Merge branch 'main' of https://github.com/yellowbean/AbsBox

Author: yellowbean

absbox/client.py

@@ -21,6 +21,7 @@
 from .local.base import ValidationMsg
 from .exception import AbsboxError, VersionMismatch, EngineError
 from .local.interface import mkTag, readAeson
+from .rootFinder import mkTweak, mkStop
 
 VERSION_NUM = version("absbox")
 console = Console()
@@ -241,6 +242,12 @@ def build_run_deal_req(self, run_type, deal, perfAssump=None, nonPerfAssump=[])
                 if mRunAssump == {}:
                     mRunAssump = {"Empty":{}}
                 r = mkTag((RunReqType.ComboSensitivity.value, [mDeal, mAssump, mRunAssump]))
+            case ("RootFinder", tweak, stop):
+                _deal = deal.json if hasattr(deal, "json") else deal
+                _perfAssump = earlyReturnNone(mkAssumpType, perfAssump)
+                _nonPerfAssump = mkNonPerfAssumps({}, nonPerfAssump)
+                dealRunInput= (_deal, _perfAssump, _nonPerfAssump)
+                r = mkTag((RunReqType.RootFinder.value, [dealRunInput, mkTweak(tweak), mkStop(stop)]))
             case ("FirstLoss", bn) | ("FL", bn):
                 _deal = deal.json if hasattr(deal, "json") else deal
                 _perfAssump = mkAssumpType(perfAssump)
@@ -661,46 +668,35 @@ def runFirstLoss(self, deal, bName, poolAssump=None, runAssump=[], read=True, de
         :return: result of run, a dict of dataframe if `read` is True.
         :rtype: dict
         """
+        return self.runRootFinder(deal, poolAssump, runAssump, ("firstLoss", bName), read, debug)
 
-        if (poolAssump is None):
-            raise AbsboxError(f"❌ poolAssump must be set for first loss run")
-
-        url = f"{self.url}/{Endpoints.RunRootFinder.value}"
-
-        req = self.build_run_deal_req(("FL", bName), deal, poolAssump, runAssump)
-
-        if debug:
-            return req
-
-        result = self._send_req(req, url)
-
-        if result is None or 'error' in result or 'Left' in result:
-            leftVal = result.get("Left","")
-            raise AbsboxError(f"❌ Failed to get response from run: {leftVal}")
-
-        if read:
-            return readAeson(result['Right'])
-        else:
-            result['Right']
-
-    def runRootFinder(self, p, read=True, debug=False) -> dict:
+    def runRootFinder(self, deal, poolAssump, runAssump, p, read=True, debug=False) -> dict:
         """run root finder with deal and pool assumptions
-
+        :param deal: a deal object
+        :type deal: Generic | SPV
+        :param poolAssump: pool performance assumption, a tuple for single run/ a dict for multi-scenario run, defaults to None
+        :type poolAssump: tuple, optional
+        :param runAssump: deal level assumption, defaults to []
+        :type runAssump: list, optional
+        :param p: a tuple of root finder parameters
+        :type p: tuple/string
         :param read: flag to convert result to pandas dataframe, defaults to True
         :type read: bool, optional
         :param debug: return request text instead of sending out such request, defaults to False
         :type debug: bool, optional
-        :return: result of run, a dict of dataframe if `read` is True.
+        :return: result of run
         :rtype: dict
         """
 
         url = f"{self.url}/{Endpoints.RunRootFinder.value}"
         req = None
         match p:
-            case ("maxSpreadToFace",deal,poolAssump,runAssump,bn,bFlag,fFlag):
-                req = self.build_run_deal_req(("MaxSpreadToFaceReq",bn, bFlag, fFlag), deal, poolAssump, runAssump)
-            case ("firstLoss",deal,poolAssump,runAssump,bn):
-                req = self.build_run_deal_req(("FirstLoss",bn), deal, poolAssump, runAssump)
+            case ("firstLoss", bn):
+                req = self.build_run_deal_req(("RootFinder", "stressDefault", ("bondIncurLoss", bn)), deal, poolAssump, runAssump)
+            case ("maxSpreadToFace", bn, bFlag, fFlag):
+                req = self.build_run_deal_req(("RootFinder",("maxSpread", bn), ("bondPricingEqOriginBal", bn, bFlag, fFlag)), deal, poolAssump, runAssump)
+            case (tweak,stop):
+                req = self.build_run_deal_req(("RootFinder", tweak, stop), deal, poolAssump, runAssump)
         if debug:
             return req
 

