diff --git a/Hastructure.cabal b/Hastructure.cabal --- a/Hastructure.cabal +++ b/Hastructure.cabal @@ -5,7 +5,7 @@ -- see: https://github.com/sol/hpack name: Hastructure -version: 0.50.0 +version: 0.50.2 synopsis: Cashflow modeling library for structured finance description: Please see the README on GitHub at category: StructuredFinance,Securitisation,Cashflow @@ -76,19 +76,19 @@ src build-depends: Decimal >= 0.5.2 && < 0.6, - base >= 4.18.0 && < 4.21, - deepseq >= 1.5.1 && < 1.6, + base >= 4.18.0 && < 4.21.0, + deepseq >= 1.5.0 && < 1.6, MissingH >= 1.6.0 && < 1.7, - containers >= 0.6.8 && < 0.7, - template-haskell >= 2.20.0 && < 2.21.1.0, + containers >= 0.6.8 && < 0.7.1, + template-haskell >= 2.20.0 && < 2.22.1.0, bytestring >= 0.12.1 && < 0.13, - exceptions >= 0.10.7 && < 0.11, + -- exceptions >= 0.10.7 && < 0.11, mtl >= 2.3.1 && < 2.4, time >= 1.12.2 && < 1.13, text >= 2.1.1 && < 2.2, regex-base >= 0.94.0 && < 0.95, aeson >= 2.2.3 && < 2.3, - hashable >= 1.4.7 && < 1.5, + hashable >= 1.4.7 && < 1.5.1, dlist >= 1.0 && < 1.1, scientific >= 0.3.8 && < 0.4, vector >= 0.13.2 && < 0.14, @@ -98,7 +98,7 @@ attoparsec-aeson >= 2.2.2 && < 2.3, generic-lens >= 2.2.2 && < 2.3, http-types >= 0.12.4 && < 0.13, - ieee754 >= 0.8.0 && < 0.9, + -- ieee754 >= 0.8.0 && < 0.9, lens >= 5.2.3 && < 5.3.6, parallel >= 3.2.2 && < 3.3, math-functions >= 0.3.4 && < 0.4, @@ -106,7 +106,7 @@ numeric-limits >= 0.1.0 && < 0.2, openapi3 >= 3.2.4 && < 3.3, regex-pcre-builtin >= 0.95.2 && < 0.96, - regex-tdfa >= 1.3.2 && < 1.4, + -- regex-tdfa >= 1.3.2 && < 1.4, servant >= 0.20.2 && < 0.21, servant-openapi3 >= 2.0.1 && < 2.1, servant-server >= 0.20.2 && < 0.21, @@ -135,7 +135,7 @@ build-depends: Hastructure, Decimal, - base >= 4.18.0 && < 4.20, + base >= 4.18.0 && < 4.21.0, deepseq, MissingH, containers, @@ -157,7 +157,6 @@ attoparsec-aeson, generic-lens, http-types, - ieee754, lens, parallel, math-functions, @@ -165,7 +164,6 @@ numeric-limits, openapi3, regex-pcre-builtin, - regex-tdfa, servant, servant-openapi3, servant-server, @@ -216,7 +214,7 @@ build-depends: Hastructure, Decimal, - base >= 4.18.0 && < 4.20, + base >= 4.18.0 && < 4.21, deepseq, MissingH, containers, @@ -238,7 +236,6 @@ attoparsec-aeson, generic-lens, http-types, - ieee754, lens, parallel, math-functions, @@ -246,7 +243,6 @@ numeric-limits, openapi3, regex-pcre-builtin, - regex-tdfa, servant, servant-openapi3, servant-server, diff --git a/app/Main.hs b/app/Main.hs --- a/app/Main.hs +++ b/app/Main.hs @@ -104,7 +104,7 @@ version1 :: Version -version1 = Version "0.50.0" +version1 = Version "0.50.2" wrapRun :: [D.ExpectReturn] -> DealType -> Maybe AP.ApplyAssumptionType -> AP.NonPerfAssumption -> RunResp diff --git a/src/AssetClass/Loan.hs b/src/AssetClass/Loan.hs --- a/src/AssetClass/Loan.hs +++ b/src/AssetClass/Loan.hs @@ -32,20 +32,21 @@ import