0.29.x (#206)

* Fix date issue
* add missing formula to queryDealRate
* enhance: no dup name in funding plan
* WIP: warehousing
* expose obligor field
* implement obligor tags/id
* obligor Int -> String
* expose obligor field map
* expose refince by rate
* expose endpoint for multi run for deal run assumption
* rebuild deal action if refinance bond is floater
* add check for bond group
* add validate rule for bond group action
* expose pool history stats
* expose ratio/avgRatio to date patch

Hastructure.cabal

@@ -76,6 +76,7 @@ library
     , base
     , bytestring
     , containers
+    , generic-lens
     , hashable
     , lens
     , numeric-limits
@@ -113,6 +114,7 @@ executable Hastructure-exe
     , bytestring
     , containers
     , exceptions
+    , generic-lens
     , hashable
     , http-types
     , lens
@@ -175,6 +177,7 @@ test-suite Hastructure-test
     , base
     , bytestring
     , containers
+    , generic-lens
     , hashable
     , lens
     , numeric-limits

app/Main.hs

@@ -102,7 +102,7 @@ $(deriveJSON defaultOptions ''Version)
 instance ToSchema Version
 
 version1 :: Version 
-version1 = Version "0.28.21"
+version1 = Version "0.29.5"
 
 
 
@@ -197,9 +197,15 @@ instance ToSchema RV.RevolvingPool
 instance ToSchema (TsPoint [AB.AssetUnion])
 instance ToSchema AP.IssueBondEvent
 instance ToSchema (TsPoint AP.IssueBondEvent)
+instance ToSchema (TsPoint AP.RefiEvent)
+instance ToSchema AP.RefiEvent
 instance ToSchema AP.NonPerfAssumption
 instance ToSchema AP.BondPricingInput
 instance ToSchema AP.RevolvingAssumption
+instance ToSchema AP.TagMatchRule
+instance ToSchema RangeType
+instance ToSchema AP.FieldMatchRule
+instance ToSchema AP.ObligorStrategy
 instance ToSchema AP.ApplyAssumptionType
 instance ToSchema AP.AssetPerfAssumption
 instance ToSchema AP.AssetDelinqPerfAssumption
@@ -339,7 +345,7 @@ type ScenarioName = String
 data RunDealReq = SingleRunReq DealType (Maybe AP.ApplyAssumptionType) AP.NonPerfAssumption
                 | MultiScenarioRunReq DealType (Map.Map ScenarioName AP.ApplyAssumptionType) AP.NonPerfAssumption
                 | MultiDealRunReq (Map.Map ScenarioName DealType) (Maybe AP.ApplyAssumptionType) AP.NonPerfAssumption
-                | MultiScenarioAndCurveRunReq DealType (Map.Map ScenarioName AP.ApplyAssumptionType) AP.NonPerfAssumption
+                | MultiRunAssumpReq DealType (Maybe AP.ApplyAssumptionType) (Map.Map ScenarioName AP.NonPerfAssumption)
                 deriving(Show, Generic)
 
 data RunSimDealReq = OASReq DealType (Map.Map ScenarioName AP.ApplyAssumptionType) AP.NonPerfAssumption
@@ -374,8 +380,8 @@ type EngineAPI = "version" :> Get '[JSON] Version
             :<|> "runPoolByScenarios" :> ReqBody '[JSON] RunPoolReq :> Post '[JSON] (Map.Map ScenarioName PoolRunResp)
             :<|> "runDeal" :> ReqBody '[JSON] RunDealReq :> Post '[JSON] RunResp
             :<|> "runDealByScenarios" :> ReqBody '[JSON] RunDealReq :> Post '[JSON] (Map.Map ScenarioName RunResp)
---            :<|> "runDealOAS" :> ReqBody '[JSON] RunDealReq :> Post '[JSON] (Map.Map ScenarioName [PriceResult])
             :<|> "runMultiDeals" :> ReqBody '[JSON] RunDealReq :> Post '[JSON] (Map.Map ScenarioName RunResp)
+            :<|> "runDealByRunScenarios" :> ReqBody '[JSON] RunDealReq :> Post '[JSON] (Map.Map ScenarioName RunResp)
             :<|> "runDate" :> ReqBody '[JSON] RunDateReq :> Post '[JSON] [Date]
 
