Apr 25 Release

CHANGELOG.md

@@ -2,13 +2,22 @@
 
 <!-- towncrier release notes start -->
 
-
 ## 0.45.1
 ### 2025-03-25
 * BREAK: 
 * FIX: in `Pricing/IRR`, error when holding position is too small
 * NEW: 
-* ENHANCE: 
+* ENHANCE: engine will auto patch `interest start date` for bonds if it is not modeled. In `PreClosing` status, engine will use `closing date` as bond interest begin date ; In `Non-PreClosing` status, it defaults to use last waterfall distribution date as bond interest begin date.
+
+
+## 0.45.0
+### 2025-03-21
+* BREAK: remove unused `DealDates` : `FixInterval`, `CustomDates` and `PatternInterval`. Since all these can be replace by new `GenericDates` in type `DateDesp`
+* ENHANCE: now bond with `No last interest accure day` will begin accrue interest from `closing date` if the deal is in `PreClosing` mode, while the bond will use `last bond day` otherwise.
+* FIX: `IsPaidOff` now can be queried in inspection formula
+
+
+
 
 
 ## 0.44.0

Hastructure.cabal

@@ -1,11 +1,11 @@
 cabal-version: 1.12
 
--- This file has been generated from package.yaml by hpack version 0.35.2.
+-- This file has been generated from package.yaml by hpack version 0.37.0.
 --
 -- see: https://github.com/sol/hpack
 
 name:           Hastructure
-version:        0.41.3
+version:        0.45.0
 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
@@ -73,7 +73,8 @@ library
   hs-source-dirs:
       src
   build-depends:
-      aeson
+      Decimal
+    , aeson
     , aeson-pretty
     , base
     , bytestring
@@ -117,7 +118,8 @@ executable Hastructure-exe
       app
   ghc-options: -threaded -rtsopts -with-rtsopts=-N
   build-depends:
-      Hastructure
+      Decimal
+    , Hastructure
     , aeson
     , aeson-pretty
     , attoparsec
@@ -191,7 +193,8 @@ test-suite Hastructure-test
       test
   ghc-options: -threaded -rtsopts -with-rtsopts=-N
   build-depends:
-      Hastructure
+      Decimal
+    , Hastructure
     , aeson
     , aeson-pretty
     , base

app/Main.hs

@@ -103,6 +103,7 @@ debug = flip Debug.Trace.trace
 version1 :: Version 
 version1 = Version "0.45.1"
 
+
 wrapRun :: DealType -> Maybe AP.ApplyAssumptionType -> AP.NonPerfAssumption -> RunResp
 wrapRun (MDeal d) mAssump mNonPerfAssump 
   = do

package.yaml

@@ -1,5 +1,5 @@
 name:                Hastructure
-version:	 0.41.3
+version:	 0.45.0
 github:              "yellowbean/Hastructure"
 license:             BSD3
 author:              "Xiaoyu"
@@ -21,6 +21,7 @@ description:         Please see the README on GitHub at <https://github.com/yell
 
 dependencies:
 - base
+- Decimal
 - hashable
 - time 
 - lens

src/Deal/DealAction.hs

@@ -245,13 +245,15 @@ calcDueInt t d b@(L.BondGroup bMap pt)
       m <- mapM (calcDueInt t d) bMap 
       return $ L.BondGroup m pt
 
--- won't accrue interest
-calcDueInt t d b@(L.Bond _ bt oi io _ bal r dp _ di Nothing _ lastPrinPay _ ) 
-  | d <= closingDate = Right b
+-- first time to accrue interest\
+-- use default date to start to accrue
+calcDueInt t@TestDeal{ status = st} d b@(L.Bond _ bt oi io _ bal r dp _ di Nothing _ _ _ ) 
   | bal+di == 0 && (bt /= L.IO) = Right b
-  | otherwise = calcDueInt t d (b {L.bndDueIntDate = Just closingDate })  -- `debug` ("hit")
-    where 
-      closingDate = getClosingDate (dates t)
+  | otherwise = 
+        do 
+          sd <- getClosingDate (dates t)
+          b' <- calcDueInt t d (b {L.bndDueIntDate = Just sd })  -- `debug` ("hit")
+          return b'
 
