add UT for new proj flow

Author: yellowbean

absbox/local/component.py

@@ -1023,6 +1023,8 @@ def mkOrder(x):
             return mkTag("ByStartDate")
         case ("byName", *names):
             return mkTag(("ByCustomNames", vList(names, str)))
+        case ("reverse", order):
+            return mkTag(("ReverseSeq", mkOrder(order)))
 
 
 def mkAction(x:list):
@@ -1337,7 +1339,7 @@ def mkTriggerEffect(x):
             return mkTag(("AddTrigger", mkTrigger(trg)))
         case ["新储备目标", accName, newReserve] | ["newReserveBalance", accName, newReserve] | ("newReserveBalance", accName, newReserve):
             return mkTag(("ChangeReserveBalance", [vStr(accName), mkAccType(newReserve)]))
-        case ["结果", *efs] | ["Effects", *efs] | ("Effects", *efs):
+        case ["结果", *efs] | ["Effects", *efs] | ("Effects", *efs) |("effects", *efs) :
             return mkTag(("TriggerEffects", [mkTriggerEffect(e) for e in efs]))
         case ("changeBondRate", bndName, bondRateType, newRate):
             return mkTag(("ChangeBondRate", [vStr(bndName), mkBondRate(bondRateType), vNum(newRate)]))
@@ -1660,13 +1662,9 @@ def mkAsset(x):
                                         ,mkAssetStatus(status)]))
         case ["Invoice", {"start":sd,"originBalance":ob,"originAdvance":oa,"dueDate":dd},{"status":status}] :
             obligorInfo = getValWithKs(x[1],["obligor","借款人"], mapping=mkObligor)
-            return mkTag(("Invoice",[{"startDate":vDate(sd),"originBalance":vNum(ob),"originAdvance":vNum(oa),"dueDate":vDate(dd),"feeType":None,"obligor":obligorInfo} | mkTag("ReceivableInfo")
-                                        ,mkAssetStatus(status)]))
-        case ["ProjectedFlowFix", cf, dp]:
-            return mkTag(("ProjectedFlowFixed",[mkCashFlowFrame(cf) ,mkDatePattern(dp)]))
-        case ['ProjectedFlowMix', cf, dp, fixPct, floatPcts]:
-            return mkTag(("ProjectedFlowMixFloater",[mkCashFlowFrame(cf) ,mkDatePattern(dp)
-                                                    , fixPct, floatPcts]))
+            return mkTag(("Invoice",[{"startDate":vDate(sd),"originBalance":vNum(ob),"originAdvance":vNum(oa),"dueDate":vDate(dd),"feeType":None,"obligor":obligorInfo} | mkTag("ReceivableInfo") ,mkAssetStatus(status)]))
+        case ["ProjectedByFactor", cfs, dp, fixPct, floatPcts] :
+            return mkTag(("ProjectedByFactor" ,[cfs, mkDatePattern(dp), fixPct, floatPcts]))
         case _:
             raise RuntimeError(f"Failed to match {x}:mkAsset")
 
@@ -1692,7 +1690,7 @@ def id_by_pool_assets(z):
                 return "FDeal"
             case {"assets": [{'tag': 'Invoice'}, *rest]}:
                 return "VDeal"
-            case {"assets": [{'tag': 'ProjectedFlowMix'}, *rest]} | {"assets": [{'tag': 'ProjectedFlowMixFloater'}, *rest]}:
+            case {"assets": [{'tag': 'ProjectedByFactor'}, *rest]} :
                 return "PDeal"
             case {"assets": [{'tag': 'IL'}, *rest]} | {"assets": [{'tag': 'MO'}, *rest]} | \
                 {"assets": [{'tag': 'LO'}, *rest]} | {"assets": [{'tag': 'LS'}, *rest]} | \
@@ -2156,7 +2154,8 @@ def mkCashFlowFrame(x):
     begBal = x.get("beginBalance",0)
     begDate = x.get("beginDate","1900-01-01")
     accInt = x.get("accruedInterest",None)
-    return mkTag(("CashFlowFrame", [[begBal,begDate,accInt], [ mkTag(("MortgageFlow", f+[0.0]*5+[None,None,None] )) for f in flows] ]))
+    return mkTag(("CashFlowFrame", [[begBal,begDate,accInt]
+                                    , [ mkTag(("MortgageFlow", f+[0.0]*5+[None,None,None] )) for f in flows] ]))
 
