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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

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

• Luis M Sanchez: [email protected]