Credit: floating-rate bridge pool

version 0.1
model "float-bridge-pool"
use pack "credit" version "0.1.0"
time calendar monthly from 2026-01 for 41

// Forward index curve (flat-forward / step interpolation): the coupon for a
// period uses the last curve point at or before the period date.
curve sofr {
  2026-01: 0.048
  2026-07: 0.045
  2027-01: 0.042
  2027-07: 0.040
  2028-01: 0.0385
}

entity fund buyer

// $15mm floating IO bridge pool: SOFR + 275, coupon floored at 7.00% (binds
// once SOFR + margin falls below it) and capped at 9.00% (never binds),
// 36-month bullet, 10 CPR, 2.5 CDR, 45% severity, 5-month recovery lag.
// Contract term spans term_months + recovery_lag_months.
contract credit.pool_float_io_bullet.bridge_f on entity fund.buyer {
  term 2026-01..2029-05
  terms {
    balance = 15000000
    index_curve = "sofr"
    margin = 0.0275
    rate_floor = 0.07
    rate_cap = 0.09
    term_months = 36
    cpr = 0.10
    cdr = 0.025
    severity = 0.45
    recovery_lag_months = 5
  }
}

contract credit.purchase.bridge_f on entity fund.buyer {
  term 2026-01..2026-01
  terms {
    price = 15000000
  }
}

{
  "deterministic": {
    "annual_discount_rate": 0.075
  }
}