0.26.1

ChangeLog.md

@@ -1,6 +1,21 @@
 # Changelog for Hastructure
 
 
+## 0.26.2
+### 2024-03-24
+* FIX: patch recoveries for `Mortgage` type cashflow
+* ENHANCE: create new endpoint for `OAS`
+* NEW: add new asset class `Receivable` which represent a `invoice factored`,`trading receivable`
+* NEW: `DefaultAtEnd` assumption, which assumes asset default at last payment
+
+## 0.26.1
+### 2024-03-09
+* NEW: `fundWith` which will increate the balance of bond and deposit cash to account.
+* NEW: `writeOff` which will write off balance of bond via a formula
+* NEW: a new predicate `passMaturity` which True if bonds has passed their expected maturity/pay off date.
+* NEW: `Not` as composite boolean test.
+* NEW: add new `OAS` pricing assumption, which return OAS spread given input scenarios.
+
 ## 0.26.0
 ### 2024-02-27
 * NEW: add `NO_FirstN` as type of `Mortgage` which implies no payment for first N period and interest due will be capitalized.

Hastructure.cabal

@@ -5,7 +5,7 @@ cabal-version: 1.12
 -- see: https://github.com/sol/hpack
 
 name:           Hastructure
-version:	0.26.0
+version:	0.26.5
 description:    Please see the README on GitHub at <https://github.com/yellowbean/Hastructure#readme>
 category:       StructuredFinance;Securitisation;Cashflow
 homepage:       https://github.com/yellowbean/Hastructure#readme
@@ -37,6 +37,7 @@ library
       AssetClass.Loan
       AssetClass.MixedAsset
       AssetClass.Mortgage
+      AssetClass.Receivable
       Assumptions
       Call
       Cashflow

app/Main.hs

@@ -82,7 +82,7 @@ import qualified DateUtil as DU
 
 
 import Debug.Trace
-import qualified Deal.DealBase as DB
+import qualified Types as W
 debug = flip Debug.Trace.trace
 
 data Version = Version 
@@ -93,13 +93,14 @@ $(deriveJSON defaultOptions ''Version)
 instance ToSchema Version
 
 version1 :: Version 
-version1 = Version "0.26.0"
+version1 = Version "0.26.5"
 
 data PoolType = MPool (P.Pool AB.Mortgage)
               | LPool (P.Pool AB.Loan)
               | IPool (P.Pool AB.Installment)
               | RPool (P.Pool AB.Lease)
               | FPool (P.Pool AB.FixedAsset)
+              | VPool (P.Pool AB.Receivable)
               deriving(Show, Generic)
 
 instance ToSchema PoolType
@@ -110,12 +111,14 @@ instance ToSchema (P.Pool AB.Loan)
 instance ToSchema (P.Pool AB.Installment)
 instance ToSchema (P.Pool AB.Lease)
 instance ToSchema (P.Pool AB.FixedAsset)
+instance ToSchema (P.Pool AB.Receivable)
 
 data DealType = MDeal (DB.TestDeal AB.Mortgage)
               | LDeal (DB.TestDeal AB.Loan)
               | IDeal (DB.TestDeal AB.Installment) 
               | RDeal (DB.TestDeal AB.Lease) 
               | FDeal (DB.TestDeal AB.FixedAsset) 
+              | VDeal (DB.TestDeal AB.Receivable) 
               | UDeal (DB.TestDeal AB.AssetUnion) 
               deriving(Show, Generic)
 
@@ -139,13 +142,15 @@ instance ToSchema (DB.UnderlyingDeal AB.Mortgage)
 instance ToSchema (DB.UnderlyingDeal AB.Loan)
 instance ToSchema (DB.UnderlyingDeal AB.Installment)
 instance ToSchema (DB.UnderlyingDeal AB.Lease)
+instance ToSchema (DB.UnderlyingDeal AB.Receivable)
 instance ToSchema (DB.UnderlyingDeal AB.AssetUnion)
 instance ToSchema (DB.UnderlyingDeal AB.FixedAsset)
 