 -- Interest Only Bond with Reference Balance
 calcDueInt t d b@(L.Bond _ L.IO oi (L.RefBal refBal ii) _ bal r dp dInt dioi (Just lastIntDueDay) _ _ _ ) 

src/Deal/DealBase.hs

@@ -181,11 +181,8 @@ type StatedDate = Date
 type DistributionDates = DatePattern
 type PoolCollectionDates = DatePattern
 
-data DateDesp = FixInterval (Map.Map DateType Date) Period Period 
-              | CustomDates CutoffDate [ActionOnDate] ClosingDate [ActionOnDate]
-              | PatternInterval (Map.Map DateType (Date, DatePattern, Date))
-              --  cutoff closing mRevolving end-date dp1-pc dp2-bond-pay 
-              | PreClosingDates CutoffDate ClosingDate (Maybe RevolvingDate) StatedDate (Date,PoolCollectionDates) (Date,DistributionDates)
+
+data DateDesp = PreClosingDates CutoffDate ClosingDate (Maybe RevolvingDate) StatedDate (Date,PoolCollectionDates) (Date,DistributionDates)
               -- <Pool Collection DP> <Waterfall DP> 
               --  (last collect,last pay), mRevolving end-date dp1-pool-pay dp2-bond-pay
               | CurrentDates (Date,Date) (Maybe Date) StatedDate (Date,PoolCollectionDates) (Date,DistributionDates)
@@ -195,25 +192,6 @@ data DateDesp = FixInterval (Map.Map DateType Date) Period Period
 
 
 populateDealDates :: DateDesp -> DealStatus -> Either String (Date,Date,Date,[ActionOnDate],[ActionOnDate],Date,[ActionOnDate])
-populateDealDates (CustomDates cutoff pa closing ba) _ 
-  = Right $
-    (cutoff  
-    ,closing
-    ,getDate (head ba)
-    ,pa
-    ,ba
-    ,getDate (max (last pa) (last ba))
-    ,[])
-
-populateDealDates (PatternInterval _m) _
-  = Right (cutoff,closing,nextPay,pa,ba,max ed1 ed2, []) 
-    where 
-      (cutoff,dp1,ed1) = _m Map.! CutoffDate
-      (nextPay,dp2,ed2) = _m Map.! FirstPayDate 
-      (closing,_,_) = _m Map.! ClosingDate
-      pa = [ PoolCollection _d "" | _d <- genSerialDatesTill cutoff dp1 ed1 ]
-      ba = [ RunWaterfall _d "" | _d <- genSerialDatesTill nextPay dp2 ed2 ]
-
 populateDealDates (PreClosingDates cutoff closing mRevolving end (firstCollect,poolDp) (firstPay,bondDp)) _
   = Right (cutoff,closing,firstPay,pa,ba,end, []) 
     where 

src/Deal/DealDate.hs

@@ -3,7 +3,7 @@
 {-# LANGUAGE DeriveGeneric #-}
 {-# LANGUAGE LambdaCase #-}
 
-module Deal.DealDate (DealDates,getClosingDate,getFirstPayDate) 
+module Deal.DealDate (DealDates,getClosingDate,getFirstPayDate,getLastPayDate) 
   where
 
 import qualified Data.Map as Map
@@ -12,40 +12,27 @@ import Types
 import Lib
 
 class DealDates a where 
-  getClosingDate :: a -> Date
+  getClosingDate :: a -> Either String Date
   getFirstPayDate :: a -> Date
+  getLastPayDate :: a -> Either String Date
 
 instance DealDates DateDesp where 
-  getClosingDate (PatternInterval _m)
-    = let 
-        (sd,dp,ed) = _m Map.! ClosingDate 
-      in 
-        sd
-
-  getClosingDate (CustomDates _ _ cd _) = cd
-
   getClosingDate (GenericDates m) = case Map.lookup ClosingDate m of 
-                                      Just (SingletonDate x) -> x
-                                      Nothing -> error "ClosingDate not found in GenericDates"
+                                      Just (SingletonDate x) -> Right x
+                                      Nothing -> Left $ "ClosingDate not found in GenericDates"++show m
 
