Spectrum Simulator
Click here to simulate your risk using our comprehensive Knox Vault Simulator!
Quick Guide
What is this?
Knox Spectrum Vaults split yield from an underlying market into tranches. Senior gets a guaranteed fixed rate. Spectrum tranches sit in the middle — each has a capped rate, and they're paid out lowest-rate-first. Junior gets the residual: all upside in good scenarios, but absorbs losses first. The protocol takes a fee from junior profits.
This simulator lets you configure a pool, set up deposits at different days, and see exactly how settlement distributes value across all tranches.
Try a Preset
Click any preset button in the header bar (e.g., Balanced, Stress Test, Surplus). The pool config, deposit schedule, and scenario all load instantly. The results panel updates in real time. The active preset's description is shown below the buttons.
Read the Results
The right panel has three tabs:
Results (bar chart icon) — Stat cards (deposited, value, P&L, fee, capacity), charts (deposit timeline, pool composition, APY comparison), and per-deposit/per-tranche tables
Settlement (line chart icon) — Sankey flow diagram showing how deposits flow through the underlying market and distribute to tranches at settlement
Protection (shield icon) — How protected each tranche is: loss buffers, breakeven & cap APYs, scenario sweep chart (payout/yield/APY), and tranche protection table with status badges
Tweak It
Use the left panel to adjust:
Pool parameters — Senior APY, spectrum grid, period, collateral factors
Deposit schedule — Add/remove/edit individual deposits, pick a schedule template, or use a game-theoretic market profile
Scenario — Underlying return (market performance), time elapsed
Share
Click Export to copy your full scenario (config + deposits) as JSON. Others can click Import to paste it and reproduce your exact setup.
Detailed Functionality
1. The Settlement Waterfall
At maturity, the pool's total value is distributed in a strict order:
Loss absorption works in reverse: Junior is wiped first, then spectrum tranches from highest-rate down, then senior. Senior is only impaired in extreme loss scenarios.
Holding period matters: A deposit made on day 45 of a 90-day pool earns approximately half the annualized rate compared to a day-0 deposit, since it compounds for fewer days.
2. Pool Parameters
Senior APY
0.50% – 20.00%
0.50%
Guaranteed annualized return for the senior tranche
Max Spectrum APY
(Senior + Step) – 50.00%
0.50%
Highest rate in the spectrum grid
Grid Step
0.25% – 10.00%
0.10%
Spacing between spectrum tranches
Period
7 – 365 days
1 day
Pool duration — all compounding is pro-rated to this
Protocol Fee
0.00% – 30.00%
0.50%
Fee on junior profits, collected at settlement
CF First Spectrum
1.00% – 100.00%
1.00%
Collateral factor for the first spectrum tranche
CF Junior
CF First – 100.00%
1.00%
Collateral factor for junior relative to senior
Cap Reduction Factor
0.00% – 100.00%
1.00%
Reduces deposit caps for late deposits that earn a shorter compounding period
Spectrum Deposit Cutoff
0.00% – 100.00%
1.00%
Elapsed duration fraction at which spectrum deposits are cut off (0% = no cutoff)
Junior Deposit Cutoff
0.00% – 100.00%
1.00%
Elapsed duration fraction at which junior deposits are cut off (0% = no cutoff)
Grid Step example: With Senior APY at 3% and Max Spectrum at 10% with a 2% grid step, the spectrum tranches are: 5%, 7%, 9%.
Collateral factors determine senior capacity — how much senior deposit the pool can support given the junior and spectrum collateral. Higher CFs mean more collateral is required relative to the senior tranche.
Surplus Participation
An optional section (collapsed by default) that controls whether spectrum tranches share in excess junior profits:
k (Scale)
0 – 1000
10
Scale factor — 0 disables surplus sharing
Junior Hurdle
0.00% – 100.00%
0.50%
Minimum junior APY before surplus sharing kicks in
Exponent (n)
0 – 5
0.1
Curvature of sharing function (1 = linear, higher = more to high-APY tranches)
When enabled and the underlying outperforms enough to clear the junior hurdle, surplus is distributed to spectrum tranches weighted by their collateral factors. Higher-CF tranches (higher APY) receive proportionally more surplus. Try the Surplus preset to see this in action.
