2025 Jan Release

CHANGELOG.md

@@ -3,9 +3,18 @@
 <!-- towncrier release notes start -->
 
 
+## 0.40.13
+### 2024-12-17
+* NEW: new formula `totalFunded` for bond with extra funding amount
+* NEW: new deal run assumption `FundBond`, which records a time series funding amount for a single bond.
+* ENHANCE: When booking account from `support` action, now user can book on `Credit` or `Debit` side
+* FIX: `payPrinBySeq` was not working
+
+
+
 ## 0.40.9
 ### 2024-12-11
-* ENHANCE:  Ensure <limit> always return positive ,otherwise engine will throw error
+* ENHANCE:  Ensure `limit` always return positive ,otherwise engine will throw error
 * NEW: add new action  `changeStatus` in waterfall, with optional `Pre` as condition to trigger the status change
 
 

Hastructure.cabal

@@ -5,7 +5,7 @@ cabal-version: 1.12
 -- see: https://github.com/sol/hpack
 
 name:           Hastructure
-version:	 0.40.11
+version:        0.41.0
 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
@@ -80,6 +80,7 @@ library
     , hashable
     , ieee754
     , lens
+    , math-functions
     , monad-loops
     , numeric-limits
     , openapi3
@@ -124,6 +125,7 @@ executable Hastructure-exe
     , ieee754
     , lens
     , lucid
+    , math-functions
     , monad-loops
     , mtl
     , numeric-limits
@@ -189,6 +191,7 @@ test-suite Hastructure-test
     , hashable
     , ieee754
     , lens
+    , math-functions
     , monad-loops
     , numeric-limits
     , openapi3

app/Main.hs

@@ -115,7 +115,7 @@ $(deriveJSON defaultOptions ''Version)
 instance ToSchema Version
 
 version1 :: Version 
-version1 = Version "0.40.11"
+version1 = Version "0.41.0"
 
 
 

package.yaml

@@ -1,5 +1,5 @@
 name:                Hastructure
-version:	 0.40.11
+version:	 0.41.0
 github:              "yellowbean/Hastructure"
 license:             BSD3
 author:              "Xiaoyu"
@@ -47,6 +47,7 @@ dependencies:
 - tabular
 - numeric-limits
 - scientific
+- math-functions
 
 library:
   source-dirs: 
@@ -86,6 +87,7 @@ executables:
     - attoparsec
     - exceptions
     - tabular
+    - math-functions
     # - servant-errors
     # - servant-exceptions
     - servant-checked-exceptions

src/Accounts.hs

@@ -1,11 +1,11 @@
 {-# LANGUAGE OverloadedStrings #-}
 {-# LANGUAGE TemplateHaskell #-}
 {-# LANGUAGE DeriveGeneric #-}
+{-# LANGUAGE RankNTypes #-}
 
 module Accounts (Account(..),ReserveAmount(..),draw,deposit
-                ,transfer,depositInt
-                ,InterestInfo(..),buildEarnIntAction,updateReserveBalance
-                ,accBalLens,tryDraw,buildRateResetDates,accrueInt)
+                ,transfer,depositInt ,InterestInfo(..),buildEarnIntAction
+                ,accBalLens,tryDraw,buildRateResetDates,accrueInt,accTypeLens)
     where
 import qualified Data.Time as T
 import Stmt (Statement(..),appendStmt,getTxnBegBalance,getDate
@@ -19,8 +19,9 @@ import Language.Haskell.TH
 import Data.Aeson.TH
 import Data.Aeson.Types
 import GHC.Generics
+import Control.Lens.Tuple
 
-import Control.Lens 
+import Control.Lens hiding (Index)
 
 import qualified InterestRate as IR
 
@@ -33,10 +34,6 @@ data InterestInfo = BankAccount IRate DatePattern Date
                     -- ^ float type: index, spread, sweep dates, rate reset , last accrue day, last reset rate
                   deriving (Show, Generic,Eq,Ord)
 