 -- instance NFData [Date]
@@ -425,6 +431,11 @@ runDate (RunDateReq sd dp md) = return $
                                       Nothing -> DU.genSerialDatesTill2 IE sd dp (Lib.toDate "20990101")
                                       Just d -> DU.genSerialDatesTill2 IE sd dp d
 
+runDealByRunScenarios :: RunDealReq -> Handler (Map.Map ScenarioName RunResp)
+runDealByRunScenarios (MultiRunAssumpReq dt mAssump nonPerfAssumpMap)
+  = return $ Map.map (\singleAssump -> wrapRun dt mAssump singleAssump) nonPerfAssumpMap
+
+
 myServer :: ServerT API Handler
 myServer =  return engineSwagger
       :<|> showVersion 
@@ -434,6 +445,7 @@ myServer =  return engineSwagger
       :<|> runDeal
       :<|> runDealScenarios
       :<|> runMultiDeals
+      :<|> runDealByRunScenarios
       :<|> runDate
 --      :<|> error "not implemented"
 

package.yaml

@@ -24,6 +24,7 @@ dependencies:
 - hashable
 - time 
 - lens
+- generic-lens
 - aeson
 - aeson-pretty
 - text

src/Accounts.hs

@@ -5,7 +5,7 @@
 module Accounts (Account(..),ReserveAmount(..),draw,deposit
                 ,transfer,depositInt,depositIntByCurve
                 ,InterestInfo(..),buildEarnIntAction,updateReserveBalance
-                ,accBalLens)
+                ,accBalLens,tryDraw)
     where
 import qualified Data.Time as T
 import Stmt (Statement(..),appendStmt,getTxnBegBalance,getDate
@@ -133,6 +133,13 @@ deposit amount d source acc@(Account bal _ _ _ maybeStmt)  =
 draw :: Amount -> Date -> TxnComment -> Account -> Account
 draw amount = deposit (- amount) 
 
+-- | draw cash from account with a comment,return shortfall and acccount 
+tryDraw :: Amount -> Date -> TxnComment -> Account -> ((Amount,Amount),Account)
+tryDraw amt d tc acc@(Account bal _ _ _ maybeStmt) 
+  | amt > bal = ((amt - bal, bal), acc {accBalance = 0})
+  | otherwise = ((0, amt), draw amt d tc acc)
+
+
 -- | change reserve target info of account
 updateReserveBalance :: ReserveAmount -> Account -> Account 
 updateReserveBalance ra acc = acc {accType = Just ra}

src/Asset.hs

@@ -1,12 +1,17 @@
 {-# LANGUAGE OverloadedStrings #-}
 {-# LANGUAGE TemplateHaskell #-}
 {-# LANGUAGE DeriveGeneric #-}
+{-# LANGUAGE TypeApplications #-}
+{-# LANGUAGE DataKinds #-}
+{-# LANGUAGE GADTs #-}
+{-# LANGUAGE FlexibleContexts #-}
 
 module Asset ( Asset(..)
        ,calcPiFlow
        ,buildAssumptionPpyDefRecRate,buildAssumptionPpyDelinqDefRecRate
        ,calcRecoveriesFromDefault
-       ,priceAsset,applyHaircut,buildPrepayRates,buildDefaultRates
+       ,priceAsset,applyHaircut,buildPrepayRates,buildDefaultRates,getObligorFields
+       ,getObligorTags,getObligorId
 ) where
 
 import qualified Data.Time as T
@@ -37,15 +42,18 @@ import Types hiding (Current)
 import Text.Printf
 import Data.Fixed
 import qualified InterestRate as IR
+import qualified Data.Set as Set
 import Util
 
