expose revolving dates/cfs (#140)

* expose revolving dates/cfs

src/Cashflow.hs

@@ -24,7 +24,7 @@ module Cashflow (CashFlowFrame(..),Principals,Interests,Amount
 import Data.Time (Day)
 import Data.Fixed
 import Lib (weightedBy,toDate,getIntervalFactors,daysBetween,paySeqLiabilitiesAmt)
-import Util (mulBR,mulBInt,mulIR)
+import Util (mulBR,mulBInt,mulIR,lastOf)
 import DateUtil ( splitByDate )
 import Types
 import qualified Data.Map as Map
@@ -274,6 +274,7 @@ sumTs trs = tsSetDate (foldr1 addTs trs)
 
 -- ^ group cashflow from same entity by a single date
 sumTsCF :: [TsRow] -> Date -> TsRow
+-- sumTsCF [] = tsSetDate (foldl1 addTsCF trs) -- `debug` ("Summing"++show trs++">>"++ show (tsSetDate (foldr1 addTsCF trs) d))
 sumTsCF trs = tsSetDate (foldl1 addTsCF trs) -- `debug` ("Summing"++show trs++">>"++ show (tsSetDate (foldr1 addTsCF trs) d))
 
 tsTotalCash :: TsRow -> Balance
@@ -377,6 +378,8 @@ tsReduceInt x (MortgageDelinqFlow _d a b c d e f g h i j k l) = MortgageDelinqFl
 tsReduceInt x (MortgageFlow _d a b c d e f g h i j k) = MortgageFlow _d a b (c-x) d e f g h i j k 
 tsReduceInt x (LoanFlow _d a b c d e f g h i) = LoanFlow _d a b (c-x) d e f g h i
 
+
+-- ^ claw back interest from cashflow records
 clawbackInt :: Balance -> [TsRow] -> [TsRow]
 clawbackInt bal txns
   = let
@@ -402,33 +405,34 @@ aggregateTsByDate (r:rs) (tr:trs)
 
 firstDate :: CashFlowFrame -> Date 
 firstDate (CashFlowFrame []) = error "empty cashflow frame to get first date"
-firstDate (CashFlowFrame rs) = getDate $ head rs
+firstDate (CashFlowFrame [r]) = getDate r
+firstDate (CashFlowFrame (r:rs)) = getDate r
 
 combine :: CashFlowFrame -> CashFlowFrame -> CashFlowFrame 
 combine (CashFlowFrame txn1) (CashFlowFrame txn2) = CashFlowFrame $ combineTss [] txn1 txn2
 
 buildCollectedCF :: [[TsRow]] -> [Date] -> [TsRow] -> [[TsRow]]
 buildCollectedCF [] [] [] = []
-buildCollectedCF trs ds [] = trs
-buildCollectedCF trs [d] _trs = trs ++ [cutBy Inc Past d _trs]
+buildCollectedCF trs [] _trs = trs
+buildCollectedCF trs ds [] = trs ++ [ [viewTsRow _d ((last . last) trs)] | _d <- ds ]
+-- buildCollectedCF trs [d] _trs = trs ++ [cutBy Inc Past d _trs]
 buildCollectedCF trs (d:ds) _trs =
   case newFlow of
-    [] -> if null (last trs) then 
-            buildCollectedCF (trs++[[]]) ds _trs
-          else 
-            buildCollectedCF (trs++[[((viewTsRow d) . last .last) trs]]) ds _trs -- `debug` ("viewing trs"++ show trs)
+    -- [] -> if null (last trs) then 
+    --         buildCollectedCF (trs++[[]]) ds _trs `debug` ("empty trs"++ show d)
+    --       else 
+    --         buildCollectedCF (trs++[[(viewTsRow d . last .last) trs]]) ds _trs -- `debug` ("viewing trs"++ show trs)
+    [] -> case Util.lastOf trs (not . null) of
+            Nothing -> buildCollectedCF (trs++[[]]) ds _trs `debug` ("empty trs"++ show d)
+            Just lastTr ->  buildCollectedCF (trs++[[viewTsRow d (last lastTr)]]) ds _trs `debug` ("non empty last tr "++ show lastTr ++ "for date"++ show d)
     newFlow -> buildCollectedCF (trs++[newFlow]) ds remains
   where 
     (newFlow, remains) = splitBy d Inc _trs
+buildCollectedCF a b c = error $ "buildCollectedCF failed"++ show a++">>"++ show b++">>"++ show c
 
