ready for release 0.41.x

Author: yellowbean

absbox/__init__.py

@@ -16,6 +16,7 @@
 from importlib.metadata import version
 from absbox.local.cf import readBondsCf,readToCf,readFeesCf,readAccsCf,readPoolsCf,readFlowsByScenarios,readMultiFlowsByScenarios,readFieldsByScenarios
 from absbox.local.cf import readInspect, readLedgers, readTriggers
+from absbox.local.cf import BondCfHeader
 
 from absbox.report import toHtml,OutputType,toExcel
 

absbox/local/cf.py

@@ -1,6 +1,7 @@
 import pandas as pd
 import toolz as tz
 from lenses import lens
+import enum
 from absbox.validation import vInt, vDate, vFloat, vBool
 from absbox.validation import vDict, vList, vStr, vNum
 from absbox import unifyTs
@@ -44,6 +45,12 @@ def filterCols(xs, columnsToKeep):
     return [_[columnsToKeep] for _ in xs]
 
 
+class BondCfHeader(enum.Enum):
+    SIMPLE = ['rate','cash','intDue','intOverInt','factor','memo']+["利率","本息合计","应付利息","罚息","本金系数","备注"]
+    STANDARD = ['intOverInt','factor','memo']+["罚息","本金系数","备注"]
+    FULL = []
+
+
 def readBondsCf(bMap, popColumns=["factor","memo","本金系数","备注","应付利息","罚息","intDue","intOverInt"]) -> pd.DataFrame:
     def isBondGroup(k, v) -> bool:
         if isinstance(k,str) and isinstance(v,dict):
@@ -86,8 +93,7 @@ def filterCols(x:dict, columnsToKeep) -> pd.DataFrame:
                     cfFrame.append(v)
 
         header = pd.MultiIndex.from_tuples(indexes
-                                          , names=["BondGroup",'Bond',"Field"]
-                                          )       
+                                        , names=["BondGroup",'Bond',"Field"])       
 
         df = pd.concat(cfFrame,axis=1)
     df.columns = header
@@ -164,12 +170,21 @@ def readInspect(r:dict) -> pd.DataFrame:
     else:
         u = pd.DataFrame()
 
-    w = r['waterfallInspect'].to_records() if ('waterfallInspect' in r  and r['waterfallInspect'] and (not r['waterfallInspect'].empty)) else []
+    if not 'waterfallInspect' in r:
+        return pd.concat([u],axis=1).sort_index()
+    
+    if r['waterfallInspect'] is None:
+        return pd.concat([u],axis=1).sort_index()
+    
+    if r['waterfallInspect'].empty:
+        return pd.concat([u],axis=1).sort_index()
+
+    w = r['waterfallInspect'].to_records()
     wdf = tz.pipe(tz.groupby(lambda x:tz.nth(2,x), w)
             ,lambda m: tz.valmap(lambda xs: [ (_[1],_[4]) for _ in xs],m)
             ,lambda m: tz.valmap(lambda xs: pd.DataFrame(xs, columns =['Date', 'val']).set_index('Date'),m)
             ,lambda m: {k:v.rename({"val":k},axis=1) for k,v in m.items() }
-         )
+            )
     return pd.concat([u,*wdf.values()],axis=1).sort_index()
 
 

absbox/local/component.py

@@ -20,6 +20,9 @@ def readBondStmt(respBond):
         case {'tag':'Bond', **singleBndMap }:
             bStmt = mapNone(singleBndMap.get('bndStmt',[]),[])
             return pd.DataFrame(list(tz.pluck("contents", bStmt)), columns=english_bondflow_fields).set_index("date")
+        case {'tag':'MultiIntBond', **singleBndMap }:
+            bStmt = mapNone(singleBndMap.get('bndStmt',[]),[])
+            return pd.DataFrame(list(tz.pluck("contents", bStmt)), columns=english_bondflow_fields).set_index("date")
         case _:
             raise RuntimeError("Failed to read bond flow from resp",respBond)
 

absbox/local/generic.py

@@ -15,7 +15,7 @@ def mapNone(x, v):
         return x
 
 
-def lmap(f, xs):
+def lmap(f: callable, xs) -> list:
     ''' just make it looks more functional '''
     return list(map(f, xs))
 
