condition
  • NEW: expose asset level cashflow ,with a toggle
  • NEW: expose Un-Used Pool cashflow
  • ENHANCE: parameterized the tweaks
  • ENHANCE: update dependency to accomodate publishment to Hackage
  • FIX: enable Lease deal for Financial reports

0.46.4

2025-06-10

  • ENHANCE: add error message when calculation IRR for bond with non cashflow
  • ENHANCE: add tweak: Stress Prepayment
  • ENHANCE: add stop: Bond Principal Loss Bond Interest Loss

0.46.2

2025-06-08

  • ENHANCE: add tweak: Balance Split and stop: Bond Met Target IRR

0.46.1

2025-06-07

  • ENHANCE: add 2 more leaseEndType assumptions: Earlier Later which will end the lease projection base on two input End date and extention times.
  • ENHANCE: expose new bond rate type in trigger effects. Now bond rate type can be changed during the projection.
  • REFACTOR: with new refactor root finder endpoint and signature. In the long term, the refactor of signature lays down fundation for deal structuring domain, now it would be easy to implement all kinds of structuring features.

0.45.7

2025-05-26

  • ENHANCE: add BaseByVec for vector-based rental change

0.45.5

2025-05-20

  • NEW: MaxSpread feature for structuring stage: get max possible bond coupon rate !
  • ENHANCE: Transfer from stack to cabal as build tool
  • ENHANCE: Apply DList to trigger log
  • ENHANCE: Enable Double Decline Balance in 🐞FixedAsset
  • REFACTOR: Refactor Leasing asset type
    • Add Default assumption
    • Add Period-based rental ,in addition to Day-based rental calculation

0.45.2

2025-04-01

  • ENHANCE: Performance optimization by replace List with DList.
  • ENHANCE: In inspection ,expose IsOutstanding HasPassedMaturity in Pre

0.45.1

2025-03-25

  • FIX: in Pricing/IRR, error when holding position is too small
  • ENHANCE: engine will auto patch interest start date for bonds if it is not modeled. In PreClosing status, engine will use closing date as bond interest begin date ; In Non-PreClosing status, it defaults to use last waterfall distribution date as bond interest begin date.

0.45.0

2025-03-21

  • BREAK: remove unused DealDates : FixInterval, CustomDates and PatternInterval. Since all these can be replace by new GenericDates in type DateDesp
  • ENHANCE: now bond with No last interest accure day will begin accrue interest from closing date if the deal is in PreClosing mode, while the bond will use last bond day otherwise.
  • FIX: IsPaidOff now can be queried in inspection formula

0.44.0

2025-03-11

  • BREAK: Add PAC PAC Anchor to BondGroup, now BondGroup is Map String L.Bond (Maybe PrinType)
  • NEW: add formula bondTargetBalance to query target amortized balance
  • ENHANCE: expose PAC Anchor which is same to PAC except that the balance schedule will be ineffective if Anchor Bonds are paid off.

0.43.0

2025-03-08

  • NEW: new interest type BalRef which bond will accrue its interest by a Formula, which is being used to model IO bond
  • ENHANCE: in FirstLoss ,the stress will be applied to revolving assumption as well
  • FIX: add interest accrued in bond pricing result
  • BREAK: In waterfall ,the action CalcBondInt now only accepts a list of bond names
  • BREAK: asset modeling and analytics lease has been refactored

0.42.10

2025-02-15

  • NEW: expose new bond pricing : calculate IRR for holding a bond, hold and sell a bond, or buy a bond.
  • ENHANCE: lift Pricing to expose error message.
  • ENHANCE: change compare symbol in response from GT to > and others as well.
  • ENHANCE: auto patch bond paid periods and pool collection periods for preClosing deal.

0.42.8

2025-02-13

  • FIX: Enable byTerm assumption on Installment
  • FIX: cap the default rate vector with 100% geneated by root.finder
  • NEW: add PeriodBased rate curve or balance curve in Pre, i.e. easy to build default rate trigger in structuring stage

0.42.4

2025-02-06

  • NEW: FirstLoss as new endpoint, which will stress on Default assumption till 0.01 loss on input tranche.
  • NEW: New prepayment /default assumption via byTerm, which vector curves are being applied via term of the assets.