qualified Asset as A import Control.Lens hiding (element) import Control.Lens.TH +import qualified Data.DList as DL debug = flip trace -- instance Asset Loan where -projectLoanFlow :: ((Balance,Int,IRate), Balance, Date, AmortPlan, DayCount, IRate, Rational) -> (Dates, [DefaultRate],[PrepaymentRate],[IRate],[Int]) -> ([CF.TsRow],Rational) +projectLoanFlow :: ((Balance,Int,IRate), Balance, Date, AmortPlan, DayCount, IRate, Rational) -> (Dates, [DefaultRate],[PrepaymentRate],[IRate],[Int]) -> (DL.DList CF.TsRow, Balance, Date ,Rational) projectLoanFlow ((originBal,ot,or), startBal, lastPayDate, pt, dc,startRate, begFactor) (cfDates,defRates,ppyRates,rateVector,remainTerms) = let initRow = CF.LoanFlow lastPayDate startBal 0.0 0.0 0.0 0.0 0.0 0.0 startRate Nothing in foldl - (\(acc,factor) (pDate, ppyRate, defRate, intRate, rt) + (\(acc,begBal,lastPaidDate,factor) (pDate, ppyRate, defRate, intRate, rt) -> let - begBal = view CF.tsRowBalance (last acc) - lastPaidDate = getDate (last acc) + -- begBal = view CF.tsRowBalance (last acc) + -- lastPaidDate = getDate (last acc) newDefault = mulBR begBal defRate newPrepay = mulBR (begBal - newDefault) ppyRate intBal = begBal - newDefault - newPrepay @@ -72,9 +73,11 @@ _ -> error $ "failed to match Loan Project newPrin"++ show (rt,pt) endBal = intBal - newPrin in - (acc ++ [CF.LoanFlow pDate endBal newPrin newInt newPrepay newDefault 0.0 0.0 intRate Nothing] + (DL.snoc acc (CF.LoanFlow pDate endBal newPrin newInt newPrepay newDefault 0.0 0.0 intRate Nothing) + ,endBal + ,pDate ,newFactor)) - ([initRow],begFactor) + (DL.singleton initRow, startBal, lastPayDate, begFactor) (zip5 cfDates ppyRates defRates rateVector remainTerms) instance Asset Loan where @@ -146,8 +149,8 @@ in divideBB cb (scheduleBals!!(ot - rt)) _ -> 1.0 - let (txns,_) = projectLoanFlow ((ob,ot,getOriginRate pl), cb,lastPayDate,prinPayType,dc,cr,initFactor) (cfDates,defRates,ppyRates,rateVector,remainTerms) -- `debug` (" rateVector"++show rateVector) - let (futureTxns,historyM) = CF.cutoffTrs asOfDay (patchLossRecovery txns recoveryAssump) + let (txns,_,_,_) = projectLoanFlow ((ob,ot,getOriginRate pl), cb,lastPayDate,prinPayType,dc,cr,initFactor) (cfDates,defRates,ppyRates,rateVector,remainTerms) -- `debug` (" rateVector"++show rateVector) + let (futureTxns,historyM) = CF.cutoffTrs asOfDay (patchLossRecovery (DL.toList txns) recoveryAssump) let begBal = CF.buildBegBal futureTxns return $ (applyHaircut ams (CF.CashFlowFrame (begBal,asOfDay,Nothing) futureTxns), historyM) -- ^ Project cashflow for defautled loans diff --git a/src/AssetClass/ProjectedCashFlow.hs b/src/AssetClass/ProjectedCashFlow.hs --- a/src/AssetClass/ProjectedCashFlow.hs +++ b/src/AssetClass/ProjectedCashFlow.hs @@ -184,7 +184,7 @@ getOriginBal x = getCurrentBal x getOriginRate x = 0.0 - isDefaulted f = error "" + isDefaulted