absbox/local/component.py

@@ -1332,6 +1332,8 @@ def mkTriggerEffect(x):
             return mkTag(("ChangeReserveBalance", [vStr(accName), mkAccType(newReserve)]))
         case ["结果", *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)]))
         case None:
             return mkTag(("DoNothing"))
         case _:
@@ -1815,9 +1817,13 @@ def mkAssumpLeaseRent(x):
 def mkAssumpLeaseEndType(x):
     match x:
         case {"byDate":d} | ("byDate", d):
-            return mkTag("CutByDate", vDate(d))
+            return mkTag(("CutByDate", vDate(d)))
         case {"stopByExtNum":n} | ("byExtTimes",n):
-            return mkTag("StopByExtTimes", vInt(n))
+            return mkTag(("StopByExtTimes", vInt(n)))
+        case ("earlierOf", d, n):
+            return mkTag(("EarlierOf", [vDate(d), vInt(n)]))
+        case ("laterOf", d, n):
+            return mkTag(("LaterOf", [vDate(d), vInt(n)]))
         case _:
             raise RuntimeError(f"failed to match {x}:mkAssumpLeaseEndType")
 
@@ -1855,19 +1861,8 @@ def mkDefaultedAssumption(x):
 
 
 def mkDelinqAssumption(x):
-    #return "DummyDelinqAssump"
-    #return mkTag("DummyDelinqAssump")
     return []
 
-def mkEndType(x):
-    match x:
-        case ("byDate", d):
-            return mkTag(("CutByDate",vDate(d)))
-        case ("byExtTimes",n):
-            return mkTag(("StopByExtTimes", vNum(n)))
-        case _:
-            raise RuntimeError(f"failed to match {x} : mkEndType")
-
 def mkPerfAssumption(x):
     "Make assumption on performing assets"
     def mkExtraStress(y):
@@ -1901,7 +1896,7 @@ def mkExtraStress(y):
             return mkTag(("LeaseAssump",[earlyReturnNone(mkAssumpLeaseDefaultType,md)
                                         ,mkAssumpLeaseGap(gap)
                                         ,mkAssumpLeaseRent(rent)
-                                        ,mkEndType(endType)
+                                        ,mkAssumpLeaseEndType(endType)
                                         ]))
         case ("Loan",md,mp,mr,mes):
             d = earlyReturnNone(mkAssumpDefault,md)

absbox/local/interface.py

@@ -13,6 +13,8 @@ def readAeson(x:dict):
     match x:
         case {"tag": tag,"contents": contents} if isinstance(contents,list):
             return {tag: [readAeson(c) for c in contents]}
+        case {"tag": tag,"contents": {'numerator': n,'denominator': de}} :
+            return {tag: (n/de)}
         case {"tag": tag,"contents": contents} if isinstance(contents,dict):
             return {tag: {k: readAeson(v) for k,v in contents.items()} }            
         case {"tag": tag,"contents": contents} if isinstance(contents,str):
@@ -42,9 +44,4 @@ def readAeson(x:dict):
         case _:
             raise RuntimeError("failed to match",x)
 
-def toAeson(x:dict | tuple):
-    pass
 
-
-def fromAeson(x:dict):
-    pass

absbox/rootFinder.py

@@ -0,0 +1,30 @@
+from .local.interface import mkTag
+from .validation import vStr,vBool,vNum
+
+def mkTweak(x):
+    match x:
+        case "stressDefault":
+            return mkTag(("StressPoolDefault"))
+        case "stressPrepayment":
+            return mkTag(("StressPoolPrepayment"))
+        case ("maxSpread", bn):
+            return mkTag(("MaxSpreadTo", vStr(bn)))
+        case ("splitBalance", bn1 ,bn2):
+            return mkTag(("SplitFixedBalance", [vStr(bn1), vStr(bn2)]))
+        case _:
+            raise RuntimeError(f"failed to match {x}:mkTweak")
+
+def mkStop(x):
+    match x:
+        case ("bondIncurLoss", bn):
+            return mkTag(("BondIncurLoss", vStr(bn)))
+        case ("bondIncurPrinLoss", bn, amt):
+            return mkTag(("BondIncurPrinLoss", [vStr(bn), vNum(amt)]))
+        case ("bondIncurIntLoss", bn, amt):
+            return mkTag(("BondIncurIntLoss", [vStr(bn), vNum(amt)]))
+        case ("bondPricingEqOriginBal", bn, f1, f2):
+            return mkTag(("BondPricingEqOriginBal", [vStr(bn), vBool(f1), vBool(f2)] ))
+        case ("bondMetTargetIrr", bn, irr):
+            return mkTag(("BondMetTargetIrr", [vStr(bn), vNum(irr)]))
+        case _:
+            raise RuntimeError(f"failed to match {x}:mkStop")