 
 def mkPid(x):

absbox/local/util.py

@@ -290,7 +290,7 @@ def inferPoolTypeFromAst(x:dict) -> str:
             return "FPool"
         case {"assets":[["Invoice",*fields],*ast]} | {'清单': [['应收账款', *fields], *ast]}:
             return "VPool"
-        case {"assets":[["ProjectedFlowMix",*fields],*ast]} | {"assets":[["ProjectedFlowFix",*fields],*ast]} :
+        case {"assets":[["ProjectedByFactor",*fields],*ast]} :
             return "PPool"
         case _:
             raise RuntimeError(f"Failed to find pool type from assets:{x}")

absbox/tests/regression/deals.py

@@ -696,9 +696,7 @@
     {
         "default": [
             ["accrueAndPayInt", "acc01", ["A1", "A2"]],
-            ["payPrinBySeq", "acc01", ["A1", "A2"]]
-            # ,['inspect',"isPaidoff",("isPaidOff","A2")]
-            ,
+            ["payPrinBySeq", "acc01", ["A1", "A2"]] ,
             ["payPrin", "acc01", ["A1"]],
             ["payIntResidual", "acc01", "B"],
         ],
@@ -766,7 +764,6 @@
     ,{"default":[
          ["accrueAndPayIntByGroup","acc01","A", "byName"]
          ,["payPrinByGroup","acc01","A", "byName"]
-         #,["payPrin","acc01",["A1"]]
          ,["payIntResidual","acc01","B"]
      ],
      }
@@ -984,3 +981,18 @@
     None,
     "Amortizing",
 )
+
+import datetime
+from dateutil.relativedelta import relativedelta
+
+
+cf = [[ (datetime.datetime.strptime("2021-03-01", "%Y-%m-%d") + relativedelta(months=_)).strftime("%Y-%m-%d"), (29-_)*75] 
+      for _ in range(30) ]
+
+fixPct = (1.00,0.07)
+# floatPcts = [(0.50, 0.05, 0.02, "LIBOR1M")]
+floatPcts = []
+projCf =  ["ProjectedByFactor", cf, "MonthEnd", fixPct, floatPcts] 
+
+test06 = test01 & lens.name.set("TEST06 - ProjectByFactor")\
+                & lens.pool['assets'].set([projCf])

absbox/tests/regression/test_main.py

@@ -5,6 +5,7 @@
 import re, math, json
 from pathlib import Path
 from collections import Counter
+from itertools import dropwhile
 
 from .deals import *
 from .assets import *
@@ -43,6 +44,14 @@ def eqDataFrameByLens(a, b, l, fn=None, msg=""):
       eqDataFrame(fn(da), fn(db), msg=msg)
 
 
+def seniorTest(x, y):
+    xx = pd.concat([x.rename("Left"),y.rename("Right")],axis=1).fillna(0)
+    xflags = xx["Left"]- xx["Right"] == xx["Left"]
+    yflags = xx["Right"] - xx["Left"] == xx["Right"]
+    rflags = xflags | yflags
+    f = dropwhile( lambda y: not y, dropwhile(lambda x:x ,xflags))
+    return len(list(f)) == 0 & Counter(rflags).get("False",0) <= 1
+
 
 @pytest.fixture
 def setup_api():
@@ -330,6 +339,69 @@ def test_bondGrp(setup_api):
     assert grpFlow.A1.to_list()[:8] == [1000.0, 1000.0, 1000.0, 1000.0, 1000.0, 1000.0, 1000.0, 993.93]
     assert grpFlow.A2.to_list()[:8] == [510.6, 436.68, 364.06, 290.75, 217.26, 143.1, 68.74, 0.0,]
 