0.42.3

2025-02-04

  • NEW: Multi-thread on pool cashflow projection
  • NEW: Expose convexity on bond/asset
  • NEW: Add new prepayment assumption PSA for Monthly mortgage
  • NEW: Add new prepayment/default vector assumption based on asset origin term

0.42.1

2025-02-02

  • NEW: add custom fee flow by BondPaidPeriod PoolCollectedPeriod index

0.42.0

2025-02-01

  • ENHANCE: refactor calcPmt to boost 15x performance for mortgage cashflow projection.
  • NEW: add ScheduleByIndex for bonds
  • FIX: fundWith shall increase the bond balance
  • ENHANCE: refactor Z-spread calc logic with numeric.root.finder

0.41.1

2025-01-11

  • NEW: Multi Interest Bond which used to model in bond with step up feature ( sub ordinated interest) in European
  • NEW: new assumption ,which used to funding existing bond.
  • NEW: new query totalFunding for bond,which records all funding amount of bond.
  • NEW: new query AmountRequiredForIRR for bond,which return the amount to be paid out make bond met the target IRR.
  • NEW: in Rate Swap , the notional can be set by Formula
  • ENHANCE: when account is being used as a source for support, it has option to book ledger with both credit and debit direction.
  • FIX: payPrinBySeq was not paying out principal.

0.40.13

2024-12-17

  • NEW: new formula totalFunded for bond with extra funding amount
  • NEW: new deal run assumption FundBond, which records a time series funding amount for a single bond.
  • ENHANCE: When booking account from support action, now user can book on Credit or Debit side
  • FIX: payPrinBySeq was not working

0.40.9

2024-12-11

  • ENHANCE: Ensure limit always return positive ,otherwise engine will throw error
  • NEW: add new action changeStatus in waterfall, with optional Pre as condition to trigger the status change

0.40.6

2024-12-06

  • NEW: new formula ledgerBalanceBy, which return either Credit or Debit balance of a ledger
  • FIX: step-up coupon bond which has a floater index will increase forever
  • ENHANCE: refactor on PDL book type.

0.40.1

2024-11-05

  • NEW: break changes on API ,now the engine is able to throw out error message instead of just hanging.

0.31.0

2024-11-05

  • NEW: new Call options assumption ,which specifies dates to be tested
  • ENHANCE: transform financial report to a Tree from a Table

0.30.5

2024-11-02

  • NEW: Expose bond factor formula for single bond
  • FIX: Enable balanceSheet support for multiple pools
  • FIX: Include logs from clean up waterfall
  • FIX: Include logs from trigger/actions
  • ENHANCE: query borrower number by Pool Id
  • ENHANCE: query current pool balance by Pool Id

0.30.3

2024-10-20

  • NEW: Expose combo sensitivity endpoint,
  • NEW: Expose single clear ledger function
  • NEW: Expose writeoffBySeq which write a list of bonds by sequence.
  • NEW: Add new assumption curve with padding last value to rest
  • NEW: Expose extra Stress on ppy/def curve, use can impose time-series based stress on prepayment and default.
  • NEW: Expose transferMultiple, with one action transfer multiple account to single account
  • ENHANCE: Expose pricing for bond groups
  • ENHANCE: Instead of liquidating all pools but users now have the option to select pool to liquidate
  • FIX: Revolve buy when building balance
  • FIX: avoid duplicate run waterfall in call

0.28.21

2024-8-25

  • ENHANCE: Expose pricing function with options of include or not include accrued interest.
  • NEW: Ballon Mortgage
  • NEW: Expose Assumption: defaultAtEnd with rates
  • NEW: Expose revolving buy asset from multiple pools
  • NEW: Expose which waterfall is run at each payment date

0.28.16

2024-8-6

  • FIX: correct runPool cashflow order and add UT

0.28.15

2024-7-31

  • FIX: enable compound formula on weighted average formula.

