add IRR nb & regression

Author: yellowbean

absbox/tests/regression/deals.py

@@ -98,4 +98,49 @@
     ,None
     ,None
     ,"Amortizing"
+    )
+
+Irr01 = Generic(
+    "IRR Case"
+    ,{"cutoff":"2021-03-01","closing":"2021-04-01","firstPay":"2021-06-20"
+     ,"payFreq":["DayOfMonth",20],"poolFreq":"MonthFirst","stated":"2030-01-01"}
+    ,{'assets':[["Mortgage"
+        ,{"originBalance":2200,"originRate":["fix",0.045],"originTerm":20
+          ,"freq":"Monthly","type":"Level","originDate":"2021-02-01"}
+          ,{"currentBalance":2200
+          ,"currentRate":0.08
+          ,"remainTerm":20
+          ,"status":"current"}]]}
+    ,(("acc01",{"balance":0}),)
+    ,(("A1",{"balance":1000
+             ,"rate":0.07
+             ,"originBalance":1000
+             ,"originRate":0.07
+             ,"startDate":"2021-04-01"
+             ,"rateType":{"Fixed":0.08}
+             ,"bondType":{"Sequential":None}})
+      ,("B",{"balance":1000
+             ,"rate":0.0
+             ,"originBalance":1000
+             ,"originRate":0.07
+             ,"startDate":"2021-04-01"
+             ,"rateType":{"Fixed":0.00}
+             ,"bondType":{"Equity":None}
+             }))
+    ,tuple()
+    ,{"amortizing":[
+         ["accrueAndPayInt","acc01",["A1"]]
+         ,["payPrin","acc01",["A1"]]
+         ,["payPrin","acc01",["B"]]
+         ,["payIntResidual","acc01","B"]
+     ]}
+    ,[["CollectedInterest","acc01"]
+      ,["CollectedPrincipal","acc01"]
+      ,["CollectedPrepayment","acc01"]
+      ,["CollectedRecoveries","acc01"]]
+    ,None
+    ,None
+    ,None
+    ,None
+    ,("PreClosing","Amortizing")
     )

absbox/tests/regression/main.py

@@ -192,4 +192,40 @@ def test_first_loss(setup_api):
                                     ,None)
                     ,read=True
                     )
-    closeTo(r0['FirstLossResult'][0], 31.60100353659348, r=6)
+    closeTo(r0['FirstLossResult'][0], 31.60100353659348, r=6)
+
+@pytest.mark.analytics
+def test_irr_01(setup_api):
+    r0 = setup_api.run(Irr01
+                    ,poolAssump=("Pool",("Mortgage",{"CDRPadding":[0.01,0.02]},{"CPR":0.02},{"Rate":0.1,"Lag":5},None)
+                                    ,None
+                                    ,None)
+                    ,runAssump = [("pricing",{"IRR":{"B":("holding",[("2021-04-01",-500)],500)}})]
+                    ,read=True
+                    )
+    #print(">>>", r0)
+    closeTo(r0['pricing']['summary'].loc["B"].IRR, 0.264238, r=6)
+
+    r1 = setup_api.run(Irr01
+                ,poolAssump=("Pool",("Mortgage",{"CDRPadding":[0.01,0.02]},{"CPR":0.02},{"Rate":0.1,"Lag":5},None)
+                                ,None
+                                ,None)
+                ,runAssump = [("pricing",{"IRR":
+                                          {"A1":("holding",[("2021-04-01",-500)],500,"2021-08-19",("byFactor",1.0))}
+                                         }
+                              )]
+                ,read=True)
+
+    closeTo(r1['pricing']['summary'].loc["A1"].IRR, 0.07196, r=6)
+
+    r3 = setup_api.run(Irr01
+                ,poolAssump=("Pool",("Mortgage",{"CDRPadding":[0.01,0.02]},{"CPR":0.02},{"Rate":0.1,"Lag":5},None)
+                                ,None
+                                ,None)
+                ,runAssump = [("pricing",{"IRR":
+                                          {"A1":("buy","2021-08-01",("byFactor",0.99),("byCash",200))}
+                                         }
+                              )]
+                ,read=True)
+    
+    closeTo(r3['pricing']['summary'].loc["A1"].IRR, 0.12248, r=6)