-import AssetClass.AssetBase ( OriginalInfo, calcPmt, AssetUnion )
+import AssetClass.AssetBase ( OriginalInfo(..), calcPmt, AssetUnion, Obligor(..) )
 
 import Debug.Trace
 import Assumptions (ExtraStress(ExtraStress))
 
 import Control.Lens hiding (element)
 import Control.Lens.TH
+import Data.Generics.Product.Fields
+import Data.Generics.Product.Any
 import DateUtil (yearCountFraction)
 
 
@@ -96,7 +104,42 @@ class (Show a,IR.UseRate a) => Asset a where
                         in 
                           T.addDays offset $ getOriginDate ast
 
-
+  getObligor :: a -> Maybe Obligor
+  getObligor a = 
+      case getOriginInfo a of 
+        FixedAssetInfo {} -> Nothing
+        MortgageOriginalInfo{obligor = x } -> x
+        LoanOriginalInfo{obligor = x } -> x
+        LeaseInfo{obligor =  x } -> x
+        ReceivableInfo{obligor = x } -> x
+
+  getObligorTags :: a -> Set.Set String
+  getObligorTags a = 
+      case getOriginInfo a of 
+        MortgageOriginalInfo{obligor = Just obr } -> Set.fromList (obligorTag obr)
+        LoanOriginalInfo{obligor = Just obr } -> Set.fromList (obligorTag obr)
+        LeaseInfo{obligor = Just obr } -> Set.fromList (obligorTag obr)
+        ReceivableInfo{obligor = Just obr } -> Set.fromList (obligorTag obr)
+        _ -> mempty
+
+  getObligorId :: a -> Maybe String
+  getObligorId a = 
+      case getOriginInfo a of 
+        MortgageOriginalInfo{obligor = Just obr } -> Just (obligorId obr)
+        LoanOriginalInfo{obligor = Just obr } -> Just (obligorId obr)
+        LeaseInfo{obligor = Just obr } -> Just (obligorId obr)
+        ReceivableInfo{obligor = Just obr } -> Just (obligorId obr)
+        _ -> Nothing
+
+  getObligorFields :: a -> Maybe (Map.Map String (Either String Double))
+  getObligorFields a = 
+    let 
+      obInfo = getObligor a
+    in
+      case obInfo of
+        Nothing -> Nothing 
+        Just ob -> Just (obligorFields ob)
+
   {-# MINIMAL calcCashflow,getCurrentBal,getOriginBal,getOriginRate #-}
 
 

src/AssetClass/AssetBase.hs

@@ -9,7 +9,7 @@ module AssetClass.AssetBase
   ,LeaseStepUp(..),AccrualPeriod(..),PrepayPenaltyType(..)
   ,AmortPlan(..),Loan(..),Mortgage(..),AssetUnion(..),MixedAsset(..),FixedAsset(..)
   ,AmortRule(..),Capacity(..),AssociateExp(..),AssociateIncome(..),ReceivableFeeType(..),Receivable(..)
-  ,ProjectedCashflow(..)
+  ,ProjectedCashflow(..),Obligor(..)
   ,calcAssetPrinInt, calcPmt
   )
   where
@@ -30,6 +30,8 @@ import qualified Data.Map as Map
 import qualified InterestRate as IR
 import qualified Cashflow as CF
 -- import Assumptions (RevolvingAssumption(Dummy4))
+import Control.Lens hiding (element,Index)
+import Control.Lens.TH
 
 import Debug.Trace (trace)
 debug = flip Debug.Trace.trace
@@ -127,23 +129,31 @@ data ReceivableFeeType = FixedFee Balance                    -- ^ a flat fee amo
                        deriving (Show,Generic,Eq,Ord)
 