 instance ToSchema (DB.TestDeal AB.Mortgage)
 instance ToSchema (DB.TestDeal AB.Loan)
 instance ToSchema (DB.TestDeal AB.Installment)
 instance ToSchema (DB.TestDeal AB.Lease)
+instance ToSchema (DB.TestDeal AB.Receivable)
 instance ToSchema (DB.TestDeal AB.AssetUnion)
 instance ToSchema (DB.TestDeal AB.FixedAsset)
 instance ToSchema (DB.PoolType AB.AssetUnion)
@@ -154,6 +159,7 @@ instance ToSchema (DB.PoolType AB.Mortgage)
 instance ToSchema (DB.PoolType AB.Loan)
 instance ToSchema (DB.PoolType AB.Installment)
 instance ToSchema (DB.PoolType AB.Lease)
+instance ToSchema (DB.PoolType AB.Receivable)
 instance ToSchema (P.Pool AB.AssetUnion)
 instance ToSchema HE.RateCap
 instance ToSchema AB.LeaseStepUp 
@@ -176,6 +182,8 @@ instance ToSchema Pre
 instance ToSchema W.ActionWhen
 instance ToSchema W.ExtraSupport
 instance ToSchema W.Action
+instance ToSchema BookDirection
+instance ToSchema Direction
 instance ToSchema W.BookType
 instance ToSchema W.CollectionRule
 instance ToSchema Limit
@@ -207,7 +215,7 @@ instance ToSchema Types.CashflowReport
 instance ToSchema Types.BookItem
 instance ToSchema Stmt.Statement
 instance ToSchema Stmt.Txn
-instance ToSchema Stmt.Direction
+-- instance ToSchema Stmt.Direction
 instance ToSchema Stmt.TxnComment
 instance ToSchema CF.TsRow
 instance ToSchema (TsPoint Balance)
@@ -223,11 +231,14 @@ instance ToSchema AB.OriginalInfo
 instance ToSchema IR.RateType
 instance ToSchema AB.AmortPlan
 instance ToSchema AB.AssetUnion
+instance ToSchema AB.Receivable
 instance ToSchema CutoffFields
 instance ToSchema PricingMethod
 instance ToSchema RV.RevolvingPool
 instance ToSchema (TsPoint [AB.AssetUnion])
 instance ToSchema (RoundingBy IRate)
+instance ToSchema (RoundingBy Rate)
+instance ToSchema (RoundingBy Integer)
 instance ToSchema (RoundingBy Balance)
 instance ToSchema AP.NonPerfAssumption
 instance ToSchema AP.RevolvingAssumption
@@ -244,6 +255,7 @@ instance ToSchema AP.LeaseAssetGapAssump
 instance ToSchema AP.LeaseAssetRentAssump
 instance ToSchema (Table Balance Balance)
 instance ToSchema (Table Float Spread)
+instance ToSchema AB.ReceivableFeeType
 
 instance ToSchema (Ratio Integer) where 
   declareNamedSchema _ = NamedSchema Nothing <$> declareSchema (Proxy :: Proxy Double)
@@ -278,13 +290,18 @@ wrapRun (UDeal d) mAssump mNonPerfAssump = let
                                        (_d,_pflow,_rs,_p) = D.runDeal d D.DealPoolFlowPricing mAssump mNonPerfAssump
                                      in 
                                        (UDeal _d,_pflow,_rs,_p)                                       
+wrapRun (VDeal d) mAssump mNonPerfAssump = let 
+                                       (_d,_pflow,_rs,_p) = D.runDeal d D.DealPoolFlowPricing mAssump mNonPerfAssump
+                                     in 
+                                       (VDeal _d,_pflow,_rs,_p)                                       
 wrapRun x _ _ = error $ "RunDeal Failed ,due to unsupport deal type "++ show x
 
 wrapRunPool :: PoolType -> Maybe AP.ApplyAssumptionType -> Maybe [RateAssumption] -> (CF.CashFlowFrame, Map CutoffFields Balance)
 wrapRunPool (MPool p) assump mRates = P.aggPool Nothing $ D.runPool p assump mRates
 wrapRunPool (LPool p) assump mRates = P.aggPool Nothing $ D.runPool p assump mRates
 wrapRunPool (IPool p) assump mRates = P.aggPool Nothing $ D.runPool p assump mRates
 wrapRunPool (RPool p) assump mRates = P.aggPool Nothing $ D.runPool p assump mRates
+wrapRunPool (VPool p) assump mRates = P.aggPool Nothing $ D.runPool p assump mRates
 wrapRunPool x _ _ = error $ "RunPool Failed ,due to unsupport pool type "++ show x
 
 data RunAssetReq = RunAssetReq Date [AB.AssetUnion] AP.ApplyAssumptionType (Maybe [RateAssumption]) (Maybe PricingMethod)
@@ -310,8 +327,14 @@ 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
                 deriving(Show, Generic)
 
