Refactor weighted average formula (#193)

* expose WA formula
* bump version to-> < 0.28.15 >

ChangeLog.md

@@ -1,7 +1,26 @@
 # Changelog for Hastructure
 
-## 0.28.3
-### TODO
+## 0.28.15
+### 2024-7-31
+* FIX: enable compound formula on `weighted average` formula.
+
+
+## 0.28.14
+### 2024-07-06
+* FIX: enable `annualized rate fee type` with formula `bondbalance` on `bondGroup`
+
+## 0.28.13
+###  2024-06-30
+* NEW: new assumption `issue bond` which allow funding by issuing new bonds during cashflow projection.
+* NEW: new asset class `projectScheduleFlow` which can be divided projected cashflow with fix portion and float portions. The interest from the float portion will be affected by interest rate assumption.
+* ENHANCE: enable formula `bondRate`/`bondWaRate` on `bondGroup`
+* FIX: `formula` will return `inf` if a `divide` with zero instead of just throw exception
+* FIX: `financial reports` was failing because it can't access to `interest due` on bond group.
+* FIX: enable formula query on `bond groups` 
+
+
+## 0.28.8
+### 2024-06
 * FIX: `limit` on `payFee` was not working with `duePct`
 * ENHANCE: expose `transaction statement` for `triggers`
 

Hastructure.cabal

@@ -1,6 +1,6 @@
 cabal-version: 1.12
 
--- This file has been generated from package.yaml by hpack version 0.35.2.
+-- This file has been generated from package.yaml by hpack version 0.36.0.
 --
 -- see: https://github.com/sol/hpack
 
@@ -37,6 +37,7 @@ library
       AssetClass.Loan
       AssetClass.MixedAsset
       AssetClass.Mortgage
+      AssetClass.ProjectedCashFlow
       AssetClass.Receivable
       Assumptions
       Call
@@ -63,6 +64,7 @@ library
       Triggers
       Types
       Util
+      Validation
       Waterfall
   other-modules:
       Paths_Hastructure
@@ -76,6 +78,7 @@ library
     , containers
     , hashable
     , lens
+    , numeric-limits
     , openapi3
     , regex-base
     , regex-pcre-builtin
@@ -115,6 +118,7 @@ executable Hastructure-exe
     , lens
     , lucid
     , mtl
+    , numeric-limits
     , openapi3
     , regex-base
     , regex-pcre-builtin
@@ -173,6 +177,7 @@ test-suite Hastructure-test
     , containers
     , hashable
     , lens
+    , numeric-limits
     , openapi3
     , regex-base
     , regex-pcre-builtin

app/Main.hs

@@ -67,6 +67,7 @@ import qualified AssetClass.Installment
 import qualified AssetClass.Mortgage 
 import qualified AssetClass.Loan 
 import qualified AssetClass.Lease 
+import qualified AssetClass.ProjectedCashFlow
 import qualified AssetClass.MixedAsset as MA
 import qualified AssetClass.AssetBase as AB 
 import qualified Assumptions as AP
@@ -102,16 +103,17 @@ $(deriveJSON defaultOptions ''Version)
 instance ToSchema Version
 
 version1 :: Version 
-version1 = Version "0.28.6"
+version1 = Version "0.28.15"
 
 
 data DealType = MDeal (DB.TestDeal AB.Mortgage)
               | LDeal (DB.TestDeal AB.Loan)
               | IDeal (DB.TestDeal AB.Installment) 
               | RDeal (DB.TestDeal AB.Lease) 
               | FDeal (DB.TestDeal AB.FixedAsset) 
-              | VDeal (DB.TestDeal AB.Receivable) 
-              | UDeal (DB.TestDeal AB.AssetUnion) 
+              | VDeal (DB.TestDeal AB.Receivable)
+              | PDeal (DB.TestDeal AB.ProjectedCashflow) 
+              | UDeal (DB.TestDeal AB.AssetUnion)
               deriving(Show, Generic)
 