 
+data Obligor = Obligor {obligorId :: String
+                        , obligorTag :: [String]
+                        , obligorFields :: Map.Map String (Either String Double)
+                        } deriving (Show,Generic,Eq,Ord)
+
 data OriginalInfo = MortgageOriginalInfo { originBalance :: Balance
                                           ,originRate :: IR.RateType
                                           ,originTerm :: Int
                                           ,period :: Period
                                           ,startDate :: Date
                                           ,prinType :: AmortPlan 
-                                          ,prepaymentPenalty :: Maybe PrepayPenaltyType }
+                                          ,prepaymentPenalty :: Maybe PrepayPenaltyType
+                                          ,obligor :: Maybe Obligor }
                   | LoanOriginalInfo { originBalance :: Balance
                                       ,originRate :: IR.RateType
                                       ,originTerm :: Int
                                       ,period :: Period
                                       ,startDate :: Date
-                                      ,prinType :: AmortPlan }
+                                      ,prinType :: AmortPlan 
+                                      ,obligor :: Maybe Obligor }
                   | LeaseInfo { startDate :: Date            -- ^ lease start date
                               ,originTerm :: Int             -- ^ total terms
                               ,paymentDates :: DatePattern   -- ^ payment dates pattern
-                              ,originRental :: Amount}       -- ^ rental by day
+                              ,originRental :: Amount        -- ^ rental by day
+                              ,obligor :: Maybe Obligor }       
                   | FixedAssetInfo { startDate :: Date 
                                      ,originBalance :: Balance 
                                      ,residualBalance :: Balance
@@ -155,7 +165,8 @@ data OriginalInfo = MortgageOriginalInfo { originBalance :: Balance
                                    ,originBalance :: Balance
                                    ,originAdvance :: Balance
                                    ,dueDate :: Date
-                                   ,feeType :: Maybe ReceivableFeeType }
+                                   ,feeType :: Maybe ReceivableFeeType
+                                   ,obligor :: Maybe Obligor }
                   deriving (Show,Generic,Ord,Eq)
 
 
@@ -210,8 +221,6 @@ data Revolver = Heloc OriginalInfo LineOfCredit Balance IRate RemainTerms (Maybe
               | DUMMY5
               deriving (Show,Generic,Eq,Ord)
 
-
-
 -- FixedAsset 
 data Capacity = FixedCapacity Balance
               | CapacityByTerm [(Int,Balance)]
@@ -283,10 +292,12 @@ instance IR.UseRate ProjectedCashflow where
     = Just $ (\(a,b,c) -> c) <$> fs
 
 
-$(concat <$> traverse (deriveJSON defaultOptions) [''OriginalInfo, ''FixedAsset, ''AmortPlan, ''PrepayPenaltyType
+$(concat <$> traverse (deriveJSON defaultOptions) [''Obligor, ''OriginalInfo, ''FixedAsset, ''AmortPlan, ''PrepayPenaltyType
     , ''Capacity, ''AmortRule, ''ReceivableFeeType])
 
 
+makePrisms ''OriginalInfo
+
 $(deriveJSON defaultOptions ''AssociateExp)
 $(deriveJSON defaultOptions ''AssociateIncome)
 $(deriveJSON defaultOptions ''Status)
@@ -303,15 +314,14 @@ instance ToSchema AmortRule
 instance ToSchema (Ratio Integer) where 
   declareNamedSchema _ = NamedSchema Nothing <$> declareSchema (Proxy :: Proxy Double)
 
-
 instance ToSchema PrepayPenaltyType
 instance ToSchema Ts
 instance ToSchema (TsPoint Balance)
 instance ToSchema (TsPoint IRate)
 instance ToSchema (TsPoint Rational)
 instance ToSchema (TsPoint Bool)
 instance ToSchema (RoundingBy IRate)
-
+instance ToSchema Obligor
 instance ToSchema Index
 instance ToSchema DayCount
 instance ToSchema Direction

src/AssetClass/Installment.hs

@@ -71,7 +71,7 @@ projectInstallmentFlow (startBal, lastPaidDate, (originRepay,originInt), startRa
 
 
 instance Asset Installment where
-  calcCashflow inst@(Installment (LoanOriginalInfo ob or ot p sd ptype) cb rt st) asOfDay _
+  calcCashflow inst@(Installment (LoanOriginalInfo ob or ot p sd ptype _) cb rt st) asOfDay _
     = CF.CashFlowFrame (cb,asOfDay,Nothing) flows 
      where 
         lastPayDate:cf_dates = lastN (rt+1) $ sd:getPaymentDates inst 0
@@ -103,30 +103,30 @@ instance Asset Installment where
 
   getCurrentBal (Installment _ b _ _ ) = b
 
-  getOriginBal (Installment (LoanOriginalInfo ob _ _ _ _ _) _ _ _) = ob
+  getOriginBal (Installment (LoanOriginalInfo ob _ _ _ _ _ _) _ _ _) = ob
 
