correct begBalance for asset cashflow statuts

yellowbean · Oct 15, 2024 · 2675f95 · 2675f95
1 parent a195faa
commit 2675f95
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Showing 7 changed files with 48 additions and 34 deletions.
diff --git a/src/AssetClass/FixedAsset.hs b/src/AssetClass/FixedAsset.hs
@@ -102,6 +102,8 @@ instance Ast.Asset FixedAsset where
         cumuDepreciation = tail $ scanl (+) cumuDep amortizedBals 
 
         txns = zipWith6 CF.FixedFlow pdates scheduleBals amortizedBals cumuDepreciation units cash
+        futureTxns = cutBy Inc Future asOfDay txns
+        begBal = CF.buildBegBal futureTxns
       in 
-        (CF.CashFlowFrame (head scheduleBals,asOfDay,Nothing) $ cutBy Inc Future asOfDay txns, Map.empty)
+        (CF.CashFlowFrame (begBal,asOfDay,Nothing) $ futureTxns, Map.empty)
 
diff --git a/src/AssetClass/Installment.hs b/src/AssetClass/Installment.hs
@@ -72,7 +72,7 @@ projectInstallmentFlow (startBal, lastPaidDate, (originRepay,originInt), startRa
 
 instance Asset Installment where
   calcCashflow inst@(Installment (LoanOriginalInfo ob or ot p sd ptype _) cb rt st) asOfDay _
-    = CF.CashFlowFrame (cb,asOfDay,Nothing) flows 
+    = CF.CashFlowFrame (begBal,asOfDay,Nothing) flows 
      where 
         lastPayDate:cf_dates = lastN (rt+1) $ sd:getPaymentDates inst 0
         opmt = divideBI ob ot  
@@ -99,6 +99,7 @@ instance Asset Installment where
                                         (replicate _rt orate) (replicate _rt Nothing)
 
         flows = cutBy Inc Future asOfDay _flows
+        begBal = CF.buildBegBal flows
 
 
   getCurrentBal (Installment _ b _ _ ) = b
@@ -130,7 +131,7 @@ instance Asset Installment where
                asOfDay 
                pAssump@(A.InstallmentAssump defaultAssump prepayAssump recoveryAssump ams,_,_)
                mRates
-      = (applyHaircut ams (CF.CashFlowFrame (cb,asOfDay,Nothing) futureTxns), historyM)
+      = (applyHaircut ams (CF.CashFlowFrame (begBal,asOfDay,Nothing) futureTxns), historyM)
         where 
           recoveryLag = maybe 0 getRecoveryLag recoveryAssump
           lastPayDate:cfDates = lastN (rt + recoveryLag +1) $ sd:getPaymentDates inst recoveryLag
@@ -149,6 +150,7 @@ instance Asset Installment where
           defRates = Ast.buildDefaultRates (lastPayDate:cfDates) defaultAssump
           (txns,_) = projectInstallmentFlow (cb,lastPayDate,(opmt,ofee),orate,currentFactor,pt,ot) (cfDates,defRates,ppyRates,remainTerms) 
           (futureTxns,historyM) = CF.cutoffTrs asOfDay (patchLossRecovery txns recoveryAssump)
+          begBal = CF.buildBegBal futureTxns
 
 
   -- ^ project with defaulted at a date
@@ -162,8 +164,10 @@ instance Asset Installment where
          recoveries = calcRecoveriesFromDefault cb rr timing
          bals = scanl (-) cb recoveries
          _txns = [  CF.LoanFlow d b 0 0 0 0 r 0 cr Nothing | (b,d,r) <- zip3 bals cf_dates2 recoveries ]
+         futureTxns = cutBy Inc Future asOfDay $ beforeRecoveryTxn++_txns
+         begBal = CF.buildBegBal futureTxns
       in 
-         (CF.CashFlowFrame (cb,asOfDay,Nothing)$ cutBy Inc Future asOfDay (beforeRecoveryTxn++_txns),Map.empty)
+         (CF.CashFlowFrame (begBal,asOfDay,Nothing) futureTxns ,Map.empty)
       where 
         cr = getOriginRate inst
 