 instance ToSchema CF.CashFlowFrame
@@ -122,6 +124,7 @@ instance ToSchema AB.LeaseStepUp
 instance ToSchema AB.Lease
 instance ToSchema AB.FixedAsset
 instance ToSchema AB.Receivable
+instance ToSchema AB.ProjectedCashflow
 instance ToSchema CutoffFields
 instance ToSchema (P.Pool AB.Mortgage)
 instance ToSchema (P.Pool AB.Loan)
@@ -130,12 +133,13 @@ instance ToSchema (P.Pool AB.Lease)
 instance ToSchema (P.Pool AB.FixedAsset)
 instance ToSchema (P.Pool AB.Receivable)
 instance ToSchema (P.Pool AB.AssetUnion)
+instance ToSchema (P.Pool AB.ProjectedCashflow)
 instance ToSchema AB.AssetUnion
 instance ToSchema PoolId
 instance ToSchema DealStatus
 instance ToSchema DateType
-instance ToSchema DateDesp
-instance ToSchema ActionOnDate
+instance ToSchema DB.DateDesp
+instance ToSchema DB.ActionOnDate
 instance ToSchema DealStats
 instance ToSchema Cmp
 instance ToSchema PricingMethod
@@ -181,7 +185,7 @@ instance ToSchema CE.LiqDrawType
 instance ToSchema CustomDataType
 instance ToSchema TRG.Trigger
 instance ToSchema TRG.TriggerEffect
-instance ToSchema OverrideType
+instance ToSchema DB.OverrideType
 instance ToSchema Types.BalanceSheetReport
 instance ToSchema Types.CashflowReport
 instance ToSchema Types.BookItem
@@ -191,6 +195,7 @@ instance ToSchema AB.AssociateExp
 instance ToSchema AB.AssociateIncome
 instance ToSchema RV.RevolvingPool
 instance ToSchema (TsPoint [AB.AssetUnion])
+instance ToSchema (TsPoint AP.IssueBondEvent)
 instance ToSchema AP.NonPerfAssumption
 instance ToSchema AP.BondPricingInput
 instance ToSchema AP.RevolvingAssumption
@@ -214,6 +219,7 @@ instance ToSchema (DB.TestDeal AB.Loan)
 instance ToSchema (DB.TestDeal AB.Installment)
 instance ToSchema (DB.TestDeal AB.Lease)
 instance ToSchema (DB.TestDeal AB.Receivable)
+instance ToSchema (DB.TestDeal AB.ProjectedCashflow)
 instance ToSchema (DB.TestDeal AB.AssetUnion)
 instance ToSchema (DB.TestDeal AB.FixedAsset)
 
@@ -223,6 +229,7 @@ instance ToSchema (DB.PoolType AB.Installment)
 instance ToSchema (DB.PoolType AB.Lease)
 instance ToSchema (DB.PoolType AB.FixedAsset)
 instance ToSchema (DB.PoolType AB.Receivable)
+instance ToSchema (DB.PoolType AB.ProjectedCashflow)
 instance ToSchema (DB.PoolType AB.AssetUnion)
 
 instance ToSchema (DB.UnderlyingDeal AB.Mortgage)
@@ -231,6 +238,7 @@ instance ToSchema (DB.UnderlyingDeal AB.Installment)
 instance ToSchema (DB.UnderlyingDeal AB.Lease)
 instance ToSchema (DB.UnderlyingDeal AB.FixedAsset)
 instance ToSchema (DB.UnderlyingDeal AB.Receivable)
+instance ToSchema (DB.UnderlyingDeal AB.ProjectedCashflow)
 instance ToSchema (DB.UnderlyingDeal AB.AssetUnion)
 
 instance ToSchema ResultComponent
@@ -268,6 +276,11 @@ wrapRun (VDeal d) mAssump mNonPerfAssump = let
                                        (_d,_pflow,_rs,_p) = D.runDeal d D.DealPoolFlowPricing mAssump mNonPerfAssump
                                      in 
                                        (VDeal _d,_pflow,_rs,_p)                                       
+wrapRun (PDeal d) mAssump mNonPerfAssump = let 
+                                       (_d,_pflow,_rs,_p) = D.runDeal d D.DealPoolFlowPricing mAssump mNonPerfAssump
+                                     in 
+                                       (PDeal _d,_pflow,_rs,_p)
+
 wrapRun x _ _ = error $ "RunDeal Failed ,due to unsupport deal type "++ show x
 
 
@@ -277,6 +290,7 @@ data PoolTypeWrap = LPool (DB.PoolType AB.Loan)
                   | RPool (DB.PoolType AB.Lease)
                   | FPool (DB.PoolType AB.FixedAsset)
                   | VPool (DB.PoolType AB.Receivable)
+                  | PPool (DB.PoolType AB.ProjectedCashflow)
                   | UPool (DB.PoolType AB.AssetUnion)
                   deriving(Show, Generic)
 
