Merge branch 'master' of https://github.com/yellowbean/Hastructure

yellowbean · Oct 26, 2023 · f21a7c6 · f21a7c6
2 parents 7776ddd + 3061906
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diff --git a/.ghcid b/.ghcid
diff --git a/ChangeLog.md b/ChangeLog.md
@@ -1,13 +1,22 @@
 # Changelog for Hastructure
 
+## 0.22.1
+### 2023-11-1
+
+
+
 ## 0.22.0
 ### 2023-10-15
 * BREAK: cashflow now with `Cumulative Stats` ( cumulative default/delinq/loss/prepayment/principal/recovery)
 * NEW: expose `inspect` in waterfall action to observe variables during a waterfall execution
 * NEW: `stepup` now accpet a `pre` instead of a `date` to switch rate
 * ENHANCE: auto patch `issuance balance` for `PreClosing` Deal
-* ENHANCE: implement `pre-run check` and `post-run check`, patch check logs in result
+* ENHANCE: implement `pre-run check` and `post-run check`
+  * IssuanceBalance check : `Ongoing Deal` shall have a IssuanceBalance value in Pool
+  * Interest Rate check : index required by deal should be found in assumption
+  * Waterfall action check : actions in waterfall ( source/target) should exist in deal object
 * FIX: fix bug on `prepay penalty` when using `stepDown`
+* FIX: fix project cashflow for `Loan`
 
 ## 0.21.5
 ### 2023-10-8

diff --git a/README.md b/README.md
@@ -3,29 +3,28 @@
 
 # What is Hastructure ?
 
-``Hastructure`` names after ``Haskell`` and ``Structured Finance``, aims to provide cashflow projection for deal/transactions describled in either Haskell structure or ``JSON`` via REST Service, with inputs:
+``Hastructure`` names after ``Haskell`` and ``Structured Finance``, targets to provide cashflow projection for deal/transactions describled in either Haskell structure or ``JSON`` via RESTful Service, given inputs from below:
 
 * deal components (bonds,assets,accounts,waterfall,trigger,fees etc.) 
-* pool performance prediction input as well as interest rate assumption
+* pool performance assumption input as well as interest rate assumption
 
-the engine will yields outputs:
+``Hastructure`` will generate outputs:
 
 * cashflow of bonds/accounts/fees
 * pricing of bonds
-* or other outputs make your lose all of the money faster :sunglasses:
+* or other outputs make your lose money faster :sunglasses:
 
 # Why Hastructure ?
 
-* :bricks: A building block engine to model cashflows of structured product, all the formula and variables are exposed.
+* :bricks: A collection of building blocks to build cashflows model for structured product. User just need to `compose` them together.
 * :car: In-house and white-label friendly.
 * :flags: No lock-in risk, all JSONs input/output, no proprietary file formats.
 
 # I'm using language XXX
 
 * :snake: [Python wrapper](https://github.com/yellowbean/PyABS) is in ``Beta`` now !
 * :coffee: Easy integration with ``Java/C#/C++/JavaScript/Python`` with ``RESTful`` interface and Docker image are ready. 
-* C/Cpp wrapper : Working on this !
-  * Java  : Just use JNI and call C Api 
+  * C/Java : [here](https://github.com/yellowbean/Hastructure/issues/106)
 
 ### Features
 * Integration
@@ -63,7 +62,8 @@ the engine will yields outputs:
   * Base on Pool performance, like Cumulative Default Rate, last 3 periods delinquency rates.
   * Base on any combination above
 * Interest Swap
-  * Float to Float/ Fix to Float support
+  * Float to Float/ Fix to Float
+  * formula based notional balance
 * Scenario Analysis
   * Running multiple scenarios on single deal
   * Pricing on single asset 