+data RunSimDealReq = OASReq DealType (Map.Map ScenarioName AP.ApplyAssumptionType) AP.NonPerfAssumption
+                   deriving(Show, Generic)
+
+
+
 instance ToSchema RunDealReq
 data RunPoolReq = SingleRunPoolReq PoolType (Maybe AP.ApplyAssumptionType) (Maybe [RateAssumption])
                 | MultiScenarioRunPoolReq PoolType (Map.Map ScenarioName AP.ApplyAssumptionType) (Maybe [RateAssumption])
@@ -334,6 +357,7 @@ type EngineAPI = "version" :> Get '[JSON] Version
             :<|> "runPoolByScenarios" :> ReqBody '[JSON] RunPoolReq :> Post '[JSON] (Map.Map ScenarioName (CF.CashFlowFrame,Map.Map CutoffFields Balance))
             :<|> "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)
             :<|> "runDate" :> ReqBody '[JSON] RunDateReq :> Post '[JSON] [Date]
 
@@ -353,6 +377,8 @@ engineSwagger = toOpenApi engineAPI
   & info.description ?~ "Hastructure is a white-label friendly Cashflow & Analytics Engine for MBS/ABS and REITs"
   & info.license ?~ "BSD 3"
 
+
+
 myServer :: Server API
 myServer = return engineSwagger 
       :<|> showVersion 
@@ -361,6 +387,7 @@ myServer = return engineSwagger
       :<|> runPoolScenarios
       :<|> runDeal
       :<|> runDealScenarios
+      -- :<|> runDealOAS
       :<|> runMultiDeals
       :<|> runDate
 --      :<|> error "not implemented"
@@ -370,6 +397,32 @@ myServer = return engineSwagger
           runPool (SingleRunPoolReq pt passumption mRates) = return $ wrapRunPool pt passumption mRates
           runPoolScenarios (MultiScenarioRunPoolReq pt mAssumps mRates) = return $ Map.map (\assump -> wrapRunPool pt (Just assump) mRates) mAssumps
           runDeal (SingleRunReq dt assump nonPerfAssump) = return $ wrapRun dt assump nonPerfAssump 
+          -- runDealScenarios (MultiScenarioRunReq dt mAssumps [email protected]{AP.pricing=Just bondPricingInput})
+          --   = case bondPricingInput of
+          --       AP.OASInput d bName price spreads curves -> 
+          --         let
+          --           priceCurves = Map.map (\curve -> 
+          --                                   (\spd -> U.shiftTsByAmt curve (toRational spd)) <$> spreads) curves -- curve as key , shifted curve list as value
+          --           pricingScenarios = Map.map (\curves -> Just . AP.DiscountCurve d <$> curves) priceCurves   -- curve as key, list of discount curves as value
+          --           nonPerfAssumpEachScenario = Map.map (\discountCurves -> 
+          --                                                 (\pvCurve -> nonPerfAssump { AP.pricing = pvCurve}) <$> discountCurves) pricingScenarios  -- curve as key, list of nonperfassump as value
+          --           runResultEachScenario = Map.intersectionWith 
+          --                                     (\pAssump dAssumps -> 
+          --                                       let 
+          --                                         runResults::[RunResp] = wrapRun dt (Just pAssump) <$> dAssumps
+          --                                         mPricingResults::([Maybe (Map String PriceResult)]) = (\(_a,_b,_c,_d) -> _d) <$> runResults
+          --                                         -- bondPrices = (maybe 0 (\y ->  getPriceValue . (Map.! y bName))) <$> mPricingResults
+          --                                       in 
+          --                                         [] -- bondPrices
+          --                                         ) 
+          --                                     mAssumps
+          --                                     nonPerfAssumpEachScenario    --- curve as key, list of bond prices as value
+          --           -- avgPricesPerSpreads =  (\xs -> sum xs / length xs)  <$>  transpose $ Map.elems runResultEachScenario  -- average PV list
+          --           -- spreadPriceTable = ThresholdTable $  zip avgPricesPerSpreads spreads
+
+          --         in 
+          --           return $ Map.map (\singleAssump -> wrapRun dt (Just singleAssump) nonPerfAssump) mAssumps
+          --       _ -> return $ Map.map (\singleAssump -> wrapRun dt (Just singleAssump) nonPerfAssump) mAssumps
           runDealScenarios (MultiScenarioRunReq dt mAssumps nonPerfAssump)
             = return $ Map.map (\singleAssump -> wrapRun dt (Just singleAssump) nonPerfAssump) mAssumps
           runMultiDeals (MultiDealRunReq mDts assump nonPerfAssump) 
@@ -386,29 +439,6 @@ data Config = Config { port :: Int}
 