@@ -58,18 +58,23 @@ def readTagMap(x:dict) -> str:
         case _ :
             return f"<{x}>"
 
+
 def readTag(x: dict):
     return f"<{x['tag']}:{','.join(x['contents'])}>"
 
+
 def isDate(x):
     return re.match(r"\d{4}\-\d{2}\-\d{2}", x)
 
+
 def allList(xs):
     return all([isinstance(x, list) for x in xs])
 
+
 def mkTs(n, vs):
     return mkTag((n, vs))
 
+
 def mkTbl(n, vs):
     return mkTag((n, vs))
 
@@ -106,20 +111,6 @@ def unifyTs(xs):
     return r.sort_index()
 
 
-def aggCFby(_df, interval, cols):
-    df = _df.copy()
-    idx = None
-    dummy_col = '_index'
-    df[dummy_col] = df.index
-    _mapping = {"月份": "M", "Month": "M", "M": "M", "month": "M"}
-    if df.index.name == "日期":
-        idx = "日期"
-    else:
-        idx = "date"
-    df[dummy_col] = pd.to_datetime(df[dummy_col]).dt.to_period(_mapping[interval])
-    return df.groupby([dummy_col])[cols].sum().rename_axis(idx)
-
-
 def update_deal(d, i, c): #Deprecated ,to be replace with Lens
     "A patch function to update a deal data component list in immuntable way"
     _d = d.copy()
@@ -218,13 +209,15 @@ def renameKs2(m: dict, kmapping:dict) -> dict:
     assert set(m.keys()).issubset(set(kmapping.keys())), f"{m.keys()} not in {kmapping.keys()}"
     return {kmapping[k]: v for k, v in m.items()}
 
+
 def updateKs(m: dict, kmapping:dict) -> dict:
     ''' Given a map, update ks from a key-mapping '''
     assert isinstance(m, dict), "M is not a map"
     assert isinstance(kmapping, dict), f"Mapping is not a map: {kmapping}"
 
     return {kmapping.get(k,k):v for k,v in m.items()}
 
+
 def ensure100(xs, msg=""):
     assert sum(xs) == 1.0, f"Doesn't not sum up 100%: {msg}"
 
@@ -456,6 +449,4 @@ def patchDicts(dict1:dict,dict2:dict)-> dict:
     Merge two dictionaries, if a key exists in both dictionaries,use the value from dict2
     if key only exists in either one, use the only one value
     """
-    return tz.merge_with(lambda xs: xs[1] if len(xs)==2 else xs[0]
-                         ,dict1
-                         ,dict2)
+    return tz.merge_with(lambda xs: xs[1] if len(xs)==2 else xs[0] ,dict1 ,dict2)

absbox/local/util.py

@@ -8,7 +8,19 @@
                 ]
          ,"封包日":"2021-01-04"}
 
-from absbox.local.util import aggCFby
+def aggCFby(_df, interval, cols):
+    df = _df.copy()
+    idx = None
+    dummy_col = '_index'
+    df[dummy_col] = df.index
+    _mapping = {"月份": "M", "Month": "M", "M": "M", "month": "M"}
+    if df.index.name == "日期":
+        idx = "日期"
+    else:
+        idx = "date"
+    df[dummy_col] = pd.to_datetime(df[dummy_col]).dt.to_period(_mapping[interval])
+    return df.groupby([dummy_col])[cols].sum().rename_axis(idx)
+
 p = localAPI.runPool(mypool
                     ,assumptions=[{"租赁截止日":"2023-02-01"}]
                     ,read=True)

absbox/tests/benchmark/china/test22.py

@@ -20,6 +20,8 @@ def isValidUrl(url: str) -> str | None:
 def vList(x, t, msg:str = None) -> list:
     return Schema([t]).validate(x)
 