 
 aggTsByDates :: [TsRow] -> [Date] -> [TsRow]
-aggTsByDates trs ds =
-  map 
-    (uncurry sumTsCF) 
-    (filter 
-      (\(y,__d) -> not (null y))
-      (zip (buildCollectedCF [] ds trs) ds)) 
+aggTsByDates trs ds = uncurry sumTsCF <$> zip (buildCollectedCF [] ds trs) ds `debug` (">>> to sumTsCF "++ show (zip (buildCollectedCF [] ds trs) ds ))
 
 
 mflowPrincipal :: TsRow -> Balance
@@ -566,7 +570,7 @@ emptyTsRow _d (FixedFlow a x c d e f ) = FixedFlow _d 0 0 0 0 0
 
 
 viewTsRow :: Date -> TsRow -> TsRow 
--- ^ take a snapshot of a record
+-- ^ take a snapshot of a record from record balance/stats and a new date
 viewTsRow _d (MortgageDelinqFlow a b c d e f g h i j k l m) = MortgageDelinqFlow _d b 0 0 0 0 0 0 0 j k l m
 viewTsRow _d (MortgageFlow a b c d e f g h i j k l) = MortgageFlow _d b 0 0 0 0 0 0 i j k l
 viewTsRow _d (LoanFlow a b c d e f g i j k) = LoanFlow _d b 0 0 0 0 0 0 j k

src/Deal.hs

@@ -477,15 +477,15 @@ priceBonds t@TestDeal {bonds = bndMap} (AP.RunZSpread curve bond_prices)
       rateToday = getValByDate curve Inc     
 
 runDeal :: P.Asset a => TestDeal a -> ExpectReturn -> Maybe AP.ApplyAssumptionType-> AP.NonPerfAssumption
-        -> (TestDeal a,Maybe (Map.Map PoolId CF.CashFlowFrame), Maybe [ResultComponent],Maybe (Map.Map String L.PriceResult))
+        -> (TestDeal a, Maybe (Map.Map PoolId CF.CashFlowFrame), Maybe [ResultComponent], Maybe (Map.Map String L.PriceResult))
 runDeal t _ perfAssumps nonPerfAssumps@AP.NonPerfAssumption{AP.callWhen  = opts
                                                            ,AP.pricing   = mPricing
                                                            ,AP.revolving = mRevolving
                                                            ,AP.interest  = mInterest} 
   | not runFlag = (t, Nothing, Just valLogs, Nothing)
-  | otherwise = (finalDeal, Just pcf, Just (getRunResult finalDeal ++ V.validateRun finalDeal ++logs), bndPricing) -- `debug` ("Run Deal end with")
+  | otherwise = (finalDeal, Just poolFlowUsedNoEmpty, Just (getRunResult finalDeal ++ V.validateRun finalDeal ++logs), bndPricing) -- `debug` ("Run Deal end with")
     where
-      (runFlag,valLogs) = V.validateReq t nonPerfAssumps
+      (runFlag, valLogs) = V.validateReq t nonPerfAssumps
       -- getinits() will get (new deal snapshot, actions, pool cashflows, unstressed pool cashflow)
       (newT, ads, pcf, unStressPcf) = getInits t perfAssumps (Just nonPerfAssumps) -- `debug` ("runDeal init line") 
       -- extract Revolving Assumption
@@ -501,10 +501,12 @@ runDeal t _ perfAssumps [email protected]{AP.callWhen  = opts
                               opts
                               mRevolvingCtx
                               [] -- `debug` ("start status"++show (status t) )-- `debug` ("run rAssump>>"++show revolvingAssump++"1st Action"++ show (head ads)++"PCF size"++show (CF.sizeCashFlowFrame pcf))
+      poolFlowUsed = Map.map (fromMaybe (CF.CashFlowFrame [])) (getAllCollectedFrame finalDeal Nothing) 
+      poolFlowUsedNoEmpty = Map.map (over CF.cashflowTxn CF.dropTailEmptyTxns) poolFlowUsed 
       -- bond pricing if any                            
       bndPricing = case mPricing of
                      Nothing -> Nothing   --  `debug` ("pricing bpi with Nothing")
-                     Just _bpi -> Just (priceBonds finalDeal _bpi)  -- `debug` ("Pricing with")
+                     Just _bpi -> Just (priceBonds finalDeal _bpi) 
 
 -- | get bond principal and interest shortfalls from a deal
 getRunResult :: TestDeal a -> [ResultComponent]
@@ -514,9 +516,16 @@ getRunResult t = os_bn_i ++ os_bn_b
     os_bn_b = [ BondOutstanding (L.bndName _b) (L.bndBalance _b) (getBondBegBal t (L.bndName _b)) | _b <- bs ]
     os_bn_i = [ BondOutstandingInt (L.bndName _b) (L.bndDueInt _b) (getBondBegBal t (L.bndName _b)) | _b <- bs ]
 