+    assert seniorTest(r['bonds']['A']['A2'].principal,r['bonds']['A']['A1'].principal), "A2 should be senior to A1"
+
+    r = setup_api.run(bondGrp & lens.waterfall['default'][1][3].set("byName")
+                      , read=True , runAssump = [])
+    assert seniorTest(r['bonds']['A']['A1'].principal,r['bonds']['A']['A2'].principal), "byName: A1 should be senior to A2"
+    
+    r = setup_api.run(bondGrp & lens.waterfall['default'][1][3].set(('reverse',"byName")))
+    assert seniorTest(r['bonds']['A']['A2'].principal,r['bonds']['A']['A1'].principal), "byName: A2 should be senior to A1"
+
+    r = setup_api.run(bondGrp & lens.waterfall['default'][1][3].set("byProrata")
+                      , read=True , runAssump = [])
+    allEqTo08 = (r['bonds']['A']['A2'].principal / r['bonds']['A']['A1'].principal).round(2) == 0.8
+    assert all(allEqTo08), "byProrata: A2 should be 0.8 of A1"
+
+    r = setup_api.run(bondGrp & lens.waterfall['default'][1][3].set("byCurRate")
+                          & lens.bonds[0][1][1]["A1"]['rate'].set(0.06)
+                  , read=True , runAssump = [])
+    assert seniorTest(r['bonds']['A']['A2'].principal,r['bonds']['A']['A1'].principal), "A2 should be senior to A1"
+
+    r = setup_api.run(bondGrp & lens.waterfall['default'][1][3].set(("reverse", "byCurRate"))
+                          & lens.bonds[0][1][1]["A1"]['rate'].set(0.06)
+                  , read=True , runAssump = [])
+    assert seniorTest(r['bonds']['A']['A1'].principal,r['bonds']['A']['A2'].principal), "A1 should be senior to A2"
+
+    #test by maturity date
+    d = bondGrp & lens.bonds[0][1][1]["A1"].modify(lambda x: tz.assoc(x,"maturityDate","2026-01-01"))\
+        & lens.bonds[0][1][1]["A2"].modify(lambda x: tz.assoc(x,"maturityDate","2025-01-01"))\
+        & lens.waterfall['default'][1][3].set("byMaturity")
+
+    r = setup_api.run(d, read=True , runAssump = [])
+    assert seniorTest(r['bonds']['A']['A2'].principal,r['bonds']['A']['A1'].principal), "A2 should be senior to A1"
+
+    d = bondGrp & lens.bonds[0][1][1]["A2"].modify(lambda x: tz.assoc(x,"startDate","2020-01-02"))\
+        & lens.waterfall['default'][1][3].set("byStartDate")
+
+    r = setup_api.run(d, read=True , runAssump = [])
+    assert seniorTest(r['bonds']['A']['A2'].principal,r['bonds']['A']['A1'].principal), "A2 should be senior to A1"
+
+@pytest.mark.trigger
+def test_trigger_chgBondRate(setup_api):
+    withTrigger = test01 & lens.trigger.set({
+                    "BeforeDistribution":{
+                        "changeBndRt":{"condition":[">=","2021-08-20"]
+                                    ,"effects":("changeBondRate", "A1", {"floater":[0.05, "SOFR1Y",-0.02,"MonthEnd"]}, 0.12)
+                                    ,"status":False
+                                    ,"curable":False}
+                    }
+                    })
+    r = setup_api.run(withTrigger , read=True ,runAssump = [("interest",("SOFR1Y",0.04))])
+    assert r['bonds']['A1'].rate.to_list() == [0.07, 0.12, 0.02, 0.02, 0.02, 0.02, 0.02, 0.02, 0.02, 0.02]
+
+@pytest.mark.pool
+def test_pool_lease_end(setup_api):
+    """ Lease end date """
+    myPool = {'assets':[l1],'cutoffDate':"2022-01-01"}
+    r = setup_api.runPool(myPool
+                  ,poolAssump=("Pool",("Lease", None, ('days', 20) , ('byAnnualRate', 0.0), ("byExtTimes", 2))
+                                       ,None
+                                       ,None
+                                       )
+                  ,read=True)
+    assert r['PoolConsol']['flow'].index[-1] == '2024-12-15'
+
 @pytest.mark.trigger
 def test_trigger_chgBondRate(setup_api):
     withTrigger = test01 & lens.trigger.set({
@@ -425,9 +497,6 @@ def test_collect_pool_loanlevel_cashflow(setup_api):
     eqDataFrame(rAssetLevel['pool']['flow']['PoolConsol'].drop(columns=["WAC"])
                 ,combined2
                 ,msg="breakdown should be same with aggregation cashflow(with performance)")
-    # combined = pd.concat([rWithOsPoolFlow['pool']['flow']['PoolConsol']
-    #                       ,rWithOsPoolFlow['pool_outstanding']['flow']['PoolConsol']])
-    # eqDataFrame(complete['pool']['flow']['PoolConsol'], combined)
 