0.28.14

2024-07-06

  • FIX: enable annualized rate fee type with formula bondbalance on bondGroup

0.28.13

2024-06-30

  • NEW: new assumption issue bond which allow funding by issuing new bonds during cashflow projection.
  • NEW: new asset class projectScheduleFlow which can be divided projected cashflow with fix portion and float portions. The interest from the float portion will be affected by interest rate assumption.
  • ENHANCE: enable formula bondRate/bondWaRate on bondGroup
  • FIX: formula will return inf if a divide with zero instead of just throw exception
  • FIX: financial reports was failing because it can't access to interest due on bond group.
  • FIX: enable formula query on bond groups

0.28.8

2024-06

  • FIX: limit on payFee was not working with duePct
  • ENHANCE: expose transaction statement for triggers

0.28.2

2024-05-27

  • NEW: enable trigger to run waterfall actions
  • FIX: the result log used to be doubled each pool collection period
  • FIX: payPrinResidual will use all cash from account regardless principal due of bonds, which may caused negative balance of bonds( cash of account > principal due of bond)

0.28.1

2024-05-26

  • BREAK : add bondGroup, which group bonds and pay with prorata/sequential/by coupon rate/by maturity/by start date
  • BREAK : add begin balance/accure interest/as of date for cashflow frame
  • BREAK : add interest arrears interest over interest on bond cashflow
  • NEW: add interest over interest settings on bonds and expose interest over interest interest due flow
  • ENHANCE: add tabular representation of cashflow frame
  • FIX: fix rolling default rate query

0.27.21

2024-05-15

  • NEW: add weekday <n> in the date pattern
  • ENHANCE: expose weekly /biweekly in Period
  • NEW: now allow new first N period without Fee feature to model cashflow of type Installment
  • FIX: negative pool balance for (revolving pool asset >= 2)

0.27.13

2024-05-05

  • ENHANCE: enable all Combination Type formula (via patching dates)
  • ENHANCE: add capability to query txn in (Fee/Bond/Account) via a comment

0.27.12

2024-05-04

  • ENHANCE: deal will return how it was ended in projection

0.27.11

2024-05-04

  • NEW: Formula: originalBondBalance,BondDuePrin
  • NEW: Waterfall Action: CalcBondPrin,PayPrinWithDue
  • ENHANCE: fix Formula: PoolFactor
  • NEW: Enable * between formulas
  • FIX: Unlimit Liquidity Provider has wrong available balance

0.27.7

2024-05-01

  • ENHANCE: Enable pricing on asset via a constant rate/rate curve; add duration for asset pricing (curve only)

0.27.4

2024-04-15

  • ENHANCE: Pool run: enhance multip-scenario run and mulitple-assets type run
  • ENHANCE: Enable revovling on Receivable
  • ENHANCE: add RecoveryByDays to Receivable ,which describes recovery cash received after default.
  • FIX: Fix single asset run on lease
  • FIX: Failed to include cumulative stats on revolving buy assets
  • FIX: Multi-asset run was failure due to including schedule cashflow run.
  • ENHANCE: upgrade stack resolver from lts-18.22 to lts-22.6

0.27.0

2024-04-01

  • NEW: Now docker image ship with Apple silicon chip ! Happy hacking Mac users !

0.26.2

2024-03-24

  • FIX: patch recoveries for Mortgage type cashflow
  • NEW: add new asset class Receivable which represent a invoice factored,trading receivable
  • NEW: DefaultAtEnd assumption, which assumes asset default at last payment(For Receivable)

0.26.1

2024-03-09

  • NEW: fundWith which will increate the balance of bond and deposit cash to account.
  • NEW: writeOff which will write off balance of bond via a formula
  • NEW: a new predicate passMaturity which True if bonds has passed their expected maturity/pay off date.
  • NEW: Not as composite boolean test.
  • NEW: add new OAS pricing assumption, which return OAS spread given input scenarios.

0.26.0

2024-02-27

  • NEW: add NO_FirstN as type of Mortgage which implies no payment for first N period and interest due will be capitalized.
  • NEW: add IO_FirstN as type of Mortgage which implies no principal payment for first N period.
  • NEW: add Make Whole Feature, which allow user to set a ,, Table. The bond will be componsate with PV from spread determined by WAL remaining.

