expose bond schedule index by integer

Author: yellowbean

absbox/local/base.py

@@ -225,6 +225,9 @@ class SubAssetType(str, enum.Enum):
     Installment = "Installment"
     FixedAsset = "FixedAsset"
 
-
+dealStatInt = set(["BondPaidPeriod","PoolCollectedPeriod"])
+dealStatBool = set([])
+dealStatBalance = set([])
+dealStatRate = set([])
 
 inf = 179769313486231590772930519078902473361797697894230657273430081157732675805500963132708477322407536021120113879871393357658789768814416622492847430639474124377767893424865485276302219601246094119453082952085005768838150682342462881473913110540827237163350510684586298239947245938479716304835356329624224137216

absbox/local/component.py

@@ -584,6 +584,8 @@ def mkBondType(x):
     match x:
         case {"固定摊还": schedule} | {"PAC": schedule}:
             return mkTag(("PAC", mkTag(("BalanceCurve", schedule))))
+        case {"BalanceByPeriod": bals}:
+            return mkTag(("AmtByPeriod", mkTag(("WithTrailVal", bals))))
         case {"过手摊还": None} | {"Sequential": None} | "Sequential" | "过手摊还":
             return mkTag(("Sequential"))
         case {"锁定摊还": _after} | {"Lockout": _after}:
@@ -744,7 +746,6 @@ def mkBnd(bn, x:dict):
                     , "bndStmt": mStmt
                     , "tag": "Bond"}
         case _:
-            print(" got here",x)
             raise RuntimeError(f"Failed to match bond:{bn},{x}:mkBnd")
 
 

absbox/local/generic.py

@@ -48,6 +48,7 @@ class Generic:
     custom: dict = None
     ledgers: dict = None
     rateCap: dict = None
+    stats: dict = None
 
     @property
     def json(self) -> dict:
@@ -74,13 +75,24 @@ def json(self) -> dict:
             "triggers": renameKs2({k: {_k: mkTrigger(_v) for (_k,_v) in v.items() } for (k, v) in self.trigger.items()},englishDealCycle) if self.trigger else None,
             "liqProvider": {ln: mkLiqProvider(ln, lo | {"start":lastCloseDate} ) 
                             for ln,lo in self.liqFacility.items() } if self.liqFacility else None,
-            "ledgers": {ln: mkLedger(ln, v) for ln,v in self.ledgers.items()} if self.ledgers else None
+            "ledgers": {ln: mkLedger(ln, v) for ln,v in self.ledgers.items()} if self.ledgers else None,
+            "stats": self.buildStats()
         }
 
         _dealType = identify_deal_type(_r)
 
         return mkTag((_dealType, _r))
 
+    def buildStats(self,):
+        if self.stats is None:
+            return [{},{},{},{}]
+        a = {k:v for k,v in self.stats.items() if k in dealStatBalance }
+        b = {k:v for k,v in self.stats.items() if k in dealStatRate }
+        c = {k:v for k,v in self.stats.items() if k in dealStatBool }
+        d = {k:v for k,v in self.stats.items() if k in dealStatInt }
+        
+        # bal, rate, bool, int
+        return [a,b,c,d]
 
     def read_pricing(self, pricing):
         return earlyReturnNone(mkPricingAssump, pricing)

docs/source/modeling.rst

@@ -93,6 +93,7 @@ To model them via sequential parameter ( *Not Recommend* ):
         ,<Custom data> # optional
         ,<Ledgers> # optional
         ,<Rate Caps> # optional
+        ,<Deal Stats> # optional
     )
 
 .. _Generic ABS:
@@ -2096,10 +2097,11 @@ syntax
 
 Principal 
 ^^^^^^^^^^^
-there are 4 types of `Principal` for bonds/tranches
+there are 5 types of `Principal` for bonds/tranches
 
   * ``Sequential``： can be paid down as much as its oustanding balance
-  * ``PAC``： Balance of bond can only be paid down by a predefined schedule
+  * ``PAC``： Balance of bond can only be paid down by a predefined balance schedule
+  * ``BalanceByPeriod``: Balance of bond can only be paid down by a predefined balance schedule ,indexed by bond paid period
   * ``Lockout``： Principal won't be paid after lockout date
   * ``Equity``：  No interest and shall serve as junior tranche
 
@@ -2123,7 +2125,7 @@ A bond with target amortize balances, it will stop recieving principal once its
 
 
 .. code-block:: python
- 
+
   ("A1",{"balance":1000
        ,"rate":0.07
        ,"originBalance":1000
@@ -2137,6 +2139,27 @@ A bond with target amortize balances, it will stop recieving principal once its
                      ,["2021-10-20",0]
                      ]}})
 
+BalanceByPeriod
+""""""""""""""""""
+
+.. versionadded:: 0.42.0
+
+.. code-block:: python
+
+    ("A1",{"balance":1000
+             ,"rate":0.07
+             ,"originBalance":1000
+             ,"originRate":0.07
+             ,"startDate":"2020-01-03"
+             ,"rateType":{"Fixed":0.08}
+             ,"bondType":{"BalanceByPeriod":
+                   [[0,900]
+                   ,[1,850]
+                   ,[5,800]
+                   ,[6,0] 
+                   ]}
+            })
+
 
 Lockout
 """""""""""""