Generate diversified_bank.zip -- 2-3 instruments per major type.
Simulation start date: 2022-01-04.
Instrument Basis Amount Acquired Side Book
======================== =============== ========= ========== ===== =======
Common Equity NA 2,000,000 2021-01-04 SHORT BANKING
Retained Earnings NA 500,000 2021-01-04 SHORT BANKING
Demand Deposit (0%) NA 3,000,000 2021-01-04 SHORT BANKING
Savings Deposit (0.5%) NA 4,000,000 2021-01-04 SHORT BANKING
Term Deposit (2%) NA 5,000,000 2021-01-04 SHORT BANKING
10Y Treasury 3.5% HTM AMORTIZED_COST (NPV) 2021-01-04 LONG BANKING
5Y Treasury 2.5% HTM AMORTIZED_COST (NPV) 2021-01-04 LONG BANKING
5Y Corp Bond 4.5% FVOCI FVOCI (NPV) 2021-06-01 LONG BANKING
3Y Corp Bond 3.5% FVTPL FVTPL (NPV) 2021-01-04 LONG TRADING
7Y Corp Bond 5.0% FVTPL FVTPL (NPV) 2021-01-04 LONG TRADING
30Y Res Mortgage 5% AMORTIZED_COST (outstand) 2021-01-04 LONG BANKING
15Y Res Mortgage 4% AMORTIZED_COST (outstand) 2021-06-01 LONG BANKING
Prime+250bp 5Y C&I Loan AMORTIZED_COST 3,000,000 2021-06-01 LONG BANKING
Prime+175bp 3Y Revolver AMORTIZED_COST 2,000,000 2021-06-01 LONG BANKING
Bond acquisition costs are QuantLib NPV at acquisition date. Mortgage/loan acquisition costs are QL outstanding balance at acquisition date.
Run::
uv run python src/brms/data/create_diversified_bank.py [data_folder]
Where data_folder contains treasury_yields.csv and prime_rates.csv.
If omitted, yields are extracted from htm_treasury.zip and prime rates
from temp/data/prime_rates.csv.
Functions:
-
create_diversified_zip–Write the diversified simulation zip to out_path and return its path.
create_diversified_zip(
data_folder: Path, out_path: Path | None = None
) -> Path
Write the diversified simulation zip to out_path and return its path.
data_folder must contain treasury_yields.csv and prime_rates.csv.