3. Deposit Schedule
Schedule Templates & Market Profiles
The schedule editor offers two types of preset schedules:
Static templates:
Day 0 Flat
All deposits at day 0 — $500k senior, split spectrum, $200k junior
Random
10 random deposits with uniform random tranches, days, and $10k–$100k amounts
Game-theoretic market profiles — these model realistic depositor behavior using actor archetypes (bootstrap, conservative, moderate, aggressive, late followers, whales) with incentive-driven timing and tranche selection:
Bull Market
Aggressive actors pile into junior/spectrum early, front-loaded timing
Cautious Market
Risk-averse depositors — mostly senior with small spectrum positions
Whale Pool
Few large deposits dominate the pool composition
Retail Frenzy
Many small deposits (~30) with strong spectrum grid interest
Late Rush
Slow start, most deposits arrive in the back half of the period
Balanced Mix
Even mix of actor types — conservative, moderate, aggressive, and whales
Market profiles are sentiment-aware: they adjust tranche preferences based on the current underlying return. When the underlying outperforms, actors shift toward junior/spectrum; when it underperforms, they favor senior.
Live recalculation: Enable the "Live recalc on underlying APY change" checkbox (in the schedule details section) to have the deposit schedule automatically regenerate as you move the underlying return slider. This lets you see how depositor behavior would change under different market conditions.
Manual Editing
Expand the Edit Schedule & Details section to see and modify individual deposits:
Tranche — Select Senior, Spectrum, or Junior
Spectrum Rate — If Spectrum, pick a rate from the grid (dropdown)
Day — When the deposit enters the pool (0 to period - 1)
Amount — Dollar amount of the deposit
Delete (x) — Remove the deposit
Use + Add Deposit to append a new row. Clear removes all deposits. Sort by Day reorders chronologically.
Random Generator
Generate randomized deposit schedules:
Count — Number of deposits (1–50)
Min / Max — Amount range per deposit
Click Generate Random to create a new random schedule (replaces current)
4. Scenario Controls
Underlying Return
The Underlying Return (ann.) slider sets the assumed annualized return on the pool's total assets. This is the market performance assumption:
Positive values = profit scenario (green)
Negative values = loss scenario (red)
The min/max fields control the slider's range (useful for exploring extreme scenarios)
Each deposit's value at settlement is: amount * (1 + rate)^(holdingDays / 365)
Time Elapsed
The Time Elapsed slider sets a mark-to-market reference point. Charts display a "Now" line at this day, showing how the pool looks at that moment. This does not affect settlement calculations — it's purely for visualization.
5. Scenario Presets
Five built-in presets load a complete scenario (config + deposits). The active preset's description is shown below the buttons.
Balanced
3.00%
10.00%
90d
+6.00%
Moderate risk/return mix
Stress Test
3.00%
10.00%
90d
-14.00%
Loss scenario — junior + spectrum wiped
Surplus
2.50%
4.75%
90d
+12.00%
Surplus participation demo (k=400, hurdle=20%)
Simple Case
5.00%
6.00%
30d
+15.00%
Minimal testing setup
Simple Case 2
5.00%
6.00%
30d
+20.00%
Higher return with mid-period deposit
Clicking a preset replaces all parameters and the deposit schedule. The active preset is highlighted; changing any parameter switches to "Custom".
6. Results — Stat Cards
Five summary cards at the top of the results panel:
Total Deposited
Sum of all deposits across all tranches
Underlying Value
Mark-to-market pool value after applying the underlying return to each deposit's holding period. Green if profit, red if loss. Shows the absolute P&L below.
Total Tranche P&L
Sum of all tranche payouts minus deposits. Warns "Senior impaired" or "Loss scenario" when applicable.
Protocol Fee
Fee collected from junior profits. Shows the fee rate and any surplus swept.
Senior Capacity
Maximum senior deposits allowed given junior collateral and collateral factors. Warns "EXCEEDED" if actual senior deposits surpass this.
7. Results — Charts
Deposit Timeline
Stacked bar chart showing deposits by day, colored by tranche. The "Now" reference line marks the elapsed day.
Pool Composition Over Time
Shows how each tranche's value evolves during the pool period. Two sets of controls:
Stacked / Separate — Stacked areas vs individual lines
Mode — Four view modes:
Value — Total valuation per tranche over time
Yield — Pure profit/loss per tranche (subtracts deposits)
Capacity — Deposit capacity per tranche over time
APY — Per-deposit or per-tranche annualized return over time
The "Now" line shows the current mark-to-market point. Hover for detailed tooltips.
Realized vs Target APY
Bar chart comparing each tranche's actual realized APY against its target cap. Useful for seeing which tranches hit their cap and which underperformed.