0.25.0

2024-02-16

  • NEW: add resec deal, which allow to use bonds as underlying assets and allow user to set assumption on underlying deals.

0.24.1

2023-12-17

  • NEW: add payIntBySeq which pay interest to bonds sequentially with optional limit
  • NEW: add condition to "ExtraSupport" ,which support only available if a is satisfied
  • NEW: add Nothing to trigger effects
  • NEW: add payFeeBySeq to which pay a list of fees sequentially with optional limit
  • NEW: add a fee type which due amount is X per pool collection period
  • NEW: add a fee type which is a lookup table with look up value from a formula
  • NEW: add override feature rate and balance to calcDueInt action in waterfall.
  • NEW: multiple pool support !! now engine support multiple pools in a deal with mixed assets.
  • NEW: add query on present value on schedule pool cashflow, which enable Yield Maitenance Overcollaterisaztion supports

0.23.1

2023-11-16

  • NEW: new asset class FixAsset type , which yield cashflow given a capacity and assumption called utilization rate curve. The new asset type is applicable to Hotel booking/EV Charge station/Solar Panel/Wind Power type.
  • NEW: new rate hedge instrument RateCap which yield cash if rateCurve is higher than a strike rate
  • NEW: add accruedInterest field in pool stats, which will be deducted from pool cash flow
  • NEW: add payPrinBySeq in waterfall action, now user can pay prin bond via a simple list.
  • NEW: add an assumption fireTrigger which mannualy fire a trigger at point of projection
  • NEW: add pool collection type totalCash will aggregate all pool cash field
  • NEW: payInt now accept a limit which constrain how much interset to be paid via a formula
  • NEW: add bookBy a ledger via formula
  • NEW: add I_P to Mortgage type ,which models Buy To Let type mortgage( interest only and principal at last period)
  • ENHANCE: include Lens and code clean up
  • BREAK: refactor StepUp out of interest part of bond.

0.22.2

2023-10-27

  • ENHANCE: expose cumulative stats on pool cashflow returned by runDeal

0.22.1

2023-10-26

  • NEW: add default by amount assumption, which enable user to set a total amount of default alongside with a vector.
  • ENHANCE: misc refactors

0.22.0

2023-10-15

  • BREAK: cashflow now with Cumulative Stats ( cumulative default/delinq/loss/prepayment/principal/recovery)
  • NEW: expose inspect in waterfall action to observe variables during a waterfall execution
  • NEW: stepup now accpet a pre instead of a date to switch rate
  • ENHANCE: auto patch issuance balance for PreClosing Deal
  • ENHANCE: implement pre-run check and post-run check
    • IssuanceBalance check : Ongoing Deal shall have a IssuanceBalance value in Pool
    • Interest Rate check : index required by deal should be found in assumption
    • Waterfall action check : actions in waterfall ( source/target) should exist in deal object
  • FIX: fix bug on prepay penalty when using stepDown
  • FIX: fix project cashflow for Loan

0.21.5

2023-10-8

  • ENHANCE: in the revolving buy , now buy amount is no longer a multipler of revolving assets face value
  • FIX: now revolving asset may have remtain term == original term

0.21.4

2023-9-27

  • ENHANCE: require a new status when defining a deal in preClosing stage
  • FIX: fix a bug when reading financial report logs

0.21.3

2023-9-26

  • NEW: include a default/delinq/loss status map when projecting cashflow
  • NEW: implement haircut as extra stress projecting mortgage
  • ENHANCE: include called deal status, which will be set when deal was triggered with a clean up call assumption
  • ENHANCE: expose runAsset endpoint
  • ENHANCE: expose formula query on deal status as well as trigger status
  • ENHANCE: add rampUp deal status
  • FIX: adjust bond reset date from cutoff date to closing date

0.21.1

2023-9-21

  • BREAK: seperate performance assumption
  • BREAK: add delinquency projection on mortgage as well as schedule mortgage cashflow