-  getOriginRate (Installment (LoanOriginalInfo _ or _ _ _ _) _ _ _) 
+  getOriginRate (Installment (LoanOriginalInfo _ or _ _ _ _ _) _ _ _) 
     = case or of
        Fix _ _r -> _r
        Floater _ _ _ _r _ _ _ _ -> _r
 
   isDefaulted (Installment _ _ _ (Defaulted _)) = True
   isDefaulted (Installment {}) = False
 
-  getPaymentDates (Installment (LoanOriginalInfo _ _ ot p sd _) _ _ _) extra 
+  getPaymentDates (Installment (LoanOriginalInfo _ _ ot p sd _ _) _ _ _) extra 
     = genDates sd p (ot+extra)
 
-  getOriginDate (Installment (LoanOriginalInfo _ _ ot p sd _) _ _ _) = sd
+  getOriginDate (Installment (LoanOriginalInfo _ _ ot p sd _ _) _ _ _) = sd
 
-  getRemainTerms (Installment (LoanOriginalInfo _ _ ot p sd _) _ rt _) = rt
+  getRemainTerms (Installment (LoanOriginalInfo _ _ ot p sd _ _) _ rt _) = rt
 
-  updateOriginDate (Installment (LoanOriginalInfo ob or ot p sd _type) cb rt st) nd
-    = Installment (LoanOriginalInfo ob or ot p nd _type) cb rt st
+  updateOriginDate (Installment (LoanOriginalInfo ob or ot p sd _type _obligor) cb rt st) nd
+    = Installment (LoanOriginalInfo ob or ot p nd _type _obligor) cb rt st
 
-  resetToOrig (Installment (LoanOriginalInfo ob or ot p sd _type) cb rt st)
-    = Installment (LoanOriginalInfo ob or ot p sd _type) ob ot st
+  resetToOrig (Installment (LoanOriginalInfo ob or ot p sd _type _obligor) cb rt st)
+    = Installment (LoanOriginalInfo ob or ot p sd _type _obligor) ob ot st
 
-  projCashflow inst@(Installment (LoanOriginalInfo ob or ot p sd pt) cb rt Current) 
+  projCashflow inst@(Installment (LoanOriginalInfo ob or ot p sd pt _) cb rt Current) 
                asOfDay 
                pAssump@(A.InstallmentAssump defaultAssump prepayAssump recoveryAssump ams,_,_)
                mRates
@@ -152,7 +152,7 @@ instance Asset Installment where
 
 
   -- ^ project with defaulted at a date
-  projCashflow inst@(Installment (LoanOriginalInfo ob or ot p sd ptype) cb rt (Defaulted (Just defaultedDate))) 
+  projCashflow inst@(Installment (LoanOriginalInfo ob or ot p sd ptype _) cb rt (Defaulted (Just defaultedDate))) 
                asOfDay 
                (_,_,(A.DefaultedRecovery rr lag timing))
                mRates
@@ -171,7 +171,7 @@ instance Asset Installment where
   projCashflow inst@(Installment _ cb rt (Defaulted Nothing)) asOfDay assumps _
     = (CF.CashFlowFrame (cb, asOfDay, Nothing) $ [CF.LoanFlow asOfDay cb 0 0 0 0 0 0 (getOriginRate inst) Nothing],Map.empty)
 
-  splitWith (Installment (LoanOriginalInfo ob or ot p sd _type) cb rt st) rs
-    = [ Installment (LoanOriginalInfo (mulBR ob ratio) or ot p sd _type) (mulBR cb ratio) rt st | ratio <- rs ]
+  splitWith (Installment (LoanOriginalInfo ob or ot p sd _type _obligor) cb rt st) rs
+    = [ Installment (LoanOriginalInfo (mulBR ob ratio) or ot p sd _type _obligor) (mulBR cb ratio) rt st | ratio <- rs ]