+def vTuple(x, t, msg:str = None) -> tuple:
+    return Schema((t,)).validate(x)
 
 def vDict(x, msg:str = None) -> dict:
     pass
@@ -32,7 +34,6 @@ def vStr(x, msg:str = None) -> str:
 def vNum(x, msg:str = None) -> float:
     return Schema(Or(float, int)).validate(x)
 
-
 def vFloat(x, msg:str = None) -> float:
     return Schema(float).validate(x)
 

absbox/validation.py

@@ -87,6 +87,7 @@ To model them via sequential parameter ( *Not Recommend* ):
         ,<Collection Rule>
         ,<Liquidation facilities>
         ,<Interest Rate Swap>
+        ,None # reserve for currency swap
         ,<Triggers>
         ,<Deal Status>
         ,<Custom data> # optional
@@ -330,7 +331,7 @@ Ratio Type
 Bool Type
 ^^^^^^^^^^
     * ``("trigger", loc ,<trigger name>)`` -> status of trigger with name ``<trigger name>`` at :ref:`Trigger Locations`
-    * ``("isMostSenior","A",["B","C"])`` -> True if the bond "A" is oustanding and "B" and "C" are not outstanding
+    * ``("isMostSenior","A",("B","C"))`` -> True if the bond "A" is oustanding and "B" and "C" are not outstanding
     * ``("status", <deal status>)`` -> True if current deal status is :ref:`Deal Status`
     * ``("rateTest", <formula>, <cmp>, rate)`` -> True if :ref:`Formula` compare with a rate value
     * ``("allTest", True|False, <boolean type ds>....)`` -> True if all boolean type ds are True/False
@@ -1877,6 +1878,11 @@ syntax
                                            ,{"fixReserve":100}]}
                                     ,{"fixReserve":150}]})
 
+      ("reserveAcc",{"type":("when",[("isPaidOff","A","B","C","D"),True]
+                        ,("fix",0)
+                        ,("target",("*",("poolBalance",),0.0035)))
+                ,"balance":begReserveBal}),
+
 Reinvestment Setup
 ^^^^^^^^^^^^^^^^^^^^^^^^^^
 
@@ -1915,6 +1921,8 @@ Fields:
                                  ,"rate": 0.03
                                  ,"lastSettleDate":"2022-11-02"}})
 
+  
+
 
 
 Bonds/Tranches
@@ -1971,6 +1979,17 @@ syntax
 
     :code:`"rateType":{"fix":0.0569,"dayCount":"DC_ACT_365"}`
 
+    :code:`"rateType":["fix":0.0569]`
+
+    :code:`"rateType":("fix":0.0569)`
+
+.. versionadded:: 0.40.10
+
+syntax
+    :code:`"rateType":("fix", 0.0569, "DC_ACT_365")`
+
+    :code:`"rateType":["fix", 0.0569, "DC_ACT_365"]`
+
 Float Rate 
 """"""""""""""""
 
@@ -1983,6 +2002,13 @@ syntax
     
     :code:`"rateType":{"floater":[0.05, "SOFR1Y",-0.0169,"MonthEnd"], "dayCount":"DC_ACT_365"}`
     
+    :code:`"rateType":("floor", 0.01, <floater rate>)`
+    
+    :code:`"rateType":("floor", 0.01, {"floater":[0.05, "SOFR1Y",-0.0169,"MonthEnd"]})`
+
+    :code:`"rateType":("cap", 0.10, <floater rate>)`
+   
+    :code:`"rateType":("cap", 0.10, {"floater":[0.05, "SOFR1Y",-0.0169,"MonthEnd"]})`
 
 Step-Up Rate
 """"""""""""""
@@ -2466,6 +2492,20 @@ PayInt
       * ``limit`` -> :ref:`<limit>`
       * ``support`` -> :ref:`<support>`
 
