Code to simulate purchase of portfolio of Asset Backed Securities under simulated interest rate scenarios. This code is intended to illustrate opportunities presented by a real life scenario, the Term Asset Loan Facility, explained in tis article: https://towardsdatascience.com/alpha-generation-using-data-science-quantitative-analysis-abs-talf-part-1-eade08b075c

• Generate correlated random numbers to feed a multivariate process applied to interest rates
• Simulate movements of spreads over a becnhmark for given asset classes
• Simulate purchases of assets under given assumptions
• Simulate probabilities of assets transitioning from intial rating to other ratings and defaults, using a Markov process
• Calculate distribution of returns/risks under several scenarios

• Luis M Sanchez: [email protected]