update regression for revolving deal

Author: yellowbean

absbox/local/component.py

@@ -1227,7 +1227,10 @@ def mkMod(y: dict) -> tuple:
         case ["购买资产", liq, source] | ["buyAsset", liq, source]:
             return mkTag(("BuyAsset", [None, mkLiqMethod(liq), vStr(source), None]))
         ### Revolving buy with all cash and source/target pool 
-        case ["购买资产2", liq, source, _limit, sPool, mPn] | ["buyAsset2", liq, source, _limit, sPool, mPn ]:
+        case ["购买资产2", liq, source, _limit, sPool, mPn] \
+             | ["buyAsset2", liq, source, _limit, sPool, mPn ] \
+             | ["buyAssetFromTo", liq, source, _limit, sPool, mPn ] \
+            :
             return mkTag(("BuyAssetFrom", [mkLimit(_limit), mkLiqMethod(liq), vStr(source), sPool, mkPid(mPn)]))
         ## Trigger
         case ["更新事件", trgName] | ["runTriggers", *trgName] | ["runTrigger", *trgName]:

absbox/local/generic.py

@@ -138,13 +138,12 @@ def read(resp):
         output['pool'] = {}
 
         outstanding_pool_flow = {k:{"flow": readPoolCf(aggFlow['contents'])
-                                           ,"breakdown": [ readPoolCf(_['contents']) for _ in breakdownFlows]}
-                                         for k,(aggFlow,breakdownFlows) in resp[4].items()}
+                                    ,"breakdown": [ readPoolCf(_['contents']) for _ in breakdownFlows]}
+                                   for k,(aggFlow,breakdownFlows) in resp[4].items()}
         output['pool_outstanding'] = {"flow": { k:v['flow'] for k,v in outstanding_pool_flow.items() }
                                       ,"breakdown": { k:v['breakdown'] for k,v in outstanding_pool_flow.items() } }
 
         poolMap = deal_content['pool']['contents']
-
 
         if deal_content['pool']['tag']=='MultiPool':
             output['pool']['flow'] = tz.valmap(lambda v: readPoolCf(v['futureCf'][0]['contents']) if (not v['futureCf'] is None) else pd.DataFrame(), poolMap)

absbox/tests/regression/deals.py

@@ -341,6 +341,107 @@
     ("PreClosing", "Amortizing"),
 )
 
+test05 = Generic(
+    "TEST05- preclosing - multi-assets- revolving",
+    {
+        "cutoff": "2021-03-01",
+        "closing": "2021-04-15",
+        "firstPay": "2021-07-26",
+        "firstCollect": "2021-04-28",
+        "payFreq": ["DayOfMonth", 20],
+        "poolFreq": "MonthEnd",
+        "stated": "2030-01-01",
+    },
+    {
+        "assets": [
+            [
+                "Mortgage",
+                {
+                    "originBalance": 1400,
+                    "originRate": ["fix", 0.045],
+                    "originTerm": 30,
+                    "freq": "Monthly",
+                    "type": "Level",
+                    "originDate": "2021-02-01",
+                },
+                {
+                    "currentBalance": 1400,
+                    "currentRate": 0.08,
+                    "remainTerm": 30,
+                    "status": "current",
+                },
+            ],
+            [
+                "Mortgage",
+                {
+                    "originBalance": 800,
+                    "originRate": ["fix", 0.045],
+                    "originTerm": 36,
+                    "freq": "Monthly",
+                    "type": "Level",
+                    "originDate": "2021-02-01",
+                },
+                {
+                    "currentBalance": 800,
+                    "currentRate": 0.05,
+                    "remainTerm": 36,
+                    "status": "current",
+                },
+            ]            
+        ]
+    },
+    (("acc01", {"balance": 0}),),
+    (
+        (
+            "A1",
+            {
+                "balance": 1000,
+                "rate": 0.07,
+                "originBalance": 1000,
+                "originRate": 0.07,
+                "startDate": "2020-01-03",
+                "rateType": {"Fixed": 0.08},
+                "bondType": {"Sequential": None},
+            },
+        ),
+        (
+            "B",
+            {
+                "balance": 1000,
+                "rate": 0.0,
+                "originBalance": 1000,
+                "originRate": 0.07,
+                "startDate": "2020-01-03",
+                "rateType": {"Fixed": 0.00},
+                "bondType": {"Equity": None},
+            },
+        ),
+    ),
+    tuple(),
+    {
+        "default": [
+            ["if", ["date", "<", "2021-09-30"]
+                 , ["buyAsset",["Current|Defaulted", 1.0, 0] , "acc01"]
+            ],
+            ["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"),
+)
+
 