 @pytest.mark.report
 def test_reports(setup_api): 
@@ -466,7 +535,10 @@ def test_revolving_01(setup_api):
     totalPrins = r['pool']['breakdown']['PoolConsol'] & lens.Each().Principal.collect() & lens.Each().modify(lambda x: x.sum())
     assert r['pool']['flow']['PoolConsol'].Principal.sum().round(2) == sum(totalPrins).round(2), "Breakdown cashflow should tieout with aggregated pool cashflow"
 
-
+@pytest.mark.asset
+def test_06(setup_api):
+    r = setup_api.run(test06 , read=True , runAssump = [])
+    assert r['pool']['flow']['PoolConsol'].Principal.sum() == 2175, "Total principal should be 2175.0"
 # @pytest.mark.analytics
 # def test_rootfinder_by_formula(setup_api):
 #     poolPerf = ("Pool",("Mortgage",{"CDR":0.002},{"CPR":0.001},{"Rate":0.1,"Lag":18},None)

docs/source/modeling.rst

@@ -1675,42 +1675,43 @@ syntax
 Projected Cashflow
 ^^^^^^^^^^^^^^^^^^^^^^^
 
-It's possible that to build a deal model with ``Projected Cashflow`` which means the there is no way to get loan level data of `Assets` but only cashflow derived from these assets.
+.. versionchanged:: 0.51.0
 
-There are two type of ``Projected Cashflow``
+It's possible that to build a asset model with ``Projected Cashflow`` which means the there is no way to get loan level data of `Assets` but only projected cashflow derived from these assets.
 
-* Fixed Projected Flow -> the cashflow is projected via assets with fix rate.
-* Mixed Projected Flow -> the cashflow is projected via a pool of assets with %x of fixed rate asset and %y1 %y2 ...
-
-Fix Rate Flow
+ProjectedByFactor
 """"""""""""""""""""
 
-syntax 
-  ``["ProjectedFlowFix" ,{"flows":[["2024-09-01",<Balance>,<Principal>,<Interest>]....] ,"beginDate":"2024-06-01","beginBalance":1000},"MonthEnd"]``
-
-* ``MonthEnd``
-
-  Means if there is default/recovery lag how the cashflow periods extended
-
+syntax
+  .. code-block:: python
+  
+      ["ProjectedByFactor"
+      , [["2024-09-01",100]
+        ,["2024-10-01",50]
+        ,["2024-11-01",30]
+        ,["2024-12-01",0]
+        ]
+      ,"MonthEnd" 
+      ,(0.5, 0.08) 
+      ,[(0.5, 0.02, "LIBOR1M")]
+      ]
+* ``[[<Date>, <Balance>]...]``
 
-Mix Rate Flow
-""""""""""""""""""""
+  Expected balance and dates
 
-syntax 
-  ``["ProjectedFlowMix" ,{"flows":[["2024-09-01",100,10,10]] ,"beginDate":"2024-06-01" ,"beginBalance":110} ,"MonthEnd" ,(.5,0.08) ,[(1.0,0.02,"LIBOR1M")]]``
 
 * ``(0.5,0.08)``
 
   Means, 50% of projected cashflow are attributed to fix rate assets with fix rate of 8%
-* ``[(1.0,0.02,"LIBOR1M")]``
+* ``[(0.5,0.02,"LIBOR1M")]``
 
-  Means 100% of rest cashflow are generated from floater asset with spread of 2% and index of `LIBOR1M`
+  Means 50% of rest cashflow are generated from floater asset with spread of 2% and index of `LIBOR1M`
 
+.. warning::
+
+  Only `Mortgage` assumptions are supported
 
-Assumption
-""""""""""""""""""
 
-Only `Mortgage` assumptions are supported
 
 
 Collection Rules 
@@ -3404,6 +3405,8 @@ examples:
     * ``"byStartDate"`` -> pay bonds by start date, the earlier start date bond will be paid first
     .. versionadded:: 0.43.1
     * ``("byName", name1, name2...)`` -> pay bonds by order of name1, name2...
+    .. versionadded:: 0.50.3
+    * ``("reverse", <ordering>)`` -> reverse the order of <ordering>
 
 
 Trigger