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Find the example here:
https://docs.centrifuge.io/learn/pool-valuation/#sample-calculations
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Main assumptions
1) Calculate Expected Repayment Amount
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Today/PV date3/31/2020
Expected repayment date
6/29/2020
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Discount rate (r)5.00%1.000000002
Expected repayment amount
DAI 105.13DAI 105.13
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Days per year360
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Seconds per year (n)31104000
2) Risk-Adjust Expected Cash Flow
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Financing parameters:
Expected Loss of lifetime
DAI 1.05
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Financing date1/1/2020
Risk Adjusted Cash Flow
DAI 104.08DAI 104.08
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Financing amount (P) DAI 100
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Financing fee10.00%1.000000003
3) Discount Risk Adjusted Expected Cash Flow
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Expected repayment date
6/29/2020Today/PV date3/31/2020
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Duration in days180
Days left till cash flow
90
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Duration in years (t)0.50in years0.25
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PD4.00%
PV / Discounted Risk Adjusted Cash Flow
DAI 102.78DAI 102.78
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LGD50.00%
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EL2%
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