-prepareDeal :: TestDeal a -> TestDeal a
+prepareDeal :: P.Asset a => TestDeal a -> TestDeal a
 prepareDeal t@TestDeal {bonds = bndMap} 
-  = t {bonds = Map.map L.consolStmt bndMap}  -- `debug` ("Consolidation in Preparing")
+  = let 
+      ptMap = view (dealPool . poolTypePool) t
+      newPtMap = Map.map (over P.poolFutureCf
+                               (\mCf -> (over CF.cashflowTxn CF.dropTailEmptyTxns) <$> mCf ))
+                 ptMap
+      t1 = set (dealPool . poolTypePool) newPtMap t
+    in 
+      t1 {bonds = Map.map L.consolStmt bndMap}  -- `debug` ("Consolidation in Preparing")
 
 appendCollectedCF :: P.Asset a => Date -> TestDeal a -> Map.Map PoolId CF.CashFlowFrame -> TestDeal a
 -- ^ append cashflow frame (consolidate by a date) into deals collected pool
@@ -735,9 +744,9 @@ getInits t@TestDeal{fees=feeMap,pool=thePool,status=status,bonds=bndMap} mAssump
     poolCfTsM = Map.map (\x -> cutBy Inc Future startDate (CF.getTsCashFlowFrame (fst x))) pCfM -- `debug` ("proj>>>>> "++ show pCfM)
     -- poolAggCf = CF.aggTsByDates poolCfTs (getDates pActionDates)
     poolCfTsMwithBegRow = Map.map (\(x:xs) -> buildBegTsRow startDate x:x:xs) poolCfTsM  --TODO what if txn is empty ??
-    poolAggCfM = Map.map (\x -> CF.aggTsByDates x (getDates pActionDates)) poolCfTsMwithBegRow
+    poolAggCfM = Map.map (\x -> CF.aggTsByDates x (getDates pActionDates)) poolCfTsMwithBegRow  --`debug` ("pool action dates"++ show (getDates pActionDates))
     -- pCollectionCfAfterCutoff = CF.CashFlowFrame $ begRow:poolAggCf
-    pCollectionCfAfterCutoff = Map.map CF.CashFlowFrame poolAggCfM
+    pCollectionCfAfterCutoff = Map.map CF.CashFlowFrame poolAggCfM -- `debug` ("pool Agg Cfm"++ show poolAggCfM)
 
     pScheduleCfM = case thePool of
                      (SoloPool p) 

src/Deal/DealAction.hs

@@ -473,7 +473,13 @@ performActionWrap d
       newPcf = let 
                  pIdToChange = fromMaybe PoolConsol pId
                in 
-                 Map.adjust (\(CF.CashFlowFrame trs) -> CF.CashFlowFrame (CF.combineTss [] trs newBoughtTxn)) pIdToChange pFlowMap -- `debug` ("date"++show d ++">>Asset bought txn"++ show newBoughtTxn)
+                 Map.adjust (\(CF.CashFlowFrame trs) -> 
+                              let 
+                                dsInterval = getDate <$> trs -- `debug` (">>> agg interval : "++ show (getDate <$> trs ))
+                              in 
+                                CF.CashFlowFrame $ CF.aggTsByDates (CF.combineTss [] trs newBoughtTxn) dsInterval) 
+                            pIdToChange
+                            pFlowMap -- `debug` ("date"++show d ++">>Asset bought txn"++ show newBoughtTxn)
       newRc = rc {runPoolFlow = newPcf
                  ,revolvingAssump = Just (poolAfterBought, perfAssumps)}  
 

src/Deal/DealBase.hs

@@ -7,7 +7,7 @@
 module Deal.DealBase (TestDeal(..),SPV(..),dealBonds,dealFees,dealAccounts,dealPool,PoolType(..),getIssuanceStats
                      ,getAllAsset,getAllAssetList,getAllCollectedFrame,getLatestCollectFrame,getAllCollectedTxns
                      ,getIssuanceStatsConsol,getAllCollectedTxnsList,getPoolsByName,getScheduledCashflow,dealScheduledCashflow
-                     ,getPoolIds) 
+                     ,getPoolIds,poolTypePool) 
   where
 import qualified Accounts as A
 import qualified Ledger as LD
@@ -65,6 +65,16 @@ data PoolType a = SoloPool (P.Pool a)
                 | ResecDeal (Map.Map (BondName, Rate) (TestDeal a))
                 deriving (Generic,Eq,Show,Ord)
 