 instance FromJSON Config
 
--- data Ctyp a
--- 
--- {-
---  if you are using GHC 8.6 and above you can make use of deriving Via
---  for creating the Accept Instance
--- 
---  >> data Ctyp a
---  >>   deriving Accept via JSON
--- -}
--- 
--- instance Accept (Ctyp JSON) where
---   contentType _ = contentType (Proxy @JSON)
--- 
--- instance HasErrorBody (Ctyp JSON) '[] where
---   encodeError = undefined -- write your custom implementation
--- 
--- -- | Example Middleware with a different 'HasErrorBody' instance for JSON
--- errorMwJson :: Application -> Application
--- errorMwJson =  errorMw @(Ctyp JSON) @'[]
-
---instance HasErrorBody (Ctyp JSON) '["error","warning","resp"] where
---  encodeError = error
-
 main :: IO ()
 main = 
   do 
@@ -418,8 +448,8 @@ main =
     let (Config _p) = case mc of
                         Left exp -> Config 8081
                         Right c -> c
+    print ("Engine start with version:"++ _version version1++";running at Port:"++ show _p)
     run _p 
-      -- $ errorMwJson @JSON @'["error","warning","status"]
       $ errorMwDefJson
       $ serve (Proxy :: Proxy API) myServer
 

package.yaml

@@ -1,5 +1,5 @@
 name:                Hastructure
-version:	0.26.0
+version:	0.26.5
 github:              "yellowbean/Hastructure"
 license:             BSD3
 author:              "Xiaoyu"

src/Asset.hs

@@ -333,10 +333,10 @@ aggPool mStat xs
                                            ,Map.findWithDefault 0 HistoryRecoveries m
                                            ,Map.findWithDefault 0 HistoryLoss m)
       -- (CumPrincipal,CumPrepay,CumDelinq,CumDefault,CumRecovery,CumLoss)
-      txns = CF.patchCumulative cumulativeStatAtCutoff [] _txns
+      txns = CF.patchCumulative cumulativeStatAtCutoff [] _txns 
     in
       case Map.lookup AccruedInterest =<< mStat of
-        Nothing -> (CF.CashFlowFrame txns, stats)
+        Nothing -> (CF.CashFlowFrame txns, stats) 
         Just accruedIntAmt -> (CF.CashFlowFrame (CF.clawbackInt accruedIntAmt txns), stats)
 
 $(deriveJSON defaultOptions ''Pool)

src/AssetClass/AssetBase.hs

@@ -7,7 +7,7 @@
   (Installment(..),Lease(..),OriginalInfo(..),Status(..)
   ,LeaseStepUp(..),AccrualPeriod(..),PrepayPenaltyType(..)
   ,AmortPlan(..),Loan(..),Mortgage(..),AssetUnion(..),MixedAsset(..),FixedAsset(..)
-  ,AmortRule(..),Capacity(..),AssociateExp(..),AssociateIncome(..)
+  ,AmortRule(..),Capacity(..),AssociateExp(..),AssociateIncome(..),ReceivableFeeType(..),Receivable(..)
   ,calcAssetPrinInt, calcPmt
   )
   where
@@ -49,6 +49,7 @@
 
 type InterestAmount = Amount
 type PrincipalAmount = Amount
+
 calcAssetPrinInt :: AmortPlan -> Balance -> IRate -> Int -> Int -> (InterestAmount, PrincipalAmount)
 calcAssetPrinInt pt bal rate ot rt = 
   let 
@@ -97,6 +98,14 @@
                | SumYearsDigit           -- ^ Not implemented
                deriving (Show,Generic,Eq,Ord)
 
