Fix weight avg balance for bond group

yellowbean · Jul 14, 2024 · 17f082e · 17f082e
1 parent 9616b4a
commit 17f082e
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Showing 4 changed files with 84 additions and 35 deletions.
diff --git a/src/Deal/DealAction.hs b/src/Deal/DealAction.hs
@@ -90,10 +90,6 @@ testTrigger t d trigger@Trigger{trgStatus=st,trgCurable=curable,trgCondition=con
                   trigger { trgStatus = newSt
                            , trgStmt = Stmt.appendStmt tStmt newTxn}
 
--- updateTrigger :: Ast.Asset a => TestDeal a -> Date -> Trigger -> Trigger
--- updateTrigger t d trigger@Trigger{ trgStatus=st,trgCurable=cure,trgCondition=cond}
---   | testTrigger t d trigger = trigger {trgStatus = True}  
---   | otherwise = trigger
 
 pricingAssets :: PricingMethod -> [ACM.AssetUnion] -> Date -> Amount 
 pricingAssets (BalanceFactor currentfactor defaultfactor) assets d = 0 
@@ -187,7 +183,7 @@ calcDueFee t calcDay f@(F.Fee fn (F.AnnualRateFee feeBase r) fs fd Nothing fa lp
 
 -- ^ annualized % fee base on pool balance/amount
 calcDueFee t@TestDeal{pool = pool} calcDay f@(F.Fee fn (F.AnnualRateFee feeBase _r) fs fd (Just _fdDay) fa lpd _)
-  = f{ F.feeDue=fd+newDue, F.feeDueDate = Just calcDay }  -- `debug` ("Fee DUE new Due "++show calcDay ++show baseBal ++show(newDue))                   
+  = f{ F.feeDue=fd+newDue, F.feeDueDate = Just calcDay }  -- `debug` ("Fee DUE new Due "++show newDue++"oldDue"++show fd)
       where 
         accrueStart = _fdDay
         baseBal = case feeBase of
@@ -206,7 +202,7 @@ calcDueFee t@TestDeal{pool = pool} calcDay f@(F.Fee fn (F.AnnualRateFee feeBase
                     -- CurrentBondBalance -> Map.foldr (\v a-> a + weightAvgBalance accrueStart calcDay (getTxns (L.bndStmt v)) ) 0.0 (bonds t)
                     -- CurrentBondBalanceOf bns -> sum $ (\v -> weightAvgBalance accrueStart calcDay (getTxns (L.bndStmt v))) <$>  viewDealBondsByNames t bns
         r = toRational $ queryDealRate t _r 
-        newDue = mulBR baseBal r
+        newDue = mulBR baseBal r -- `debug` ("Fee Name"++fn ++"Date"++ show [accrueStart, calcDay] ++ "base bal"++ show baseBal++"new rate"++show r)
 
 -- ^ % fee base on pool balance/amount
 calcDueFee t calcDay f@(F.Fee fn (F.PctFee (PoolCurCollection its mPns) r ) fs fd fdDay fa lpd _)

diff --git a/src/Liability.hs b/src/Liability.hs
@@ -45,9 +45,11 @@ import qualified Data.Map as Map
 import Debug.Trace
 import InterestRate (UseRate(getIndexes))
 import Control.Lens hiding (Index)
+import Control.Lens.TH
 import Language.Haskell.TH.Lens (_BytesPrimL)
 import Stmt (getTxnAmt)
 import Data.Char (GeneralCategory(NotAssigned))
+import qualified Stmt as L
 -- import Deal.DealBase (UnderlyingDeal(futureCf))
 
 debug = flip trace
@@ -332,11 +334,11 @@ backoutDueIntByYield d b@(Bond _ _ (OriginalInfo obal odate _ _) (InterestByYiel
                     Nothing -> []
 
 
-weightAverageBalance :: Date -> Date -> Bond -> Balance
-weightAverageBalance sd ed b@(Bond _ _ (OriginalInfo ob bd _ _ )  _ _ currentBalance _ _ _ _ _ _ _ stmt)
-  = S.weightAvgBalance'
-      0
-      (sd,)
+-- weightAverageBalance :: Date -> Date -> Bond -> Balance
+weightAverageBalance sd ed b@(Bond _ _ (OriginalInfo ob bd _ _ )  _ _ currentBalance _ _ _ _ _ _ _ Nothing) 
+  = mulBR currentBalance (yearCountFraction DC_ACT_365F (max bd sd) ed) 
+weightAverageBalance sd ed b@(Bond _ _ (OriginalInfo ob bd _ _ )  _ _ currentBalance _ _ _ _ _ _ _ (Just stmt))
+  = L.weightAvgBalance' (max bd sd) ed (view S.statementTxns stmt)
 