diff --git a/src/AssetClass/Lease.hs b/src/AssetClass/Lease.hs
@@ -211,7 +211,7 @@ instance Asset Lease where
       = fst . patchBalance $ RegularLease (LeaseInfo sd ot dp dr ob) bal ot st
 
     projCashflow l asOfDay ((AP.LeaseAssump gapAssump rentAssump ed exStress),_,_) mRates
-      = (CF.CashFlowFrame (0,asOfDay,Nothing) allTxns, Map.empty)  
+      = (CF.CashFlowFrame (begBal,asOfDay,Nothing) allTxns, Map.empty)  
       where 
         currentCf = calcCashflow l asOfDay mRates
         -- (rc,rcCurve,mgTbl,gapDays,ed) = extractAssump (A.LeaseAssump gapAssump rentAssump) -- (0.0,mkTs [],([(0.0,0)],0),0,epocDate)-- `debug` ("7")
@@ -232,6 +232,8 @@ instance Asset Lease where
                       []
         newCfs = [ calcCashflow l asOfDay mRates | l <- newLeases ]  -- `debug` ("new leases"++ show newLeases )
         allTxns = view CF.cashflowTxn currentCf ++ (concat $ (view CF.cashflowTxn) <$> newCfs)
+        begBal = CF.buildBegBal allTxns
+
 
     getCurrentBal l = case l of 
                         StepUpLease _ _ bal _ _ -> bal

diff --git a/src/AssetClass/Loan.hs b/src/AssetClass/Loan.hs
@@ -127,7 +127,7 @@ instance Asset Loan where
                asOfDay 
                (A.LoanAssump defaultAssump prepayAssump recoveryAssump ams,_,_)
                mRate 
-    = (applyHaircut ams (CF.CashFlowFrame (cb,asOfDay,Nothing) futureTxns), historyM)
+    = (applyHaircut ams (CF.CashFlowFrame (begBal,asOfDay,Nothing) futureTxns), historyM)
     where
       recoveryLag = maybe 0 getRecoveryLag recoveryAssump
       lastPayDate:cfDates = lastN (rt + recoveryLag + 1) $ sd:getPaymentDates pl recoveryLag
@@ -145,6 +145,7 @@ instance Asset Loan where
                      _ -> 1.0  
       (txns,_) = projectLoanFlow ((ob,ot,getOriginRate pl), cb,lastPayDate,prinPayType,dc,cr,initFactor) (cfDates,defRates,ppyRates,rateVector,remainTerms)  -- `debug` (" rateVector"++show rateVector)
       (futureTxns,historyM) = CF.cutoffTrs asOfDay (patchLossRecovery txns recoveryAssump)
+      begBal = CF.buildBegBal futureTxns
 
   -- ^ Project cashflow for defautled loans 
   projCashflow m@(PersonalLoan (LoanOriginalInfo ob or ot p sd prinPayType _) cb cr rt (Defaulted (Just defaultedDate))) 
@@ -158,8 +159,9 @@ instance Asset Loan where
         _txns = [  CF.LoanFlow d 0 0 0 0 0 r 0 cr Nothing | (d,r) <- zip cf_dates2 recoveries ]
         (_, txns) = splitByDate (beforeRecoveryTxn++_txns) asOfDay EqToRight -- `debug` ("AS OF Date"++show asOfDay)
         (futureTxns,historyM) = CF.cutoffTrs asOfDay txns 
+        begBal = CF.buildBegBal futureTxns
       in 
-        (CF.CashFlowFrame (cb,asOfDay,Nothing) futureTxns, historyM)
+        (CF.CashFlowFrame (begBal,asOfDay,Nothing) futureTxns, historyM)
 
   projCashflow m@(PersonalLoan (LoanOriginalInfo ob or ot p sd prinPayType _) cb cr rt (Defaulted Nothing)) asOfDay assumps _
     = (CF.CashFlowFrame (cb,asOfDay,Nothing) [CF.LoanFlow asOfDay 0 0 0 0 0 0 0 cr Nothing],Map.empty)