 Irr01 = Generic(
     "IRR Case",

absbox/tests/regression/test_main.py

@@ -4,6 +4,7 @@
 import pytest
 import re, math, json
 from pathlib import Path
+from collections import Counter
 
 from .deals import *
 from .assets import *
@@ -18,6 +19,10 @@ def closeTo(a,b,r=2):
 def filterTxn(rs, f, rg):
     return [ r for r in rs if re.match(rg, r[f])] 
 
+def filterRowsByStr(df, f, rg):
+    """ Filter rows by regex on column f """
+    return filterTxn(df.to_dict('records'), f, rg)
+
 def listCloseTo(a,b,r=2):
     assert len(a) == len(b), f"Length not match {len(a)} {len(b)}"
     assert all([ closeTo(x,y,r)  for x,y in zip(a,b)]), f"List not match {a},{b}"
@@ -282,9 +287,6 @@ def test_rootfind_stressdef(setup_api):
     )
     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 = [])
@@ -409,3 +411,51 @@ def test_collect_pool_loanlevel_cashflow(setup_api):
     # 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): 
+    """ Test reports on variuos asset class """
+    pairs = {"mortgage01": (test01,None)}
+    r = {}
+    for k, (vd,vp) in pairs.items():
+        r[k] = setup_api.run(vd, poolAssump=vp, read=True, runAssump =[("report", {"dates":"MonthEnd"})])
+
+@pytest.mark.revolving
+def test_revolving_01(setup_api):
+    """ Test revolving pool with collection """
+    revol_asset =  ["Mortgage",{
+                        "originBalance": 1400,
+                        "originRate": ["fix", 0.045],
+                        "originTerm": 30,
+                        "freq": "Monthly",
+                        "type": "Level",
+                        "originDate": "2021-02-01",},
+                    {"currentBalance": 1400,
+                     "currentRate": 0.08,
+                     "remainTerm": 30,
+                     "status": "current",}, ]    
+    r = setup_api.run(test05, read=True, runAssump =[("revolving"
+                                                       ,["constant",revol_asset]
+                                                       ,("Pool",("Mortgage",None,None,None,None)
+                                                                 ,None
+                                                                 ,None))]
+                      ,rtn=["AssetLevelFlow"])
+    revolvingBuyTxn = filterTxn(r['accounts']['acc01'].to_dict(orient="records"),"memo",r".*PurchaseAsset.*")
+    assert len(revolvingBuyTxn) == 3, "Should have 3 purchase asset txn"
+    
+    buyAmts = [ _['change'] for _ in revolvingBuyTxn]
+    assert buyAmts == [-302.44,-75.61,-86.76], "Buy amount should be same with revolving asset"
+
+    buy_asset1_flow = r['pool']['breakdown']['PoolConsol'][2]
+    buy_asset2_flow = r['pool']['breakdown']['PoolConsol'][3]
+    buy_asset3_flow = r['pool']['breakdown']['PoolConsol'][4]
+    assert buy_asset1_flow.Principal.sum().round(2) == 302.44
+    assert buy_asset2_flow.Principal.sum().round(2) == 75.61
+    assert buy_asset3_flow.Principal.sum().round(2) == 86.76
+
+    #breakdown cashflow should tieout with aggregated pool cashflow
+    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"
+
+
+

pyproject.toml

@@ -58,8 +58,7 @@ minversion = "7.0"
 addopts = "-ra -q --color=yes  --import-mode=importlib"
 markers = [
     "pool","account","bond","fee","interest","collect","asset","performance",
-    "trigger",
-    "TB","analytics","dontrun"
+    "trigger","report","revolving","TB","analytics","dontrun"
 ]