8. Results — Tables
Per-Deposit Results
Every deposit with its settlement outcome:
#
Original position in the schedule
Tranche
Senior / Spectrum (with rate) / Junior
Day
Deposit day
Amount
Deposit size
Payout
Amount returned at settlement
P&L
Payout minus amount (green/red)
Return
Percentage return (payout/amount - 1)
APY
Annualized return
Sorting: Toggle between chronological (Time) and grouped by tranche then time (Tranche, Time).
Precise mode: Toggle to show full 6-decimal precision instead of abbreviated values.
A footer row shows the protocol fee if applicable.
Per-Tranche Results
Aggregated view — one row per active tranche:
Tranche
Senior / Spectrum rate / Junior
Deposits
Total deposited in this tranche
Shares
Total shares issued
Cap
Tranche capacity (senior cap or spectrum cap; Junior shows "—")
Payout
Total payout from this tranche
P&L
Payout minus deposits
Avg APY
Average annualized return across all deposits in this tranche
9. Settlement Tab
The Settlement tab (line chart icon) displays a Sankey flow diagram that visualizes the full settlement waterfall:
Left side — Deposits flowing into the underlying market, broken down by tranche
Center — The underlying market value (yield or loss)
Right side — Payouts distributed to each tranche, protocol fee, and any unallocated value
The diagram decomposes each tranche's payout into principal return and yield (or loss). It also shows per-tranche collateral factors and capacity utilization. Toggle between compact and detailed views.
10. Protection Tab
The Protection tab (shield icon) shows how protected each tranche is and what market conditions would cause losses. It only computes when active — switching to other tabs pauses the protection analysis.
Summary Cards
Three cards at the top:
Senior Buffer
How much the underlying APY can drop before senior loses principal. Green if > 10%, amber if < 10%, red if impaired.
Junior Breakeven APY
The minimum underlying APY needed for junior to break even. Also shows the underlying APY at which junior outperforms the highest spectrum tranche.
Subordination
Total capital below senior in the waterfall (spectrum + junior, weighted by collateral factors). Shown as $ amount and as a ratio to senior deposits.
Scenario Sweep Chart
Line chart showing how each tranche's outcome changes across a range of underlying returns. Three view modes:
Payout
$
Total payout per tranche. Horizontal dashed lines mark each tranche's deposit amount (breakeven reference).
Yield
+/- $
Payout minus deposits (profit/loss). Zero line shown.
APY
%
Realized annualized return per tranche. Senior/spectrum flatten at their cap rate; junior curves upward unbounded.
Vertical markers on the chart:
Solid dashed (blue)
Current scenario ("You are here")
Medium dashed (tranche color)
Breakeven - underlying APY where payout equals deposits
Short dotted (tranche color)
Cap (senior/spectrum) or Outperform (junior) threshold
The x-axis is a true numeric scale. The chart always includes the current scenario value and all threshold markers as data points so markers render precisely.
Tranche Protection Table
One row per active tranche with progressive columns (narrower screens hide lower-priority columns):
Tranche
Yes
Tranche name with color indicator
Loss Buffer
Yes
How much the underlying can drop (%) before impairment. 0% for junior (first-loss).
APY
Yes
Realized annualized return, computed consistently with the sweep chart
Status
Yes
Badge — At Cap, Below Cap, At Risk, Impaired, Top (junior outperforming), First Loss
Breakeven
380px+
Underlying APY at which payout equals deposits
Deposits
440px+
Total deposited in this tranche
Cap / Outperform
595px+
Senior/Spectrum: underlying APY to reach max payout. Junior: underlying APY to outperform highest spectrum.
Protection
690px+
Subordinated capital / tranche deposits (e.g., 1.85x)
Subordinated
790px+
Dollar amount of capital below this tranche in the waterfall
Column headers with (?) show explanatory tooltips on hover (desktop) or tap (mobile).
Status Definitions
At Cap
Earning full guaranteed/capped rate
Below Cap
Profitable but APY is below the promised rate
At Risk
Loss buffer under 10%
Impaired
Losing principal
Top
Junior APY exceeds highest spectrum tranche rate
First Loss
Junior at or below breakeven (no profit)
11. Import / Export
Scenario (Full)
Export: Click the Export button in the header. Copies the entire scenario as JSON to your clipboard — pool config, scenario settings, and the deposit schedule.
Import: Click Import, paste the JSON, and click Apply. All parameters and deposits are restored.
Schedule Only
Export: In the schedule editor section, click the copy button. Copies just the deposit schedule.
Import: Click the import button in the schedule editor, paste the JSON, and apply.
JSON Format
Scenario format:
Schedule-only format:
All rate values are in basis points (e.g., 300 = 3.00%). The v: 1 field is required for validation.
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