diff --git a/src/AssetClass/Mortgage.hs b/src/AssetClass/Mortgage.hs
@@ -411,7 +411,7 @@ instance Ast.Asset Mortgage where
                asOfDay 
                mars@(A.MortgageAssump (Just (A.DefaultByAmt (dBal,vs))) amp amr ams ,_ ,_) 
                mRates =
-      (applyHaircut ams $ patchPrepayPenaltyFlow (ot,mpn) (CF.CashFlowFrame (cb,asOfDay,Nothing) futureTxns) ,historyM)
+      (applyHaircut ams $ patchPrepayPenaltyFlow (ot,mpn) (CF.CashFlowFrame (begBal,asOfDay,Nothing) futureTxns) ,historyM)
       where
         recoveryLag = maybe 0 getRecoveryLag amr
         lastPayDate:cfDates = lastN (succ (recoveryLag + rt)) $ sd:getPaymentDates m recoveryLag
@@ -423,13 +423,14 @@ instance Ast.Asset Mortgage where
         txns = projCashflowByDefaultAmt (cb,lastPayDate,prinPayType,p,cr,mbn) 
                                         (cfDates,(expectedDefaultBals,unAppliedDefaultBals),ppyRates,rateVector,remainTerms)
         (futureTxns,historyM)= CF.cutoffTrs asOfDay (patchLossRecovery txns amr)
+        begBal = CF.buildBegBal futureTxns
 
   -- project current adjMortgage with total default amt
   projCashflow m@(AdjustRateMortgage (MortgageOriginalInfo ob or ot p sd prinPayType mpn _) arm cb cr rt mbn Current) 
                asOfDay 
                mars@(A.MortgageAssump (Just (A.DefaultByAmt (dBal,vs))) amp amr ams,_,_) 
                mRates =
-      (applyHaircut ams $ patchPrepayPenaltyFlow (ot,mpn) (CF.CashFlowFrame (cb,asOfDay,Nothing) futureTxns) ,historyM)
+      (applyHaircut ams $ patchPrepayPenaltyFlow (ot,mpn) (CF.CashFlowFrame (begBal,asOfDay,Nothing) futureTxns) ,historyM)
       where
         ARM initPeriod initCap periodicCap lifeCap lifeFloor = arm
         passInitPeriod = (ot - rt) >= initPeriod 
@@ -445,11 +446,12 @@ instance Ast.Asset Mortgage where
         remainTerms = paddingDefault 0 (reverse [0..(length cfDates - recoveryLag)]) (length cfDates)
         txns = projCashflowByDefaultAmt (cb,lastPayDate,prinPayType,p,cr,mbn) (cfDates,(expectedDefaultBals,unAppliedDefaultBals),ppyRates,rateVector,remainTerms)
         (futureTxns,historyM)= CF.cutoffTrs asOfDay (patchLossRecovery txns amr)
+        begBal = CF.buildBegBal futureTxns
 
   -- project schedule cashflow with total default amount
   projCashflow (ScheduleMortgageFlow begDate flows dp) asOfDay 
               assumps@(pAssump@(A.MortgageAssump (Just (A.DefaultByAmt (dBal,vs))) amp amr ams ),dAssump,fAssump) _
-    = (applyHaircut ams (CF.CashFlowFrame (begBal,asOfDay,Nothing) futureTxns) ,historyM)  -- `debug` ("Future txn"++ show futureTxns)
+    = (applyHaircut ams (CF.CashFlowFrame (begBalAfterCut,asOfDay,Nothing) futureTxns) ,historyM)  -- `debug` ("Future txn"++ show futureTxns)
       where
         begBal =  CF.mflowBegBalance $ head flows
         begDate = getDate $ head flows 
@@ -469,14 +471,15 @@ instance Ast.Asset Mortgage where
                      (begBal,begDate,begRate,begMbn) 
                      (flowsWithEx,(expectedDefaultBals,unAppliedDefaultBals),ppyRates) -- `debug` ("exted flows"++ show flowsWithEx)
         (futureTxns,historyM) = CF.cutoffTrs asOfDay (patchLossRecovery txns amr) -- `debug` ("txn"++show txns)
+        begBalAfterCut = CF.buildBegBal futureTxns
 