@@ -293,6 +307,7 @@ wrapRunPoolType (IPool pt) assump mRates = D.runPoolType pt assump $ Just (AP.No
 wrapRunPoolType (RPool pt) assump mRates = D.runPoolType pt assump $ Just (AP.NonPerfAssumption{AP.interest = mRates})
 wrapRunPoolType (FPool pt) assump mRates = D.runPoolType pt assump $ Just (AP.NonPerfAssumption{AP.interest = mRates})
 wrapRunPoolType (VPool pt) assump mRates = D.runPoolType pt assump $ Just (AP.NonPerfAssumption{AP.interest = mRates})
+wrapRunPoolType (PPool pt) assump mRates = D.runPoolType pt assump $ Just (AP.NonPerfAssumption{AP.interest = mRates})
 wrapRunPoolType (UPool pt) assump mRates = D.runPoolType pt assump $ Just (AP.NonPerfAssumption{AP.interest = mRates})
 wrapRunPoolType x _ _ = error $ "RunPool Failed ,due to unsupport pool type "++ show x
 

package.yaml

@@ -42,6 +42,7 @@ dependencies:
 - swagger2
 - split
 - tabular
+- numeric-limits
 
 library:
   source-dirs: 

src/Accounts.hs

@@ -126,7 +126,7 @@ deposit :: Amount -> Date -> TxnComment -> Account -> Account
 deposit amount d source acc@(Account bal _ _ _ maybeStmt)  =
     acc {accBalance = newBal, accStmt = newStmt}
   where
-    newBal = bal + amount
+    newBal = bal + amount -- `debug` ("Date:"++show d++ "deposit"++show amount++"from"++show bal)
     newStmt = appendStmt maybeStmt (AccTxn d newBal amount source)
 
 -- | draw cash from account with a comment

src/Asset.hs

@@ -77,7 +77,7 @@ class (Show a,IR.UseRate a) => Asset a where
   splitWith :: a -> [Rate] -> [a]
   -- | ! Change the origination date of an asset
   updateOriginDate :: a -> Date -> a
-  -- | get Last Interest Payment date
+  -- | Get Last Interest Payment date
   getLastInterestPaymentDate :: a -> Maybe Date
   -- | Calculate Accrued Interest 
   calcAccruedInterest :: a -> Date -> Balance
@@ -96,12 +96,6 @@ class (Show a,IR.UseRate a) => Asset a where
 
 
 
-
-
-
-
-
-
 -- | apply ExtraStress on prepayment/default rates
 applyExtraStress :: Maybe A.ExtraStress -> [Date] -> [Rate] -> [Rate] -> ([Rate],[Rate])
 applyExtraStress Nothing _ ppy def = (ppy,def)

src/AssetClass/AssetBase.hs

@@ -9,6 +9,7 @@ module AssetClass.AssetBase
   ,LeaseStepUp(..),AccrualPeriod(..),PrepayPenaltyType(..)
   ,AmortPlan(..),Loan(..),Mortgage(..),AssetUnion(..),MixedAsset(..),FixedAsset(..)
   ,AmortRule(..),Capacity(..),AssociateExp(..),AssociateIncome(..),ReceivableFeeType(..),Receivable(..)
+  ,ProjectedCashflow(..)
   ,calcAssetPrinInt, calcPmt
   )
   where
@@ -171,6 +172,16 @@ data Mortgage = Mortgage OriginalInfo Balance IRate RemainTerms (Maybe BorrowerN
               | ScheduleMortgageFlow Date [CF.TsRow] DatePattern
               deriving (Show,Generic,Eq,Ord)
 
+
+type FixRatePortion   = (Rate, IRate)
+type FloatRatePortion = (Rate, Spread, Index)
+
+
+data ProjectedCashflow = ProjectedFlowFixed CF.CashFlowFrame DatePattern
+                       | ProjectedFlowMixFloater CF.CashFlowFrame DatePattern FixRatePortion [FloatRatePortion]
+                       deriving (Show,Generic,Eq,Ord)
+
+
 data Receivable = Invoice OriginalInfo Status
                 | DUMMY4
                 deriving (Show,Generic,Eq,Ord)
@@ -212,6 +223,7 @@ data AssetUnion = MO Mortgage
                 | LS Lease
                 | FA FixedAsset
                 | RE Receivable
+                | PF ProjectedCashflow
                 deriving (Show, Generic,Ord,Eq)
 
 instance IR.UseRate AssetUnion where
@@ -221,6 +233,7 @@ instance IR.UseRate AssetUnion where
   getIndex (LS ma) = IR.getIndex ma
   getIndex (FA ma) = IR.getIndex ma
   getIndex (RE ma) = IR.getIndex ma
+  getIndex (PF ma) = IR.getIndex ma
 
 
 instance IR.UseRate Mortgage where 
@@ -247,36 +260,31 @@ instance IR.UseRate FixedAsset where
 instance IR.UseRate Receivable where
   getIndex _ = Nothing
 