+poolTypePool :: P.Asset a => Lens' (PoolType a) (Map.Map PoolId (P.Pool a))
+poolTypePool = lens getter setter
+  where 
+    getter (SoloPool p) = Map.fromList [(PoolConsol,p)]
+    getter (MultiPool pm) = pm
+    setter (SoloPool p) newPool = case Map.lookup PoolConsol newPool of
+                                    Just p -> SoloPool p
+                                    Nothing -> error $ "Can't set a solo pool to a multi pool"
+    setter (MultiPool pm) newPool = MultiPool newPool
+
 
 data TestDeal a = TestDeal { name :: String
                              ,status :: DealStatus

src/Util.hs

@@ -10,6 +10,7 @@ module Util
     ,shiftTsByAmt,calcWeightBalanceByDates, monthsAfter
     ,getPriceValue,maximum',minimum',roundingBy,roundingByM
     ,floorWith,slice,toPeriodRateByInterval, dropLastN
+    ,lastOf
     -- for debug
     ,zyj
     )
@@ -210,6 +211,17 @@ daysInterval ds = zipWith daysBetween (init ds) (tail ds)
 debugLine :: Show a => [a] -> String 
 debugLine xs = ""
 
+lastOf:: [a] -> (a->Bool) -> Maybe a
+lastOf [] fn = Nothing
+lastOf xs fn = 
+  let 
+    l = last xs
+  in 
+    if fn l then 
+      Just l 
+    else
+      lastOf (init xs) fn
+
 shiftTsByAmt :: Ts -> Rational -> Ts 
 shiftTsByAmt (IRateCurve tps) delta 
   = IRateCurve $ [ TsPoint d (fromRational delta+v) | TsPoint d v <- tps ]

swagger.json

@@ -14327,7 +14327,7 @@
         }
     },
     "info": {
-        "version": "0.24.2",
+        "version": "0.24.3",
         "title": "Hastructure API",
         "license": {
             "name": "BSD 3"

test/MainTest.hs

@@ -28,6 +28,7 @@ import qualified Data.Vector as UtilT
 import qualified UT.AnalyticsTest as AnalyticsT
 import qualified UT.UtilTest as RH
 import qualified UT.RateHedgeTest as RHT
+import GHC.Generics (U1(U1))
 
 main = defaultMain tests
 
@@ -78,6 +79,7 @@ tests = testGroup "Tests" [AT.mortgageTests
                            ,UtilT.sliceTest
                            ,UtilT.splitTsTest
                            ,UtilT.tableTest
+                           ,UtilT.lastOftest
                            ,AccT.intTests
                            ,AccT.investTests
                            ,AccT.reserveAccTest

test/UT/CashflowTest.hs

@@ -63,7 +63,9 @@ cfTests = testGroup "Cashflow Utils"
    ,testCase "Cashflow Aggregation" $
      assertEqual "aggregate period with no cf"
        [CF.MortgageFlow (L.toDate "20220101") 100 10 10 0 0 0 0 0 Nothing Nothing Nothing
-       ,CF.MortgageFlow (L.toDate "20220102") 100 0 0 0 0 0 0 0 Nothing Nothing Nothing]
+       ,CF.MortgageFlow (L.toDate "20220102") 100 0 0 0 0 0 0 0 Nothing Nothing Nothing
+       ,CF.MortgageFlow (L.toDate "20220111") 100 0 0 0 0 0 0 0 Nothing Nothing Nothing
+       ]
        (CF.aggTsByDates trs (L.toDates ["20220101","20220102","20220111"]))
 
    ,testCase "Get Latest Cashflow 1" $

test/UT/UtilTest.hs

@@ -1,6 +1,6 @@
 module UT.UtilTest(daycountTests1,daycountTests2,daycountTests3,daycountTests4
                   ,tsTest,ts2Test,ts3Test,dateVectorPatternTest,paddingTest,dateSliceTest
-                  ,capTest,roundingTest,sliceTest,splitTsTest,tableTest)--,daycountTests3,daycountTests4)
+                  ,capTest,roundingTest,sliceTest,splitTsTest,tableTest,lastOftest)--,daycountTests3,daycountTests4)
 where
 
 import Test.Tasty
@@ -532,3 +532,15 @@ tableTest =
       [Just 400,Just 300,Just 200,Nothing]
       [lookupTable tbl Up (20 >=),lookupTable tbl Up (16 >=),lookupTable tbl Up (11 >=),lookupTable tbl Up (3 >=) ]
     ]
+
+lastOftest = 
+  let 
+    a = [1,2,3,4,5]
+    b = [[1],[3],[],[5],[],[]]
+  in 
+    testGroup "test on last of on list" [
+      testCase "on non empty" $
+      assertEqual "should be [5]"
+      (Just [5])
+      (Util.lastOf b (not . null))
+    ]