0.20.3

2023-9-4

  • ENHANCE: now user can include boolean/int/balance/rate type query in inspect field

0.20.2

2023-8-31

  • BREAK: move Trigger from list into a map with a name
  • ENHANCE: add CumulatiePoolDefaultedRateTill to query default rate as of collection period N , then support query last one,last two default rates in the past as a rolling basis..
  • ENHANCE: add queryBool with test logic of any or which will test all predicates or any predicates are/is satisfied. With new included aforementioned formula above, the engine can have a predicate like last 2 period cumulative defaulte rates are all lower than 5%, any last 2 period cumulative defaulte rates is higher than 5%

0.20.1

2023-8-29

  • ENHANCE: add LedgerTxnAmt , allow user to query transaction amount for a ledger by comment
  • ENHANCE: expose Abs in formula , which will get absolute value of another formula

0.20.0

2023-8-25

  • BREAK: refactor payInt and payFee which includes extraSupport from either another account or liquidation provider, with option to book PDL draw on ledger
  • NEW: expose Cumulative Net Loss Cumulative Net Loss Ratio Bond Rate Bond Weight Average Rate in formula
  • NEW: expose Avg in formula ,which can calculate average value from a list of deal stats.
  • NEW: expose RefRate in bond , now bond can be setup interest rate which reference to a value of deal , could be like 100% of Pool WAC coupon , or average of bond rate of bonds etc.
  • ENHANCE: add liquidity provider interest swap to balance sheet repot
  • ENHANCE: add new bool query is_most_senior_bond
  • ENHANCE: add new balance query PoolCurCollection returns target pool source balance in last collected period
  • ENHANCE: refactor account transfer by target reserve amount

0.19.15

2023-8-20

  • ENHANCE: add reserve account excess/gap to formula
  • ENHANCE: refactor bond step up coupon by date ,which pertains to Euro deals
  • ENHANCE: add comments to souce code and prepare to release to Hackage

0.19.12

2023-8-17

  • NEW: Add Step Up By Date /Cap/Floor coupon type for bond
  • NEW: Add Prepay Penalty attribute on Mortgage, penalty types includes:
    • rate0 before term N and rate1 after term N
    • 🐞Fixed amount in lifetime or before term N
    • 🐞Fixed pct in life time or bfore term N
    • Sliding from rate0 by step of rate1
    • Ladder type like first 12 periods with Pct of Rate0 , next 12 periods with Pct of Rate1
  • ENHANCE: refactor liquidity provider
    • include a maybe valid date of the agreement
    • include floater index

0.19.11

2023-8-14

  • ENHANCE: add calcAndPay action for fee
  • ENHANCE: expose new assumption on expense projection
  • ENHANCE: include a new NO_IE type to generate dates vector
  • FIX: Fix missing periods of recurr type of fee

0.19.10

2023-8-7

  • NEW : add a new expense type: TargetBalanceFee, which due amount = <formula 1> - <formula 2>
  • ENHANCE: add query total txn amount for account/bond/expense with optional comment as a filter
  • ENHANCE: expoese query on cumulative pool on recoveries principal interest prepayment
  • ENHANCE: expoese query on beg balance on pool

0.19.8

2023-7-24

  • ENHANCE: trancate payments records for bond with 0 balance and 0 due interest/due pricipal

0.19.7

2023-7-19

  • ENHANCE: expose query on cumulative pool recoveries
  • ENHANCE: expose factor in query
  • ENHANCE: ensure principal payment is cap via bond oustanding balance

0.19.6

2023-7-18

  • FIX: update PDL Ledger balance after bookBy action

0.19.4

2023-7-17

  • FIX: fix pricing error if bond flow size is 0

0.19.0

2023-7-1

  • BREAK : seperate payInt action and accrueInt action
  • ENHANCE: optimize Z-spread calculation
  • ENHANCE: re arrange deal.hs , break down code logic into seperate files.
  • NEW: include ledgers to accomodate PDL feature (Principal Deficiency Ledger)
  • ENHANCE: expose rounding on deal stats, which rounds interest rate change by a factor of fix amount ,or pay principal on balance by a factor of fix amount.
  • ENAHNCE: expose runDate endpoint as sandbox for user to play with <datePattern>

