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add recovery timing
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absbox/local/component.py

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@@ -1855,7 +1855,6 @@ def mkAssumpRecovery(x):
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case {"Rate":r,"Lag":lag}:
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return mkTag(("Recovery",[vNum(r),vInt(lag)]))
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case {"Rate":r,"Timing":ts}:
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assert sum(ts)==1.0,f"Recvoery timing should sum up to 100%,but current sum up to {sum(ts)}"
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return mkTag(("RecoveryTiming",[vNum(r),vList(ts, numVal)]))
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case {"Rate":r, "ByDays": lst}:
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return mkTag(("RecoveryByDays",[vNum(r),lst]))

docs/source/analytics.rst

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@@ -143,7 +143,7 @@ Performing
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recovery assumption for performing asset
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* ``{"Rate":0.7,"Lag":18}`` means 70% of current balance will be recovered at 18 periods after defaulted date
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* ``{"Rate":0.45,"Timing":[0.3,0.3,0.4]}``, recovery rate is 45% of current balance, and the recovery will be distributed to 3 periods after defaulted date with 30%,30% and 40% respectively
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Non-Performing

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