diff --git a/ghcid.txt b/ghcid.txt
diff --git a/src/Accounts.hs b/src/Accounts.hs
@@ -83,22 +83,22 @@ depositIntByCurve a@(Account bal _ (Just (InvestmentAccount idx spd lastCollectD
                   ed 
           = a {accBalance = newBal ,accStmt= newStmt ,accInterest = Just (InvestmentAccount idx spd ed dp)}
           where 
-            accruedInt = case stmt of 
-                            Nothing -> 
-                                let  
-                                  curveDs = [lastCollectDate] ++ subDates EE lastCollectDate ed (getTsDates rc) ++ [ed]
-                                  curveVs = (\x -> toRational (getValByDate rc Exc x) + toRational spd) <$> init curveDs
-                                  dsFactor = getIntervalFactors curveDs
-                                  weightInt = sum $ zipWith (*) curveVs dsFactor --  `debug` ("ds"++show curve_ds++"vs"++show curve_vs++"factors"++show ds_factor)
-                                in 
-                                  mulBR bal weightInt
-                            Just (Statement txns) ->
-                              let 
-                                curveDs = [lastCollectDate] ++ subDates EE lastCollectDate ed (getTsDates rc) ++ [ed]
-                                curveVs = (\x -> toRational (getValByDate rc Exc x) + toRational spd) <$> init curveDs
-                                bals = weightAvgBalanceByDates curveDs txns
-                              in
-                                sum $ zipWith mulBR bals curveVs -- `debug` ("cds"++show curve_ds++"vs"++ show curve_vs++"bs"++show bals)
+            accruedInt = let 
+                           curveDs = [lastCollectDate] ++ subDates EE lastCollectDate ed (getTsDates rc) ++ [ed]
+                           curveVs = (\x -> toRational (getValByDate rc Exc x) + toRational spd) <$> init curveDs
+                         in
+                           case stmt of 
+                             Nothing -> 
+                               let  
+                                 dsFactor = getIntervalFactors curveDs
+                                 weightInt = sum $ zipWith (*) curveVs dsFactor --  `debug` ("ds"++show curve_ds++"vs"++show curve_vs++"factors"++show ds_factor)
+                               in 
+                                 mulBR bal weightInt
+                             Just (Statement txns) ->
+                               let 
+                                 bals = weightAvgBalanceByDates curveDs txns
+                               in
+                                 sum $ zipWith mulBR bals curveVs -- `debug` ("cds"++show curve_ds++"vs"++ show curve_vs++"bs"++show bals)
 
             newBal = accruedInt + bal 
             newTxn = AccTxn ed newBal accruedInt BankInt

diff --git a/src/Asset.hs b/src/Asset.hs
@@ -8,7 +8,7 @@ module Asset (Pool(..),aggPool
        ,calcPiFlow,calc_p_i_flow_even,calc_p_i_flow_i_p
        ,buildAssumptionPpyDefRecRate,buildAssumptionPpyDelinqDefRecRate
        ,calcRecoveriesFromDefault
-       ,priceAsset,applyHaircut
+       ,priceAsset,applyHaircut,buildPrepayRates,buildDefaultRates
 ) where
 
 import qualified Data.Time as T
@@ -23,6 +23,7 @@ import Lib (Period(..)
 import qualified Cashflow as CF -- (Cashflow,Amount,Interests,Principals)
 import qualified Assumptions as A
 import qualified AssetClass.AssetBase as ACM 
+import AssetClass.AssetCashflow
 
 import qualified Data.Map as Map
 import Analytics
@@ -67,6 +68,8 @@ class (Show a,IR.UseRate a) => Asset a where
   getRemainTerms :: a -> Int
   -- | project asset cashflow under credit stress and interest assumptions
   projCashflow :: a -> Date -> A.AssetPerf -> Maybe [RateAssumption] -> (CF.CashFlowFrame, Map.Map CutoffFields Balance)
+  -- | project cashflow under user input sequence
+  runCashflow :: a -> Date -> A.AssumpReceipes -> [RateAssumption] -> (CF.CashFlowFrame, Map.Map CutoffFields Balance)
   -- | Get possible number of borrower 
   getBorrowerNum :: a -> Int
   -- | Split asset per rates passed in 
@@ -128,60 +131,12 @@ applyExtraStress (Just ExtraStress{A.defaultFactors= mDefFactor
                                        ,getTsVals $ multiplyTs Exc (zipTs ds def) defFactor)
 