-
-makePrisms ''InterestInfo
-
-
 data ReserveAmount = PctReserve DealStats Rate               -- ^ target amount with reference to % of formula
                    | FixReserve Balance                      -- ^ target amount with fixed balance amount    
                    | Either Pre ReserveAmount ReserveAmount  -- ^ target amount depends on a test, if true, then use first one ,otherwise use second one
@@ -68,15 +65,15 @@ accrueInt _ (Account _ _ Nothing _ _) = 0
 -- ^ bank account type interest 
 accrueInt endDate a@(Account bal _ (Just interestType) _ stmt)  
   = case stmt of 
-       Nothing -> mulBR (mulBI bal rateToUse) (yearCountFraction defaultDc lastDay endDate) -- `debug` (">>"++show lastCollectDate++">>"++show ed)
-       Just (Statement txns) ->
-         let 
-           accrueTxns = sliceBy IE lastDay endDate txns
-           bals = map getTxnBegBalance accrueTxns ++ [bal]
-           ds = [lastDay] ++ getDates accrueTxns ++ [endDate]
-           avgBal = calcWeightBalanceByDates defaultDc bals ds
-         in
-           mulBI avgBal rateToUse  
+      Nothing -> mulBR (mulBI bal rateToUse) (yearCountFraction defaultDc lastDay endDate) -- `debug` (">>"++show lastCollectDate++">>"++show ed)
+      Just (Statement txns) ->
+        let 
+          accrueTxns = sliceBy IE lastDay endDate txns
+          bals = map getTxnBegBalance accrueTxns ++ [bal]
+          ds = [lastDay] ++ getDates accrueTxns ++ [endDate]
+          avgBal = calcWeightBalanceByDates defaultDc bals ds
+        in
+          mulBI avgBal rateToUse  
     where 
       defaultDc = DC_30E_360
       (lastDay,rateToUse) = case interestType of 
@@ -87,15 +84,14 @@ accrueInt endDate a@(Account bal _ (Just interestType) _ stmt)
 depositInt :: Date -> Account -> Account
 depositInt _ a@(Account _ _ Nothing _ _) = a 
 depositInt ed a@(Account bal _ (Just intType) _ stmt)
-          = a {accBalance = newBal ,accStmt= newStmt ,accInterest = Just (newIntInfoType intType)}
+          = a {accBalance = newBal ,accStmt= appendStmt newTxn stmt ,accInterest = Just (newIntInfoType intType)}
           where 
             -- accruedInt = accrueInt a (mkTs [(lastCollectDate, toRational r),(ed, toRational r)])  ed
             accruedInt = accrueInt ed a
             newIntInfoType (BankAccount x y _d) = BankAccount x y ed
             newIntInfoType (InvestmentAccount x y z z1 _d z2) = (InvestmentAccount x y z z1 ed z2)
             newBal = accruedInt + bal  -- `debug` ("INT ACC->"++ show accrued_int)
             newTxn = AccTxn ed newBal accruedInt BankInt
-            newStmt = appendStmt stmt newTxn
 
 -- | move cash from account A to account B
 transfer :: (Account,Account) -> Date -> Amount -> (Account, Account)
@@ -107,16 +103,16 @@ transfer (sourceAcc@(Account sBal san _ _ sStmt), targetAcc@(Account tBal tan _
   where
     newSBal = sBal - amount
     newTBal = tBal + amount
-    sourceNewStmt = appendStmt sStmt (AccTxn d newSBal (- amount) (Transfer san tan))
-    targetNewStmt = appendStmt tStmt (AccTxn d newTBal amount (Transfer san tan) )
+    sourceNewStmt = appendStmt (AccTxn d newSBal (- amount) (Transfer san tan)) sStmt 
+    targetNewStmt = appendStmt (AccTxn d newTBal amount (Transfer san tan)) tStmt 
 
 -- | deposit cash to account with a comment
 deposit :: Amount -> Date -> TxnComment -> Account -> Account
 deposit amount d source acc@(Account bal _ _ _ maybeStmt)  =
     acc {accBalance = newBal, accStmt = newStmt}
   where
-    newBal = bal + amount -- `debug` ("Date:"++show d++ "deposit"++show amount++"from"++show bal)
-    newStmt = appendStmt maybeStmt (AccTxn d newBal amount source)
+    newBal = bal + amount
+    newStmt = appendStmt (AccTxn d newBal amount source) maybeStmt 
 
 -- | draw cash from account with a comment
 draw :: Amount -> Date -> TxnComment -> Account -> Account
@@ -131,20 +127,10 @@ tryDraw amt d tc acc@(Account bal _ _ _ maybeStmt)
   | 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}
-
 instance QueryByComment Account where 
     queryStmt (Account _ _ _ _ Nothing) tc = []
     queryStmt (Account _ _ _ _ (Just (Statement txns))) tc = filter (\x -> getTxnComment x == tc) txns
 
--- | query total balance transfer from account a to account b
-queryTrasnferBalance :: Account -> Account -> Balance
-queryTrasnferBalance Account{accStmt = Nothing } Account{accName = an} = 0
-queryTrasnferBalance a@Account{accName = fromAccName, accStmt = Just (Statement txns)} Account{accName = toAccName}
-  = sum $ getTxnAmt <$> queryStmt a (Transfer fromAccName toAccName) 
-
 
 -- InvestmentAccount Types.Index Spread DatePattern DatePattern Date IRate 
 buildRateResetDates :: Date -> Account -> Maybe (String,Dates)
@@ -154,7 +140,7 @@ buildRateResetDates _ _ = Nothing
 
 
 makeLensesFor [("accBalance","accBalLens") ,("accName","accNameLens") 
-              ,("accType","accTypeLens") ,("accStmt","accStmtLens")] ''Account
+              ,("accType","accTypeLens") ,("accStmt","accStmtLens"),("accInterest","accIntLens")] ''Account
 
 
 instance IR.UseRate Account where 
@@ -165,6 +151,7 @@ instance IR.UseRate Account where
   getIndex _ = Nothing 
 