 
   -- project current mortgage(without delinq)
   projCashflow m@(Mortgage (MortgageOriginalInfo ob or ot p sd prinPayType mpn _) cb cr rt mbn Current) 
                asOfDay 
                mars@(A.MortgageAssump amd amp amr ams ,_ ,_) 
                mRates =
-      (applyHaircut ams $ patchPrepayPenaltyFlow (ot,mpn) (CF.CashFlowFrame (cb,asOfDay,Nothing) futureTxns) ,historyM)
+      (applyHaircut ams $ patchPrepayPenaltyFlow (ot,mpn) (CF.CashFlowFrame (begBal,asOfDay,Nothing) futureTxns) ,historyM)
     where
       recoveryLag = maybe 0 getRecoveryLag amr
       lastPayDate:cfDates = lastN (rt + 1) $ sd:getPaymentDates m 0
@@ -500,6 +503,7 @@ instance Ast.Asset Mortgage where
       extraTxns = [ CF.emptyTsRow d lastProjTxn  | d <- recoveryDates ]
 
       (futureTxns,historyM)= CF.cutoffTrs asOfDay (patchLossRecovery (txns++extraTxns) amr)
+      begBal = CF.buildBegBal futureTxns
 
   -- project current mortgage(with delinq)
   projCashflow m@(Mortgage (MortgageOriginalInfo ob or ot p sd prinPayType mpn _) cb cr rt mbn Current) 
@@ -508,7 +512,7 @@ instance Ast.Asset Mortgage where
                     ,_
                     ,_) 
                mRates =
-      (applyHaircut ams $ patchPrepayPenaltyFlow (ot,mpn) (CF.CashFlowFrame (cb,asOfDay, Nothing) futureTxns) ,historyM)
+      (applyHaircut ams $ patchPrepayPenaltyFlow (ot,mpn) (CF.CashFlowFrame (begBal,asOfDay, Nothing) futureTxns) ,historyM)
     where
       lastPayDate:cfDates = lastN (recoveryLag + defaultLag + rt + 1) $ sd:getPaymentDates m (recoveryLag+defaultLag)
       cfDatesLength = length cfDates + recoveryLag + defaultLag
@@ -521,6 +525,7 @@ instance Ast.Asset Mortgage where
                                        (defaultPct,defaultLag,recoveryRate,recoveryLag,p,prinPayType,ot) 
                                        (replicate cfDatesLength 0.0,replicate cfDatesLength 0.0,replicate cfDatesLength 0.0)
       (futureTxns,historyM)= CF.cutoffTrs asOfDay txns
+      begBal = CF.buildBegBal futureTxns
 
   -- project defaulted Mortgage    
   projCashflow m@(Mortgage (MortgageOriginalInfo ob or ot p sd prinPayType mpn _) cb cr rt mbn (Defaulted (Just defaultedDate)) ) 
@@ -531,8 +536,10 @@ instance Ast.Asset Mortgage where
       beforeRecoveryTxn = [ CF.MortgageFlow d 0 0 0 0 0 0 0 cr mbn Nothing Nothing | d <- emptyDates ]
       recoveries = calcRecoveriesFromDefault cb rr timing
       txns = [ CF.MortgageFlow d 0 0 0 0 0 r 0 cr mbn Nothing Nothing | (d,r) <- zip recoveryDates recoveries ]
+      futureTxns = cutBy Inc Future asOfDay $ beforeRecoveryTxn ++ txns
+      begBal = CF.buildBegBal futureTxns
     in 
-      (CF.CashFlowFrame (cb,asOfDay,Nothing) $ cutBy Inc Future asOfDay (beforeRecoveryTxn ++ txns) ,Map.empty)
+      (CF.CashFlowFrame (begBal,asOfDay,Nothing) futureTxns ,Map.empty)
 