+instance IR.UseRate ProjectedCashflow where 
+  getIndex (ProjectedFlowFixed cf _) = Nothing  
+
+  getIndex (ProjectedFlowMixFloater cf _ _ (f:fs)) = Just $ (\(a,b,c) -> c) f 
+  getIndexes (ProjectedFlowMixFloater cf _ _ fs ) 
+    = Just $ (\(a,b,c) -> c) <$> fs
 
 
 $(concat <$> traverse (deriveJSON defaultOptions) [''OriginalInfo, ''FixedAsset, ''AmortPlan, ''PrepayPenaltyType
     , ''Capacity, ''AmortRule, ''ReceivableFeeType])
 
 
--- $(deriveJSON defaultOptions ''AmortRule)
--- $(deriveJSON defaultOptions ''Capacity)
 $(deriveJSON defaultOptions ''AssociateExp)
 $(deriveJSON defaultOptions ''AssociateIncome)
--- $(deriveJSON defaultOptions ''FixedAsset)
 $(deriveJSON defaultOptions ''Status)
--- $(deriveJSON defaultOptions ''AmortPlan)
--- $(deriveJSON defaultOptions ''ReceivableFeeType)
--- $(deriveJSON defaultOptions ''OriginalInfo)
 $(deriveJSON defaultOptions ''Installment)
 $(deriveJSON defaultOptions ''LeaseStepUp)
 $(deriveJSON defaultOptions ''Mortgage)
 $(deriveJSON defaultOptions ''Loan)
 $(deriveJSON defaultOptions ''Lease)
 $(deriveJSON defaultOptions ''Receivable)
+$(deriveJSON defaultOptions ''ProjectedCashflow)
 $(deriveJSON defaultOptions ''AssetUnion)
--- $(deriveJSON defaultOptions ''PrepayPenaltyType)
-
-
--- instance ToSchema TsPoint
--- instance ToSchema (Ratio Integer)
 instance ToSchema Capacity
 instance ToSchema AmortRule
--- instance ToSchema (Ratio Integer) 
 instance ToSchema (Ratio Integer) where 
   declareNamedSchema _ = NamedSchema Nothing <$> declareSchema (Proxy :: Proxy Double)
 
@@ -295,7 +303,6 @@ instance ToSchema Direction
 instance ToSchema AmortPlan
 instance ToSchema DatePattern
 instance ToSchema IR.RateType
--- instance ToSchema (IR.RoundingBy IR.RateType)
 instance ToSchema CF.TsRow
 instance ToSchema Period
 instance ToSchema IR.ARM

src/AssetClass/MixedAsset.hs

@@ -34,6 +34,7 @@ import AssetClass.Installment
 import AssetClass.Receivable
 import AssetClass.AssetCashflow
 import AssetClass.FixedAsset
+import AssetClass.ProjectedCashFlow
 
 import Debug.Trace
 import Assumptions (AssetDefaultAssumption(DefaultCDR))
@@ -165,6 +166,7 @@ calcAssetUnion (ACM.IL ast) d mRates = P.calcCashflow ast d mRates
 calcAssetUnion (ACM.LS ast) d mRates = P.calcCashflow ast d mRates
 calcAssetUnion (ACM.FA ast) d mRates = P.calcCashflow ast d mRates
 calcAssetUnion (ACM.RE ast) d mRates = P.calcCashflow ast d mRates
+calcAssetUnion (ACM.PF ast) d mRates = P.calcCashflow ast d mRates
 calcAssetUnion x _ _ = error ("Failed to match  proj AssetUnion"++ show x)
 
 projAssetUnion :: ACM.AssetUnion -> Date -> A.AssetPerf -> Maybe [RateAssumption] -> (CF.CashFlowFrame, Map.Map CutoffFields Balance)
@@ -174,6 +176,7 @@ projAssetUnion (ACM.IL ast) d assumps mRates = P.projCashflow ast d assumps mRat
 projAssetUnion (ACM.LS ast) d assumps mRates = P.projCashflow ast d assumps mRates
 projAssetUnion (ACM.FA ast) d assumps mRates = P.projCashflow ast d assumps mRates
 projAssetUnion (ACM.RE ast) d assumps mRates = P.projCashflow ast d assumps mRates
+projAssetUnion (ACM.PF ast) d assumps mRates = P.projCashflow ast d assumps mRates
 projAssetUnion x _ _ _ = error ("Failed to match  proj AssetUnion"++ show x)
 
 projAssetUnionList :: [ACM.AssetUnion] -> Date -> A.ApplyAssumptionType -> Maybe [RateAssumption] -> (CF.CashFlowFrame, Map.Map CutoffFields Balance)