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Activating the Model for Simulation

Once a prepayment behavior model is included in a risk scenario, individual contracts must specify which behavior models to activate during simulation.

1. Why is Activation Needed?​

  • Risk scenarios list all available behavior models, but not all contracts need every model.
  • Each contract must specify the relevant behavior models for accurate risk modeling.
  • Example:
    • A loan contract may need a prepayment risk model.
    • An American Option contract would require an option exercise model, not a prepayment model.

2. User-Defined Contract Terms​

ACTUS contracts can include custom user-defined terms. These terms:

  • Are not processed by the actus-service directly.
  • Are passed to the actus-riskservice during simulation.

Prepayment Model Activation​

  • The term "prepaymentModels" specifies which prepayment model instances should be used when simulating a contract.
  • If the specified model is not available in the scenario, an error occurs.
  • If available, it is activated for the contract's simulation.

3. Running a Contract Simulation with a Prepayment Model​

To run a contract simulation using a prepayment model, use:

 source ppm01PAMwRF_ss.txt

What This Command Does

  • Runs an ACTUS simulation for the contract "PAMwRF".
  • Uses the risk scenario "scn02", which includes the prepayment model "ppm01".
  • Activates "ppm01" for prepayment modeling by including the user-defined term.
"prepaymentModels": ["ppm01"]
  • Uses the simulation command:
/rf2/scenarioSimulation

instead of the standard /rf2/eventsBatch