+PayIntAndBook
+  .. versionadded:: 0.40.10
+  pay interest to bond and book the ledger
+
+  syntax
+    ``["payInt", {Account}, [<Bonds>], m, "book", <Direction>, <Ledger>]``
+
+    `m`is just a map same in the `payFee` , which has keys :
+
+      * ``limit`` -> :ref:`<limit>`
+      * ``support`` -> :ref:`<support>`
+
+
+
 PayIntBySeq
   .. versionadded:: 0.23.4
   pay interest to bonds sequentially
@@ -2834,6 +2874,9 @@ Liquidity Repay
     * ``["liqRepay","bal", <Account>, <liqProvider>, <Limit>]``
     * ``["liqRepay","int", <Account>, <liqProvider>, <Limit>]``
     * ``["liqRepay","premium", <Account>, <liqProvider>, <Limit>]``
+    * ``["liqRepay",["int","bal","premium"], <Account>, <liqProvider>, <Limit>]``
+
+      repay interest first then balance, then premium
 
 Compensation 
   Use all cash from the account and pay back to liquidity provider as compensation,no limit amount.
@@ -2848,6 +2891,31 @@ Accrue interest & fee
     ``["liqAccrue", <liqProvider>]``
   
 
+Rate Swap
+^^^^^^^^^^^^
+
+Settle
+  .. versionadded:: 0.40.10
+  syntax
+  ``["settleSwap", <AccountName>, <SwapName>]``
+
+Pay Out
+  .. versionadded:: 0.40.10
+  syntax
+  ``["paySwap", <AccountName>, <SwapName>]``
+
+Collect 
+  .. versionadded:: 0.40.10
+  syntax
+  ``["receiveSwap", <AccountName>, <SwapName>]``
+
+
+
+Rate Hedge
+^^^^^^^^^^^^
+
+
+
 Conditional Action
 ^^^^^^^^^^^^^^^^^^^^
 
@@ -2940,9 +3008,26 @@ syntax
   * ``["formula",<ledger name>,<Debit|Credit>,<formula>]``
 
     The most generic booking type ,which just book a :ref:`Formula` value to ledger ``<ledger name>`` with either ``Debit`` or ``Credit``.  
-..
-  * ``["AccountDraw",<ledger name>]``
-    It was used in ``Support``,when there is insufficent interest or fee payment from account A and account B cures the shortfall ,that amount draw from account B was call "Account Draw" and booked in the ledger.
+
+  * ``["till",<ledger name>,<Debit|Credit>,<formula>]``
+
+    Book the value of formula to ledger till the value equals to the formula.
+    i.e 
+
+    * ledger => credit ,10, input: formula => 20,credit 
+      
+      * then 10 credit will be booked to ledger
+    * ledger => credit ,10, input: formula => 10,credit 
+      
+      * then nothing will be booked
+    * ledger => credit ,10, input: formula => 20,debit
+  
+      * then 30 debit will be booked to ledger
+    * ledger => credit ,10, input: formula => 0,debit/debit
+
+      * then 10 debit will be booked
+
+
 
 .. seealso:: 
   
@@ -3345,6 +3430,37 @@ Liquidity Provider(Facility) Example
     }
   }
 
+Example-1
+""""""""""""""""""""""""""""""""
+
+
+Cash Advance Facility Maximum Amount means, on each date 
+
+  * (a) as long as any of the Class A Notes or Class B Notes are outstanding, an amount equal to 
+    
+    * (i) the greater of 0.50 per cent. of the Principal Amount Outstanding of the Class A Notes and Class B Notes on such date and 
+    * (ii) 0.20 per cent. of the Principal Amount Outstanding of the Class A Notes and Class B Notes as at the Closing Date and 
+  * (b) on the Notes Payment Date on which the Class A Notes and Class B Notes have been or are to be redeemed in full, zero;
+
+.. code-block:: python
+
+  {"warehouse":{
+    "credit" : 2000
+    ,"balance":300
+    ,"type": {"formula":("max", ("factor",("bondBalance","A","B"),0.005)
+                              , ("factor",("originalBondBalance","A","B"),0.002))}
+    ,"creditCalc":"IncludeDueInt"
+    ,"start": "2021-06-15"
+    ,"rateType": ("fix", 0.05)
+    ,"feeType": ("fix", 0.03)
+    ,"rate":0.03
+    ,"fee":0.01
+    }
+  }
+
+
+
+
 Interest Rate Hedge 
 ---------------------