 -- TO BE Deprecate, it was implemented in Cashflow Frame
 -- weightAverageBalance :: Date -> Date -> Bond -> Balance
@@ -358,7 +360,7 @@ weightAverageBalance sd ed b@(Bond _ _ (OriginalInfo ob bd _ _ )  _ _ currentBal
       --           Nothing -> []
       --           Just (S.Statement _txns) -> _txns-- map getTxnBalance _txns
 weightAverageBalance sd ed bg@(BondGroup bMap)
-  = sum $ weightAverageBalance sd ed <$> Map.elems bMap  `debug` (">>>"++ show (weightAverageBalance sd ed <$> Map.elems bMap))
+  = sum $ weightAverageBalance sd ed <$> Map.elems bMap -- `debug` (">>>"++ show (weightAverageBalance sd ed <$> Map.elems bMap))
 
 calcZspread :: (Rational,Date) -> Int -> (Float, (Rational,Rational),Rational) -> Bond -> Ts -> Spread
 calcZspread _ _ _ b@Bond{bndStmt = Nothing} _ = error "No Cashflow for bond"

diff --git a/src/Stmt.hs b/src/Stmt.hs
@@ -11,7 +11,7 @@ module Stmt
    ,TxnComment(..),QueryByComment(..)
    ,weightAvgBalanceByDates,weightAvgBalance,weightAvgBalance',sumTxn, consolTxn
    ,getFlow,FlowDirection(..), aggByTxnComment,scaleByFactor
-   ,scaleTxn,isEmptyTxn
+   ,scaleTxn,isEmptyTxn, statementTxns
   )
   where
 
@@ -97,7 +97,7 @@ getTxnAmt (ExpTxn _ _ t _ _ ) = t
 getTxnAmt (SupportTxn _ _ t _ _ _ _) = t
 getTxnAmt (IrsTxn _ _ t _ _ _ _ ) = t
 getTxnAmt (EntryTxn _ _ t _) = t
-getTxnAmt (TrgTxn {} ) = 0.0
+getTxnAmt TrgTxn {} = 0.0
 
 getTxnAsOf :: [Txn] -> Date -> Maybe Txn
 getTxnAsOf txns d = find (\x -> getDate x <= d) $ reverse txns
@@ -125,6 +125,19 @@ sliceStmt :: Date -> Date -> Statement -> Statement
 sliceStmt sd ed (Statement txns) 
   = Statement $ sliceBy II sd ed txns
 
+viewBalanceAsOf :: Date -> [Txn] -> Balance
+viewBalanceAsOf d [] = 0.0 
+viewBalanceAsOf d txns 
+  | d < begDate = getTxnBegBalance fstTxn
+  | d > endDate = getTxnBalance lstTxn
+  | otherwise = getTxnBalance $ fromJust $ getTxnAsOf txns d
+  where 
+    fstTxn = head txns
+    lstTxn = last txns
+    begDate = getDate fstTxn
+    endDate = getDate lstTxn
+
+
 weightAvgBalanceByDates :: [Date] -> [Txn] -> [Balance]
 weightAvgBalanceByDates ds txns 
   = (\(_sd,_ed) -> weightAvgBalance _sd _ed txns) <$> intervals -- `debug` ("interval"++ show intervals++ show txns)
@@ -141,19 +154,16 @@ weightAvgBalance sd ed txns
       ds = [sd] ++ map getDate _txns ++ [ed] 
       dsFactor = getIntervalFactors ds  -- `debug` ("DS>>>"++show ds)
 
-weightAvgBalance' :: Balance -> (Date,Balance) -> [Date] -> [Txn] -> Balance 
-weightAvgBalance' accBal (_,b) _ []  = accBal
-weightAvgBalance' accBal (_,b) [] txns  = accBal
-weightAvgBalance' accBal (lastDate,lastBal) (sd:ds) txns 
-  = weightAvgBalance' newAccBal (sd, nextBegBalance restTxns) ds restTxns
-  where 
-      (_txns,restTxns) = splitBy sd Exc txns
-      nextBegBalance [] = 0
-      nextBegBalance rTxns = getTxnBalance $ head rTxns
-      _txnDs = getDate <$> _txns
-      bals = lastBal:(getTxnBalance <$> _txns) 
-      dsFactor = getIntervalFactors ([lastDate]++_txnDs ++ [sd])
-      newAccBal = accBal + sum (zipWith mulBR bals dsFactor)
+weightAvgBalance' :: Date -> Date -> [Txn] -> Balance 
+weightAvgBalance' sd ed [] = 0.0 
+weightAvgBalance' sd ed txns 
+  = let 
+      -- txns = sliceBy EE sd ed txns
+      viewDs = sort $ [sd,ed] ++ (getDate <$> (sliceBy EE  sd ed txns))
+      balances = flip viewBalanceAsOf txns <$> viewDs
+      factors = getIntervalFactors viewDs
+    in 
+      sum $ zipWith mulBR balances factors -- `debug` ("Factors"++show factors++"Balances"++show balances)   
 
 data Statement = Statement [Txn]
               deriving (Show, Generic, Eq, Ord, Read)
@@ -163,8 +173,8 @@ appendStmt (Just stmt@(Statement txns)) txn = Just $ Statement (txns++[txn])
 appendStmt Nothing txn = Just $ Statement [txn]
 