   -- project defaulted adjMortgage with a defaulted Date   
   projCashflow m@(AdjustRateMortgage mo arm cb cr rt mbn (Defaulted (Just defaultedDate)) ) asOfDay assumps mRates
@@ -549,7 +556,7 @@ instance Ast.Asset Mortgage where
                asOfDay 
                mars@(A.MortgageAssump amd amp amr ams,_,_) 
                mRates =
-    (applyHaircut ams $ patchPrepayPenaltyFlow (ot,mpn) (CF.CashFlowFrame (cb,asOfDay,Nothing) futureTxns) ,historyM)
+    (applyHaircut ams $ patchPrepayPenaltyFlow (ot,mpn) (CF.CashFlowFrame (begBal,asOfDay,Nothing) futureTxns) ,historyM)
     where
       ARM initPeriod initCap periodicCap lifeCap lifeFloor = arm
       passInitPeriod = (ot - rt) >= initPeriod 
@@ -567,13 +574,14 @@ instance Ast.Asset Mortgage where
       scheduleBalToday = calcScheduleBalaceToday m mRates asOfDay
       (txns,_) = projectMortgageFlow (scheduleBalToday, cb,lastPayDate,mbn,prinPayType,dc,cr,p,ot) (cfDates, defRates, ppyRates,rateVector,remainTerms)
       (futureTxns,historyM)= CF.cutoffTrs asOfDay (patchLossRecovery txns amr)
+      begBal = CF.buildBegBal futureTxns
 
   -- project current AdjMortgage with delinq
   projCashflow m@(AdjustRateMortgage (MortgageOriginalInfo ob or ot p sd prinPayType mpn _) arm cb cr rt mbn Current) 
                asOfDay 
                mars@(A.MortgageAssump amd amp amr ams,_,_) 
                mRates =
-      (applyHaircut ams $ patchPrepayPenaltyFlow (ot,mpn) (CF.CashFlowFrame (cb,asOfDay,Nothing) futureTxns) ,historyM)
+      (applyHaircut ams $ patchPrepayPenaltyFlow (ot,mpn) (CF.CashFlowFrame (begBal,asOfDay,Nothing) futureTxns) ,historyM)
     where
       ARM initPeriod initCap periodicCap lifeCap lifeFloor = arm
       passInitPeriod = (ot - rt) >= initPeriod 
@@ -589,11 +597,12 @@ instance Ast.Asset Mortgage where
                                        (defaultPct,defaultLag,recoveryRate,recoveryLag,p,prinPayType,ot) 
                                        (replicate cfDatesLength 0.0,replicate cfDatesLength 0.0,replicate cfDatesLength 0.0)
       (futureTxns,historyM)= CF.cutoffTrs asOfDay txns 
+      begBal = CF.buildBegBal futureTxns
 
   -- schedule mortgage flow without delinq
   projCashflow (ScheduleMortgageFlow begDate flows dp) asOfDay 
                assumps@(pAssump@(A.MortgageAssump _ _ _ ams ),dAssump,fAssump) _
-    = (applyHaircut ams (CF.CashFlowFrame (begBal,asOfDay,Nothing) futureTxns) ,historyM)
+    = (applyHaircut ams (CF.CashFlowFrame (begBalAfterCutoff,asOfDay,Nothing) futureTxns) ,historyM)
       where
         begBal =  CF.mflowBegBalance $ head flows 
         (ppyRates,defRates,recoveryRate,recoveryLag) = buildAssumptionPpyDefRecRate (begDate:cfDates) pAssump 
@@ -607,13 +616,13 @@ instance Ast.Asset Mortgage where
                                    (replicate curveDatesLength 0.0)
                                    (recoveryLag,recoveryRate) 
         (futureTxns,historyM) = CF.cutoffTrs asOfDay txns 
-        cb = (CF.mflowBegBalance . head) futureTxns
+        begBalAfterCutoff = CF.buildBegBal futureTxns
 
 
   -- schedule mortgage flow WITH delinq
   projCashflow (ScheduleMortgageFlow begDate flows dp) asOfDay assumps@(pAssump@(A.MortgageDeqAssump _ _ _ ams),dAssump,fAssump) mRates
     = 
-      (applyHaircut ams (CF.CashFlowFrame (begBal, asOfDay,Nothing) futureTxns) ,historyM)
+      (applyHaircut ams (CF.CashFlowFrame (begBalAfterCutoff, asOfDay,Nothing) futureTxns) ,historyM)
       where
         begBal =  CF.mflowBegBalance $ head flows -- `debug` ("beg date"++show beg_date)
         (ppyRates, delinqRates,(defaultPct,defaultLag),recoveryRate,recoveryLag) = Ast.buildAssumptionPpyDelinqDefRecRate (begDate:getDates flows) pAssump
@@ -628,6 +637,7 @@ instance Ast.Asset Mortgage where
                  (replicate curveDatesLength 0.0) (replicate curveDatesLength 0.0)
                  (replicate curveDatesLength 0.0) (defaultPct,defaultLag,recoveryRate,recoveryLag)  -- `debug` ("Delinq rates"++ show delinqRates++">>ppy rates"++ show ppyRates)
         (futureTxns,historyM) = CF.cutoffTrs asOfDay txns 
+        begBalAfterCutoff = CF.buildBegBal futureTxns
 