0.18.9

2023-6-23

  • NEW : add floorAndCap formula to set upper or lower bound of formula value
  • NEW : add formula based fee rate for pct and annual type of fee

0.18.1

2023-6-21

  • NEW : Project cashflow for a list of asset, with performance assumption
  • ENHANCE : Add limit for revolving buy action
  • ENHANCE : Add default waterfall
  • NEW : Add "IF-ELSE" in waterfall action

0.18.0

2023-6-8

  • NEW "Major" : expose revolving assumption !
  • NEW : Pre now support comparing with a balance type formula ,not limited to a balance number

0.17.2

2023-5-24

  • NEW: expose exclude dates and offset by days

0.17.1

2023-5-21

  • NEW: expose trigger status in Inspect

0.17.0

2023-5-21

  • NEW: expose BalanceSheet Report and Cashflow Report, user can query them via set flags in assumption
  • BREAK: normalized some account comments to be analysed when compling Cashflow Report

0.16.0

2023-5-13

  • NEW: expose bond with Step-Up coupon feature
  • BREAK:using DatePattern to annotate reset date for floater bonds
  • FIX: data query in the trigger

0.15.4

2023-5-6

  • FIX: Fix cashflow projection logic for Installment
  • Include DefaultedRecovery assumption for defaulted assets.

0.15

2023-5-1

  • Introduce new asset : AdjustRateMortgage with assumption:
    • init period,first reset cap, periodic reset cap,lifetime cap, lifetime floor
  • Docker hub will host each stable releases of Hastructure

Why absbox & Hastructure

xiaoyu, zhang / xiaoyu@asset-backed.org

Why: open-source

The Only open-source cashflow modeling tool in structured finance world
  • True transparency
  • Free to use
Community Driven
  • Users raise features requests -> implement
  • Collective evolving with feedbacks

Why: Versatile on modelling

Various Asset Classes
  • Mortgage / Loan / Installment / Lease / Fix-Assets
Deal Structures
  • Revolving/Replenish
  • Triggers
  • Multiple Waterfalls
  • Reserve Accounts
  • etcā€¦

Why: Flexible & Control

  • Offers users a flexible way to build a tailor-made solution for their own business . Users pick their own way of conducting analytics ,output format and integrate analytics to their own database, reporting, cloud/spreadsheet, even APIs.

  • Reduce reliance on external cashflow engine vendor : 0 $ license cost

  • Total control: Open sourced solution yields 100% control to user

Why: Pluggable

  • Keep your own data untouched
  • Create a copy and customized to absbox syntax (Just Python native structure) (Or to JSON)
  • Download the engine by just typing a single docker command line
  • Post data to engine address
  • User data was kept intact within user's env, no data transmission to external, privacy honered

Why: Easy Integration

  • Python Wrapper just typing pip install absbox Link!

  • REST HTTP server based on typed servant

  • Haskell High performant Language

    • with stackage package ready : Link

Why: Proven

  • The engine has been deployed in production by multiple users
  • The engine is being used to calculating result for millions of dollars transactions

Premium Offerings

If user prefers to accelerate the onboarding process and avoid back&forth research on the deployment and integration, there are couple commercial options available:

Deal Library Product

  • a production ready deal life cycle deal management toolkit in Python

    • with concise UI and best-practise ORM design

Modelling Service

  • Support team will model deals.
  • Deals are modeled and centralised in cloud. Users can access them via Python API/Web.
  • Or users have the option to retrieve the models in local environment via datafeeds.

Integration Support

  • Accelerating the integration process by

    • allocating training sessions;
  • Dedicate engineering service.

Data Feed Service

  • Chinese Structured Finance Market Data Feed

    • Full coverage of Chinese inter-bank market trustee reports
    • Asset class coverage: RMBS, Auto Loan, NPL, Consumer Loans
    • Custom DSL for handling diverse report formats / LLM-assisted automation for data extraction
    • API ready for integration

Email: support@asset-backed.org