-  getClosingDate (FixInterval _m _p1 _p2) = _m Map.! ClosingDate
+  getClosingDate (PreClosingDates _ x _ _ _ _) = Right x
 
-  getClosingDate (PreClosingDates _ x _ _ _ _) = x
+  getClosingDate (CurrentDates (_,cd) _ _ _ _ ) = Right cd
 
-  getClosingDate (CurrentDates (_,cd) _ _ _ _ ) = cd
+  getLastPayDate (GenericDates m) = case Map.lookup LastPayDate m of 
+                                      Just (SingletonDate x) -> Right x
+                                      Nothing -> Left $ "LastPayDate not found in GenericDates"++ show m
 
-  getFirstPayDate (PatternInterval _m) 
-    = let 
-        (sd,dp,ed) = _m Map.! FirstPayDate
-      in 
-         sd
-
-  getFirstPayDate (CustomDates _ _ _ bActions )
-    = getDate $ head bActions
-
-  getFirstPayDate (FixInterval _m _p1 _p2)  
-    = _m Map.! FirstPayDate
+  getLastPayDate (CurrentDates (_,cd) _ _ _ _ ) = Right cd
 
+  getLastPayDate (PreClosingDates {}) = Left "Error : try to get last pay date from PreClosingDates"
+
   getFirstPayDate (PreClosingDates _ _ _ _ _ (fp,_)) = fp
 
   getFirstPayDate (CurrentDates _ _ _ _ (cpay,_)) = cpay    

src/Deal/DealQuery.hs

@@ -78,8 +78,11 @@ calcBondTargetBalance t d (L.BondGroup bMap mPt) =
 
     Just (L.PAC _target) -> Right $ getValOnByDate _target d
     Just (L.PacAnchor _target _bnds)
-      | queryDealBool t (IsPaidOff _bnds) d == Right True -> Right $ sum $ L.getCurBalance <$> Map.elems bMap 
-      | queryDealBool t (IsPaidOff _bnds) d == Right False -> Right $ getValOnByDate _target d 
+      | queryDealBool t (IsPaidOff _bnds) d == Right True -> 
+          do
+            subBondTargets <- sequenceA $ calcBondTargetBalance t d <$> Map.elems bMap
+            return $ sum subBondTargets
+      | queryDealBool t (IsPaidOff _bnds) d == Right False -> Right $ getValOnByDate _target d
       | otherwise -> Left $ "Calculate paid off bonds failed"++ show _bnds ++" in calc target balance"
     Just (L.AmtByPeriod pc) -> case getValFromPerCurve pc Past Inc (fromMaybe 0 (getDealStatInt t BondPaidPeriod)) of
                                  Just v -> Right v
@@ -95,8 +98,8 @@ calcBondTargetBalance t d b =
     L.Equity -> Right 0
     L.PAC _target -> Right $ getValOnByDate _target d
     L.PacAnchor _target _bnds
-      | queryDealBool t (IsPaidOff _bnds) d == Right True -> Right $ L.getCurBalance b
-      | queryDealBool t (IsPaidOff _bnds) d == Right False -> Right $ getValOnByDate _target d
+      | queryDealBool t (IsPaidOff _bnds) d == Right True -> Right $ 0  
+      | queryDealBool t (IsPaidOff _bnds) d == Right False -> Right $ getValOnByDate _target d  
       | otherwise -> Left $ "Calculate paid off bonds failed"++ show _bnds ++" in calc target balance"
     L.AmtByPeriod pc -> case getValFromPerCurve pc Past Inc (fromMaybe 0 (getDealStatInt t BondPaidPeriod)) of
                           Just v -> Right v
@@ -761,7 +764,7 @@ queryCompound t@TestDeal{accounts=accMap, bonds=bndMap, ledgers=ledgersM, fees=f
                       Just v -> Right . toRational $ v
                       Nothing -> Left $ "Date:"++show d++"Failed to query balance deal stat  of -> "++ show s
 
-    _ -> Left ("Date:"++show d++"Failed to query formula of -> "++ show s)
+    _ -> Left ("Date:"++show d++"Failed to query balance formula of -> "++ show s)
 