   projCashflow a b c d = error $ "Failed to match when proj mortgage>>" ++ show a ++ show b ++ show c ++ show d
 

diff --git a/src/Cashflow.hs b/src/Cashflow.hs
@@ -22,7 +22,7 @@ module Cashflow (CashFlowFrame(..),Principals,Interests,Amount
                 ,cashflowTxn,clawbackInt,scaleTsRow,mflowFeePaid, currentCumulativeStat, patchCumulativeAtInit
                 ,mergeCf,buildStartTsRow
                 ,txnCumulativeStats,consolidateCashFlow, cfBeginStatus, getBegBalCashFlowFrame
-                ,splitCashFlowFrameByDate, mergePoolCf2) where
+                ,splitCashFlowFrameByDate, mergePoolCf2, buildBegBal) where
 
 import Data.Time (Day)
 import Data.Fixed
@@ -393,6 +393,11 @@ addTsCF (ReceivableFlow d1 b1 af1 p1 fp1 def1 rec1 los1 st1) (ReceivableFlow d2
   = ReceivableFlow d1 (min b1 b2) (af1 + af2) (p1 + p2) (fp1 + fp2) (def1 + def2) (rec1 + rec2) (los1 + los2) (maxStats st1 st2)
 
 
+buildBegBal :: [TsRow] -> Balance
+buildBegBal [] = 0
+buildBegBal (x:_) = mflowBegBalance x
+
+
 sumTs :: [TsRow] -> Date -> TsRow
 sumTs trs = tsSetDate (foldr1 addTs trs)
 

diff --git a/src/Deal/DealAction.hs b/src/Deal/DealAction.hs
@@ -89,19 +89,6 @@ pricingAssets pm assetsAndAssump ras d
     pricingResults
 
 
-
-liquidatePool :: Ast.Asset a => PricingMethod -> Date -> String -> TestDeal a -> TestDeal a
-liquidatePool lm d accName t@TestDeal { accounts = accs , pool = pool} =
-  t {accounts = Map.adjust updateFn accName accs} -- `debug` ("Accs->"++show(accs))
-  where
-    proceedsByPool = case pool of 
-                     MultiPool pm -> Map.map (\p -> P.calcLiquidationAmount lm p d) pm
-                     SoloPool p -> Map.fromList [(PoolConsol,P.calcLiquidationAmount lm p d)]
-                     ResecDeal uDeals -> error "Not implement on liquidate resec deal"
-
-    proceeds = sum $ Map.elems proceedsByPool
-    updateFn = A.deposit proceeds d LiquidationProceeds
-
 -- actual payout amount to bond with due mounts
 allocAmtToBonds :: W.PayOrderBy -> Amount -> [(L.Bond,Amount)] -> [(L.Bond,Amount)]
 allocAmtToBonds theOrder amt bndsWithDue =
@@ -1149,9 +1136,11 @@ performAction d t@TestDeal{bonds=bndMap } (W.WriteOffBySeq mlimit bnds)
     (bndWrited, _) = paySequentially d writeAmtCapped L.bndBalance (L.writeOff d) [] bondsToWriteOff 
     bndMapUpdated = lstToMapByFn L.bndName bndWrited
 
-
+-- TODO need to sell assets/ in the future , in run time
+-- TODO need to remove assets/cashflow frame
+-- TODO need to set a limit
 performAction d t@TestDeal{accounts=accMap, pool = pool} (W.LiquidatePool lm an mPid) =
-  t {accounts = accMapAfterLiq } -- TODO need to remove assets/cashflow frame
+  t {accounts = accMapAfterLiq } 
   where
     liqAmtByPool = case (pool,mPid) of 
                      (MultiPool pm,Nothing) -> Map.map (\p -> P.calcLiquidationAmount lm p d) pm