debug

src/Analytics.hs

@@ -43,8 +43,8 @@ calcDuration d ps pricingCurve
 
 pv :: Ts -> Date -> Date -> Amount -> Amount
 pv pc today d amt = 
-   realToFrac $ (realToFrac amt) * (1 / factor)  -- `debug` ("DF:"++show factor++" PV AMT"++show amt)
+   realToFrac $ (realToFrac amt) * (1 / factor)  `debug` ("DF:"++show factor++" PV AMT"++show amt)
   where
    distance::Double = fromIntegral $ daysBetween today d
    discount_rate = fromRational $ getValByDate pc Exc d -- `debug` ("Get val by ts"++show pc ++">>d"++ show d)
-   factor::Double = (1 + realToFrac discount_rate) ** (distance / 365) --  `debug` ("discount_rate"++show(discount_rate) ++" dist days=>"++show(distance))
+   factor::Double = (1 + realToFrac discount_rate) ** (distance / 365)   `debug` ("discount_rate"++show(discount_rate) ++" dist days=>"++show(distance))

src/Liability.hs

@@ -243,19 +243,19 @@ weightAverageBalance sd ed b@(Bond _ _ _ _ currentBalance _ _ _ _ _ _ stmt)
 calcZspread :: (Rational,Date) -> Int -> (Float, (Rational,Rational),Rational) -> Bond -> Ts -> Spread
 calcZspread _ _ _ b@Bond{bndStmt = Nothing} _ = error "No Cashflow for bond"
 calcZspread (tradePrice,priceDay) count (level ,(lastSpd,lastSpd2),spd) b@Bond{bndStmt = Just (S.Statement txns), bndOriginInfo = bInfo} riskFreeCurve  
-  | count >= 10 =  fromRational spd -- error "Failed to find Z spread with 10000 times try"
+  | count >= 3 =  fromRational spd -- error "Failed to find Z spread with 10000 times try"
   | otherwise =
     let 
       (_,futureTxns) = splitByDate txns priceDay EqToRight
 
       cashflow = S.getTxnAmt <$> futureTxns
       ds = S.getDate <$> futureTxns
-      cutoffBalance = S.getTxnBegBalance $ head futureTxns
+      oBalance = originBalance bInfo
 
       pvCurve = shiftTsByAmt riskFreeCurve spd -- `debug` ("Shfiting using spd"++ show (fromRational spd))
       pvs = [ pv pvCurve priceDay _d _amt | (_d, _amt) <- zip ds cashflow ] -- `debug` (" using pv curve"++ show pvCurve)
       newPrice = 100 * (sum pvs) -- `debug` ("PVS->>"++ show pvs)
-      pricingFaceVal = toRational $ newPrice / cutoffBalance -- `debug` ("new price"++ show newPrice)
+      pricingFaceVal = toRational $ newPrice / oBalance  `debug` ("new price"++ show newPrice)
       gap = (pricingFaceVal - tradePrice) -- `debug` ("Face val"++show pricingFaceVal++"T price"++show tradePrice)
       newSpd = case [gap ==0 ,gap > 0, spd > 0] of
                  [True,_,_]   -> spd

test/UT/BondTest.hs

@@ -138,7 +138,7 @@ pricingTests = testGroup "Pricing Tests"
     in 
       testCase "Z spread test" $
       assertEqual "Z spread test 01" 
-      (-1.039719)
+      (-1.095000)
       (B.calcZspread  (100.0,pday) 0 (1.0,(0.01,0.02),0.03) b6 rateCurve)
       --(B.calcZspread  (500.0,pday) (103.0,1/100) Nothing rateCurve)