 
 
@@ -793,8 +796,8 @@ queryDealBool t@TestDeal{triggers= trgs,bonds = bndMap,fees= feeMap
 
     IsPaidOff bns -> 
       do 
-        vs <- lookupAndApplies isPaidOff "Is Paid Off" bns bndMap
-        return $ and vs
+        vs <- lookupAndApplies isPaidOff "Is Paid Off" bns bndMap 
+        return $ and vs -- `debug` ("bond paid off?"++ show vs)
 
     IsOutstanding bns -> 
       do 

src/Types.hs

@@ -64,6 +64,7 @@
 import Data.Aeson.TH
 import Data.Aeson.Types
 import Data.Fixed hiding (Ratio)
+import Data.Decimal
 import Data.Ix
 
 
@@ -86,55 +87,58 @@
 type AccountName = String
 type AccNames = [String]
 type CeName = String
-type Balance = Centi
+type Comment = String
 
 type Date = Time.Day
 type Dates = [Time.Day]
+type StartDate = Date
+type EndDate = Date
+type LastIntPayDate = Date
+
+type Balance = Centi
+-- type Balance = Decimal
+type Amount = Balance
+type Principal = Balance
+type Valuation = Balance
+
+type Interest = Balance
+type Default = Balance
+type Loss = Balance
+type Cash = Balance
+type Recovery = Balance
+type Prepayment = Balance
+type Rental = Balance
+type PrepaymentPenalty = Balance
+type CumPrepay = Balance
+type CumPrincipal = Balance
+type CumDefault = Balance
+type CumDelinq = Balance
+type CumLoss = Balance
+type CumRecovery = Balance
+type AccruedInterest = Balance
+
+type PerFace = Micro
+type WAL = Centi
+type Duration = Micro
+type Convexity = Micro
+type Yield = Micro
+type IRR = Micro
+
 type Rate = Rational  -- general Rate like pool factor
+type PrepaymentRate = Rate
+type DefaultRate = Rate
+type RecoveryRate = Rate
+
 type IRate = Micro    -- Interest Rate Type
 type Spread = Micro
-type Amount = Centi
-type Comment = String
-type StartDate = Time.Day
-type EndDate = Time.Day
-type LastIntPayDate = Time.Day
 type Floor = Micro
-type Principal = Centi
-type Interest = Centi
-type Default = Centi
-type Loss = Centi
-type Cash = Centi
-type Recovery = Centi
-type Prepayment = Centi
-type Rental = Centi
 type Cap = Micro
-type PrepaymentPenalty = Centi
-
-type CumPrepay = Centi
-type CumPrincipal = Centi
-type CumDefault = Centi
-type CumDelinq = Centi
-type CumLoss = Centi
-type CumRecovery = Centi
 
-type PrepaymentRate = Rate
-type DefaultRate = Rate
-type RecoveryRate = Rate
 type RemainTerms = Int
 type BorrowerNum = Int
 type Lag = Int
 
 
-type Valuation = Centi
-type PerFace = Micro
-type WAL = Centi
-type Duration = Micro
-type Convexity = Micro
-type Yield = Micro
-type AccruedInterest = Centi
-type IRR = Micro
-
-
 data Index = LPR5Y
             | LPR1Y
             | LIBOR1M
@@ -898,6 +902,7 @@
         _ -> error $ "Invalid PoolId: "++ show pn
 
 
+$(deriveJSON defaultOptions ''DecimalRaw)
 $(deriveJSON defaultOptions ''TsPoint)
 $(deriveJSON defaultOptions ''PerPoint)
 $(deriveJSON defaultOptions ''Ts)
@@ -981,7 +986,7 @@
   toJSON (PayGroupInt bns) = String $ T.pack $ "<PayGroupInt:"++ listToStrWithComma bns ++ ">"
   toJSON (PayGroupPrin bns) = String $ T.pack $ "<PayGroupPrin:"++ listToStrWithComma bns ++ ">"
   toJSON (BookLedgerBy dr lName) = String $ T.pack $ "<BookLedger:"++ lName ++ ">"
   toJSON x = error $ "Not support for toJSON for "++show x
 