absbox/tests/regression/assets.py

@@ -30,3 +30,9 @@
             ,"currentRate": 0.075
             ,"remainTerm": 12
             ,"status": "Current"}]
+
+l1 = ["Lease"
+        ,{"rental":("byDay", 12.0, ["DayOfMonth",15])
+        ,"originTerm": 12
+        ,"originDate": "2022-01-05"}
+        ,{"status":"Current" ,"remainTerm":6 ,"currentBalance":150}]

absbox/tests/regression/test_main.py

@@ -206,7 +206,7 @@ def test_first_loss(setup_api):
                                     ,None)
                     ,read=True
                     )
-    closeTo(r0['FirstLossResult'][0], 31.60100353659348, r=6)
+    closeTo(r0[0], 31.60100353659348, r=6)
 
 @pytest.mark.analytics
 def test_irr_01(setup_api):
@@ -217,7 +217,6 @@ def test_irr_01(setup_api):
                     ,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
@@ -245,6 +244,31 @@ def test_irr_01(setup_api):
     closeTo(r3['pricing']['summary'].loc["A1"].IRR, 0.12248, r=6)
 
 
+@pytest.mark.analytics
+def test_rootfind_stressppy(setup_api):
+    poolPerf = ("Pool",("Mortgage",{"CDR":0.002},{"CPR":0.001},{"Rate":0.1,"Lag":18},None)
+                                 ,None
+                                 ,None)
+    pricing = ("pricing",{"IRR":{"B":("holding",[("2021-04-15",-1000)],1000)}})
+    r = setup_api.runRootFinder(test01, poolPerf ,[pricing]
+        ,("stressPrepayment",("bondMetTargetIrr", "B", 0.25))
+    )
+    assert r[1][1]['PoolLevel'][0]['MortgageAssump'][1] == {'PrepaymentCPR': 0.38642105474696914 } 
+
+@pytest.mark.analytics
+def test_rootfind_stressdef(setup_api):
+    poolPerf = ("Pool",("Mortgage",{"CDR":0.002},{"CPR":0.001},{"Rate":0.1,"Lag":18},None)
+                                 ,None
+                                 ,None)
+    pricing = ("pricing",{"IRR":{"B":("holding",[("2021-04-15",-1000)],1000)}})
+    r = setup_api.runRootFinder(test01, poolPerf ,[pricing]
+        ,("stressDefault",("bondMetTargetIrr", "B", 0.10))
+    )
+    assert r[1][1]['PoolLevel'][0]['MortgageAssump'][0] == {'DefaultCDR': 0.07603587859615266} 
+
+
+
+
 @pytest.mark.bond
 def test_pac_01(setup_api):
     r = setup_api.run(pac01 , read=True , runAssump = [])
@@ -274,4 +298,45 @@ def test_bondGrp(setup_api):
     r = setup_api.run(bondGrp , read=True , runAssump = [])
     grpFlow = readBondsCf(r['bonds'])['A'].xs('balance',axis=1,level=1)
     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 grpFlow.A2.to_list()[:8] == [510.6, 436.68, 364.06, 290.75, 217.26, 143.1, 68.74, 0.0,]
+
+@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'][0].index[-1] == '2024-12-15'
+
+    r = setup_api.runPool(myPool
+                  ,poolAssump=("Pool",("Lease", None, ('days', 20) , ('byAnnualRate', 0.0), ("earlierOf", "2023-11-15", 2))
+                                       ,None
+                                       ,None
+                                       )
+                  ,read=True)
+    assert r['PoolConsol'][0].index[-1] == '2023-12-15'
+
+    r = setup_api.runPool(myPool
+                  ,poolAssump=("Pool",("Lease", None, ('days', 20) , ('byAnnualRate', 0.0), ("laterOf", "2023-11-15", 3))
+                                       ,None
+                                       ,None
+                                       )
+                  ,read=True)
+    assert r['PoolConsol'][0].index[-1] == '2025-12-15'