 
-statmentTxns :: Lens' Statement [Txn]
-statmentTxns = lens getter setter
+statementTxns :: Lens' Statement [Txn]
+statementTxns = lens getter setter
   where 
     getter (Statement txns) = txns
     setter (Statement _) txns = Statement txns

diff --git a/test/UT/StmtTest.hs b/test/UT/StmtTest.hs
@@ -27,16 +27,57 @@ txnTest =
            weightAvgBalance 
              (toDate "20221101") 
              (toDate "20221201")
-             [(AccTxn (toDate "20221115") 100 20 Empty)
-             ,(AccTxn (toDate "20221125") 90 (negate 10) Empty)
+             [AccTxn (toDate "20221115") 100 20 Empty
+             ,AccTxn (toDate "20221125") 90 (negate 10) Empty
              ]
       ,testCase "Weight Average Balance " $ 
            assertEqual "Weight Average Balacne by dates"
            [ 7.26, 5.64 ] $
            weightAvgBalanceByDates 
-             [(toDate "20221101"),(toDate "20221201"),(toDate "20221225")]
-             [(AccTxn (toDate "20221115") 100 20 Empty)
-             ,(AccTxn (toDate "20221125") 90 (negate 10) Empty)
-             ,(AccTxn (toDate "20221215") 80 (negate 10) Empty)]
+             [toDate "20221101",toDate "20221201",toDate "20221225"]
+             [AccTxn (toDate "20221115") 100 20 Empty
+             ,AccTxn (toDate "20221125") 90 (negate 10) Empty
+             ,AccTxn (toDate "20221215") 80 (negate 10) Empty]
+      , let
+          testTxns = [AccTxn (toDate "20221115") 100 20 Empty
+                      ,AccTxn (toDate "20221125") 90 (negate 10) Empty
+                      ,AccTxn (toDate "20221215") 80 (negate 10) Empty]
+        in
+        testCase "Get Txn As Of" $ 
+           assertEqual "Get Txn Asof 1"
+            Nothing $
+            getTxnAsOf testTxns (toDate "20221101")
+      , let
+          testTxns = [AccTxn (toDate "20221115") 100 20 Empty
+                      ,AccTxn (toDate "20221125") 90 (negate 10) Empty
+                      ,AccTxn (toDate "20221215") 80 (negate 10) Empty]
+        in
+        testCase "Get Txn As Of" $
+           assertEqual "Get Txn Asof 2"
+            [(Just (AccTxn (toDate "20221115") 100 20 Empty)) 
+            , (Just (AccTxn (toDate "20221215") 80 (negate 10) Empty))
+            , (Just (AccTxn (toDate "20221115") 100 20 Empty))
+            ] $
+            [(getTxnAsOf testTxns (toDate "20221115"))
+             ,(getTxnAsOf testTxns (toDate "20221216"))
+             ,(getTxnAsOf testTxns (toDate "20221120"))
+            ]
+      ,testCase "weight Average Balance ' " $ 
+            assertEqual "Weight Average Balacne '"
+            14.74 $
+            weightAvgBalance' (toDate "20221101") (toDate "20230101") 
+              [BondTxn (toDate "20221115") 100 20 10 0.02 30 0 0 Nothing Empty
+              ,BondTxn (toDate "20221215") 50 50 10 0.02 30 0 0 Nothing Empty]
+      ,testCase "weight Average Balance 2 ' " $ 
+            assertEqual "Weight Average Balacne '"
+            12.03 $
+            weightAvgBalance' (toDate "20221110") (toDate "20230101")
+              [(BondTxn (toDate "20221115") 100 20 10 0.02 30 0 0 Nothing Empty)
+              ,(BondTxn (toDate "20221215") 50 50 10 0.02 30 0 0 Nothing Empty)]
+      ,testCase "weight Average Balance 3 ' " $ 
+            assertEqual "Weight Average Balacne '"
+            8.86 $
+            weightAvgBalance'  (toDate "20220101") (toDate "20220201")
+              [(BondTxn (toDate "20220115") 100 20 10 0.02 30 0 0 Nothing Empty) ]
     ]