 
+makePrisms ''InterestInfo
 
 $(deriveJSON defaultOptions ''InterestInfo)
 $(deriveJSON defaultOptions ''ReserveAmount)

src/Analytics.hs

@@ -3,7 +3,8 @@
 {-# LANGUAGE DeriveGeneric #-}
 {-# LANGUAGE ScopedTypeVariables #-}
 
-module Analytics (calcDuration,pv,calcWAL,pv2,pv3,fv2,pv21)
+module Analytics (calcDuration,pv,calcWAL,pv2,pv3,fv2,pv21,calcRequiredAmtForIrrAtDate)
+
   where 
 import Types
 import Lib
@@ -15,6 +16,7 @@ import Data.Aeson.TH
 import Data.Aeson.Types
 import GHC.Generics
 import Data.Ratio
+import Numeric.RootFinding
 
 import Debug.Trace
 debug = flip trace
@@ -24,8 +26,8 @@ calcWAL :: TimeHorizion -> Balance -> Date -> [(Balance,Date)] -> Balance
 calcWAL th bal d ps = 
   let 
     interval = case th of
-                 ByYear -> 365
-                 ByMonth -> 30
+                  ByYear -> 365
+                  ByMonth -> 30
     weightedAmts = [ mulBR futureAmt ((daysBetween d futureDate) % interval)  | (futureAmt,futureDate) <- ps ]
   in 
     sum weightedAmts / bal
@@ -48,18 +50,21 @@ pv :: Ts -> Date -> Date -> Amount -> Amount
 pv pc today d 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))
+    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))
 
 -- ^ calculate present value in the future using constant rate
 pv2 :: IRate -> Date -> Date -> Amount -> Amount
-pv2 discount_rate today d amt =
-  realToFrac $ (realToFrac amt) * (1/denominator)  -- `debug` ("pv: cash"++ show amt++" deno"++ show denominator++">> rate"++show discount_rate)
-  where
-    denominator::Double = (1 + realToFrac discount_rate) ** (distance / 365)
-    distance::Double = fromIntegral $ daysBetween today d -- `debug` ("days betwwen"++ show (daysBetween today d)++">>"++ show d ++ ">>today>>"++ show today)
+pv2 discount_rate today d amt 
+  | today == d = amt
+  | otherwise 
+    = realToFrac $ (realToFrac amt) * (1/denominator)  -- `debug` ("pv: cash"++ show amt++" deno"++ show denominator++">> rate"++show discount_rate)
+      where
+        denominator::Double = (1 + realToFrac discount_rate) ** (distance / 365)
+        distance::Double = fromIntegral $ daysBetween today d -- `debug` ("days betwwen"++ show (daysBetween today d)++">>"++ show d ++ ">>today>>"++ show today)
 
+-- ^ calculate present value to specific date given a series of amount with dates
 pv21 :: IRate -> Date -> [Date] -> [Amount] -> Balance
 pv21 r d ds vs = sum [ pv2 r d _d amt | (_d,amt) <- zip ds vs ]
 
@@ -78,4 +83,30 @@ fv2 discount_rate today futureDay amt
   = realToFrac $ realToFrac amt * factor 
   where
     factor::Double = (1 + realToFrac discount_rate) ** (distance / 365)
-    distance::Double = fromIntegral $ daysBetween today futureDay
+    distance::Double = fromIntegral $ daysBetween today futureDay
+
+
+calcPvFromIRR :: Double -> [Date] -> [Amount] -> Date -> Double -> Double
+calcPvFromIRR irr [] _ d amt = 0
+calcPvFromIRR irr ds vs d amt = 
+  let 
+    begDate = head ds
+    pv = pv21 ((fromRational . toRational) irr) begDate (ds++[d]) (vs++[ (fromRational . toRational) amt ])
+  in 
+    (fromRational . toRational) pv
+
+-- IRR 
+
+-- ^ calculate IRR of a series of cashflow
+calcRequiredAmtForIrrAtDate :: Double -> [Date] -> [Amount] -> Date -> Maybe Amount
+calcRequiredAmtForIrrAtDate irr [] _ d = Nothing 
+calcRequiredAmtForIrrAtDate irr ds vs d = 
+  let 
+    def = RiddersParam
+        { riddersMaxIter = 200
+        , riddersTol     = RelTol 0.00000001
+        }
+  in 
+    case ridders def (0.0001,100000000000000) (calcPvFromIRR irr ds vs d) of
+          Root finalAmt -> Just (fromRational (toRational finalAmt))
+          _ -> Nothing