 
--- | apply haircuts to cashflow from a stress map
-
-applyHaircut :: Maybe A.ExtraStress -> CF.CashFlowFrame -> CF.CashFlowFrame
-applyHaircut Nothing cf = cf 
-applyHaircut (Just ExtraStress{A.poolHairCut = Nothing}) cf = cf
-applyHaircut (Just ExtraStress{A.poolHairCut = Just haircuts}) (CF.CashFlowFrame txns)
-  = CF.CashFlowFrame $ 
-      (\txn -> foldr 
-                 (\fn acc -> fn acc ) 
-                 txn 
-                 (applyHaircutTxn <$> haircuts) ) <$> txns
-    where
-      applyHaircutTxn (CollectedInterest,r) 
-                      (CF.MortgageDelinqFlow d bal prin interest ppy delinq def recovery loss irate mbn mppn mst) 
-        = CF.MortgageDelinqFlow d bal prin (mulBR interest (1-r)) ppy delinq def recovery loss irate mbn mppn mst
-      applyHaircutTxn (CollectedPrincipal,r)
-                      (CF.MortgageDelinqFlow d bal prin interest ppy delinq def recovery loss irate mbn mppn mst) 
-        = CF.MortgageDelinqFlow d bal (mulBR prin (1-r)) interest ppy delinq def recovery loss irate mbn mppn mst
-      applyHaircutTxn (CollectedRecoveries,r)
-                      (CF.MortgageDelinqFlow d bal prin interest ppy delinq def recovery loss irate mbn mppn mst) 
-        = CF.MortgageDelinqFlow d bal prin interest ppy delinq def (mulBR recovery (1-r)) loss irate mbn mppn mst
-      applyHaircutTxn (CollectedPrepayment,r)
-                      (CF.MortgageDelinqFlow d bal prin interest ppy delinq def recovery loss irate mbn mppn mst) 
-        = CF.MortgageDelinqFlow d bal prin interest (mulBR ppy (1-r)) delinq def recovery loss irate mbn mppn mst
-      applyHaircutTxn (CollectedPrepaymentPenalty,r)
-                      (CF.MortgageDelinqFlow d bal prin interest ppy delinq def recovery loss irate mbn mppn mst) 
-        = CF.MortgageDelinqFlow d bal prin interest ppy delinq def recovery loss irate mbn ((\x -> mulBR x (1-r) ) <$> mppn) mst
-
-      applyHaircutTxn (CollectedInterest,r) 
-                      (CF.MortgageFlow d bal prin interest ppy def recovery loss irate mbn mppn mst) 
-        = CF.MortgageFlow d bal prin (mulBR interest (1-r)) ppy def recovery loss irate mbn mppn mst
-      applyHaircutTxn (CollectedPrincipal,r)
-                      (CF.MortgageFlow d bal prin interest ppy def recovery loss irate mbn mppn mst) 
-        = CF.MortgageFlow d bal (mulBR prin (1-r)) interest ppy def recovery loss irate mbn mppn mst
-      applyHaircutTxn (CollectedRecoveries,r)
-                      (CF.MortgageFlow d bal prin interest ppy def recovery loss irate mbn mppn mst) 
-        = CF.MortgageFlow d bal prin interest ppy def (mulBR recovery (1-r)) loss irate mbn mppn mst
-      applyHaircutTxn (CollectedPrepayment,r)
-                      (CF.MortgageFlow d bal prin interest ppy def recovery loss irate mbn mppn mst) 
-        = CF.MortgageFlow d bal prin interest (mulBR ppy (1-r)) def recovery loss irate mbn mppn mst
-      applyHaircutTxn (CollectedPrepaymentPenalty,r)
-                      (CF.MortgageFlow d bal prin interest ppy def recovery loss irate mbn mppn mst)
-        = CF.MortgageFlow d bal prin interest ppy def recovery loss irate mbn ((\x -> mulBR x (1-r) ) <$> mppn) mst
-
-      applyHaircutTxn _ _ = error "Not implemented"
-
-
 buildPrepayRates :: [Date] -> Maybe A.AssetPrepayAssumption -> [Rate]
 buildPrepayRates ds Nothing = replicate (pred (length ds)) 0.0
 buildPrepayRates ds mPa = 
   case mPa of
     Just (A.PrepaymentConstant r) -> replicate size r
-    Just (A.PrepaymentCPR r) -> (map (Util.toPeriodRateByInterval r)
-                                     (getIntervalDays ds))
+    Just (A.PrepaymentCPR r) -> Util.toPeriodRateByInterval r <$> getIntervalDays ds
     Just (A.PrepaymentVec vs) -> zipWith 
                                     Util.toPeriodRateByInterval
                                     (paddingDefault 0.0 vs (pred size))
@@ -195,8 +150,7 @@ buildDefaultRates ds Nothing = replicate (pred (length ds)) 0.0
 buildDefaultRates ds mDa = 
   case mDa of
     Just (A.DefaultConstant r) ->  replicate size r
-    Just (A.DefaultCDR r) -> (map (Util.toPeriodRateByInterval r)
-                                  (getIntervalDays ds))
+    Just (A.DefaultCDR r) -> Util.toPeriodRateByInterval r <$> getIntervalDays ds
     Just (A.DefaultVec vs) -> zipWith 
                                 Util.toPeriodRateByInterval
                                 (paddingDefault 0.0 vs (pred size))