Contract Simulation

Now that we have defined ACTUS contracts, let's simulate their cash flows under a market risk scenario using ACTUS Quickstart.

How Simulation Works

To request a contract simulation, we need:

1. A curl command – Sends a REST request to the ACTUS service.
2. JSON request data – Includes:
   • Contract details
   • Market risk scenario to apply
3. Service API call – Specifies:
   • Target ACTUS service (http://localhost:8083/)
   • Command to execute (rf2/eventsBatch for batch simulation)

Running Simulations

We use the source command to run a simulation.

Running Principal At Maturity (PAM) Contract Simulations

source scn01PAMnoRF_eb.txt

This simulates the PAMnoRF (Fixed Coupon Bullet Loan) under risk scenario "scn01". Since it has a fixed interest rate, the cash flows remain unchanged, even with different market conditions.

For the PAMwRF (Variable Coupon Bullet Loan):

source scn01PAMwRF_eb.txt

• Interest rate is variable, based on UST5Y (US Treasury 5-Year Rate).
• The scenario scn01 provides a projected market rate.
• The interest payments change based on this projection.

Running Annuity/Mortgage Contract Simulations

Similarly, we can simulate annuity/mortgage contracts:

source scn01ANNnoRF_eb.txt # Fixed-rate annuity (no effect from market rates) 
source scn01ANNwRF_eb.txt # Variable-rate annuity (market-sensitive)

• ANNnoRF (Fixed-Rate Annuity): Cash flows remain the same.
• ANNwRF (Variable-Rate Annuity): Cash flows depend on future UST5Y projections.

Simulating Multiple Contracts

Instead of simulating one contract at a time, we can run a portfolio of contracts in a single request. The API will return a list of cash flows for each contract, identified by their contractID.

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Key Takeaways

• Fixed-rate contracts don’t change with market scenarios.
• Variable-rate contracts adjust cash flows based on projected interest rates.
• The API can handle single or multiple contract simulations.

For more details, visit: ACTUS Financial Research Foundation