 instance FromJSON TxnComment where
     parseJSON = withText "Empty" parseTxn
@@ -993,7 +998,7 @@
   "Transfer" -> let 
                   sv = T.splitOn (T.pack ",") $ T.pack contents
                 in 
                   return $ Transfer (T.unpack (head sv)) (T.unpack (sv!!1))
   "Support" -> return $ LiquidationSupport contents
   "PayInt" -> return $ PayInt [contents]
   "PayYield" -> return $ PayYield contents
@@ -1001,7 +1006,7 @@
   "WriteOff" -> let 
                   sv = T.splitOn (T.pack ",") $ T.pack contents
                 in 
                   return $ WriteOff (T.unpack (head sv)) (read (T.unpack (sv!!1))::Balance)
   "PayPrinResidual" -> return $ PayPrinResidual [contents]
   "PayFee" -> return $ PayFee contents
   "SeqPayFee" -> return $ SeqPayFee [contents]
@@ -1009,10 +1014,10 @@
   "TransferBy" -> let 
                   sv = T.splitOn (T.pack ",") $ T.pack contents
                 in 
                   return $ TransferBy (T.unpack (head sv)) (T.unpack (sv!!1)) (read (T.unpack (sv!!2))::Limit)
   "Pool" -> let 
               sr = T.splitOn (T.pack ":") $ T.pack contents
               mPids = if head sr == "Nothing" then 
                         Nothing 
                       else 
                         Just (read <$> T.unpack <$> sr)::(Maybe [PoolId])
@@ -1028,7 +1033,7 @@
   "LiquidationSupportExp" -> let 
                               sv = T.splitOn (T.pack ",") $ T.pack contents
                             in 
                               return $ LiquidationSupportInt (read (T.unpack (head sv))::Balance) (read (T.unpack (sv!!1))::Balance)
   "SupportDraw" -> return SupportDraw
   "Draw" -> return LiquidationDraw
   "Repay" -> return $ LiquidationRepay contents
@@ -1044,15 +1049,15 @@
   "FundWith" -> let 
                   sv = T.splitOn (T.pack ",") $ T.pack contents
                 in 
                   return $ FundWith (T.unpack (head sv)) (read (T.unpack (sv!!1))::Balance)
 --   toJSON (IssuanceProceeds nb) = String $ T.pack $ "<IssuanceProceeds:"++nb++">"
   "IssuanceProceeds" -> return $ IssuanceProceeds contents                  
   "Tag" -> return $ Tag contents                  
   where 
       pat = "<(\\S+):(\\S+)>"::String
       sr = (T.unpack t =~ pat)::[[String]]
       tagName =  head sr!!1::String
       contents = head sr!!2::String
 
 
 data DealStatType = RtnBalance 
@@ -1087,6 +1092,7 @@
 getDealStatType (DealStatInt _) = RtnInt
 
 getDealStatType (IsMostSenior _ _) = RtnBool
+getDealStatType (IsPaidOff {}) = RtnBool
 getDealStatType (TriggersStatus _ _)= RtnBool
 getDealStatType (IsDealStatus _)= RtnBool
 getDealStatType TestRate {} = RtnBool
@@ -1094,7 +1100,7 @@
 getDealStatType (TestAll _ _) = RtnBool
 getDealStatType (DealStatBool _) = RtnBool
 
 getDealStatType (Max dss) = getDealStatType (head dss)
 getDealStatType (Min dss) = getDealStatType (head dss)
 getDealStatType _ = RtnBalance
 
@@ -1110,12 +1116,9 @@
 
 
 $(deriveJSON defaultOptions ''BondPricingMethod)
-
 $(deriveJSON defaultOptions ''DealStatus)
 $(deriveJSON defaultOptions ''CutoffType)
-
 $(deriveJSON defaultOptions ''DealStatFields)
-
 $(concat <$> traverse (deriveJSON defaultOptions) [''BookDirection, ''DealStats, ''PricingMethod, ''DealCycle, ''DateType, ''Period, 
   ''DatePattern, ''Table, ''BalanceSheetReport, ''BookItem, ''CashflowReport, ''Txn] )