+data ReceivableFeeType = FixedFee Balance                    -- ^ a flat fee amount
+                       | FixedRateFee Rate                   -- ^ a percentage fee against balance for once
+                       | FactorFee Rate Int Direction        -- ^ a percentage fee against balance for each period (N days)
+                       | AdvanceFee Rate                     -- ^ annualized rate for discount fee based on advance amount
+                       | CompoundFee [ReceivableFeeType]     -- ^ compound fee
+                       deriving (Show,Generic,Eq,Ord)
+
+
 data OriginalInfo = MortgageOriginalInfo { originBalance :: Balance
                                           ,originRate :: IR.RateType
                                           ,originTerm :: Int
@@ -122,6 +131,12 @@
                                      ,accRule :: AmortRule
                                      ,capacity :: Capacity 
                                     }
+                  | ReceivableInfo { startDate :: Date
+                                   ,originBalance :: Balance
+                                   ,originAdvance :: Balance
+                                   ,dueDate :: Date
+                                   ,feeType :: Maybe ReceivableFeeType
+                                   }
                   deriving (Show,Generic,Ord,Eq)
 
 
@@ -152,6 +167,11 @@
               | ScheduleMortgageFlow Date [CF.TsRow] DatePattern
               deriving (Show,Generic,Eq,Ord)
 
+data Receivable = Invoice OriginalInfo Status
+                | DUMMY4
+                deriving (Show,Generic,Eq,Ord)
+
+
 data MixedAsset = MixedPool (Map.Map String [AssetUnion])
                 | DUMMY2
                 deriving (Show,Generic,Eq,Ord)
@@ -180,49 +200,57 @@
                 | IL Installment
                 | LS Lease
                 | FA FixedAsset
+                | RE Receivable
                 deriving (Show, Generic,Ord,Eq)
 
 instance IR.UseRate AssetUnion where
   getIndex (MO ma) = IR.getIndex ma
   getIndex (LO ma) = IR.getIndex ma
   getIndex (IL ma) = IR.getIndex ma
   getIndex (LS ma) = IR.getIndex ma
   getIndex (FA ma) = IR.getIndex ma
+  getIndex (RE ma) = IR.getIndex ma
 
 
 instance IR.UseRate Mortgage where 
   getIndex (Mortgage oi@MortgageOriginalInfo{ originRate = IR.Floater _ idx _ _ _ _ _ _ } _ _ _ _ _) = Just idx 
   getIndex Mortgage {} = Nothing
   getIndex (AdjustRateMortgage oi@MortgageOriginalInfo{ originRate = IR.Floater _ idx _ _ _ _ _ _ } _ _ _ _ _ _) = Just idx 
   getIndex AdjustRateMortgage {} = Nothing
 
 instance IR.UseRate Loan where
   getIndex (PersonalLoan oi@LoanOriginalInfo{originRate = IR.Floater _ idx _ _ _ _ _ _ } _ _ _ _) = Just idx 
   getIndex PersonalLoan {} = Nothing
 
 instance IR.UseRate Installment where 
   getIndex (Installment oi@LoanOriginalInfo{originRate = IR.Floater _ idx _ _ _ _ _ _ } _ _ _) = Just idx 
   getIndex Installment {} = Nothing
 
 instance IR.UseRate Lease where
   getIndex :: Lease -> Maybe Index
   getIndex _ = Nothing
 
 instance IR.UseRate FixedAsset where
   getIndex _ = Nothing
 
+instance IR.UseRate Receivable where
+  getIndex _ = Nothing
+
+
 $(deriveJSON defaultOptions ''AmortRule)
 $(deriveJSON defaultOptions ''Capacity)
 $(deriveJSON defaultOptions ''AssociateExp)
 $(deriveJSON defaultOptions ''AssociateIncome)
 $(deriveJSON defaultOptions ''FixedAsset)
 $(deriveJSON defaultOptions ''Status)
 $(deriveJSON defaultOptions ''AmortPlan)
+$(deriveJSON defaultOptions ''ReceivableFeeType)
 $(deriveJSON defaultOptions ''OriginalInfo)
 $(deriveJSON defaultOptions ''Installment)
 $(deriveJSON defaultOptions ''LeaseStepUp)
 $(deriveJSON defaultOptions ''Mortgage)
 $(deriveJSON defaultOptions ''Loan)
 $(deriveJSON defaultOptions ''Lease)
+$(deriveJSON defaultOptions ''Receivable)
 $(deriveJSON defaultOptions ''AssetUnion)
 $(deriveJSON defaultOptions ''PrepayPenaltyType)