f = False getOriginDate f = error "" getOriginInfo f = error "" @@ -208,16 +208,10 @@ projCashflow f asOfDay (pAssump, _, _) mRates = do (fixedCashFlow, floatedCashFlow) <- seperateCashflows f (Just pAssump) mRates - return $ (foldl CF.combine fixedCashFlow floatedCashFlow, Map.empty) - --(fixedCashFlow, Map.empty) + return (foldl CF.combine fixedCashFlow floatedCashFlow, Map.empty) projCashflow a b c d = Left $ "Failed to match when proj projected flow with assumption >>" ++ show a ++ show b ++ show c ++ show d getBorrowerNum f = 0 splitWith f rs = [f] - --- instance IR.UseRate ProjectedCashflow where --- isAdjustbleRate _ = False --- getIndex _ = Nothing --- getIndexes _ = Nothing diff --git a/src/Deal.hs b/src/Deal.hs --- a/src/Deal.hs +++ b/src/Deal.hs @@ -62,7 +62,7 @@ import Data.Maybe import Data.Either import Data.Aeson hiding (json) -import qualified Data.Aeson.Encode.Pretty as Pretty +-- import qualified Data.Aeson.Encode.Pretty as Pretty import Language.Haskell.TH import Data.Aeson.TH import Data.Aeson.Types @@ -393,7 +393,7 @@ run :: Ast.Asset a => TestDeal a -> Map.Map PoolId CF.PoolCashflow -> Maybe [ActionOnDate] -> Maybe [RateAssumption] -> Maybe ([Pre],[Pre]) -> Maybe (Map.Map String (RevolvingPool,AP.ApplyAssumptionType)) -> DL.DList ResultComponent -> Either String (TestDeal a,DL.DList ResultComponent, Map.Map PoolId CF.PoolCashflow) -run t@TestDeal{status=(Ended endedDate)} pCfM ads _ _ _ log = return (t,DL.snoc log (EndRun (Just endedDate) "By Status:Ended"), pCfM) +run t@TestDeal{status=(Ended endedDate)} pCfM ads _ _ _ log = return (t,DL.snoc log (EndRun endedDate "By Status:Ended"), pCfM) run t pCfM (Just []) _ _ _ log = return (t,DL.snoc log (EndRun Nothing "No Actions"), pCfM) run t pCfM (Just [HitStatedMaturity d]) _ _ _ log = return (t, DL.snoc log (EndRun (Just d) "Stop: Stated Maturity"), pCfM) run t pCfM (Just (StopRunFlag d:_)) _ _ _ log = return (t, DL.snoc log (EndRun (Just d) "Stop Run Flag"), pCfM) @@ -702,7 +702,7 @@ L.payYield d intToPay bnd1) (bonds t) bondPricingResult - run t {bonds = depositBondFlow, status = Ended d} Map.empty (Just []) rates calls rAssump $ DL.snoc log (EndRun (Just d) "MakeWhole call") + run t {bonds = depositBondFlow, status = Ended (Just d)} Map.empty (Just []) rates calls rAssump $ DL.snoc log (EndRun (Just d) "MakeWhole call") FundBond d Nothing bName accName fundAmt -> let diff --git a/src/Deal/DealAction.hs b/src/Deal/DealAction.hs --- a/src/Deal/DealAction.hs +++ b/src/Deal/DealAction.hs @@ -55,7 +55,7 @@ import Data.Maybe import Data.Either import Data.Aeson hiding (json) -import qualified Data.Aeson.Encode.Pretty as Pretty +-- import qualified Data.Aeson.Encode.Pretty as Pretty import Language.Haskell.TH import Data.Aeson.TH import Data.Aeson.Types diff --git a/src/Deal/DealBase.hs b/src/Deal/DealBase.hs --- a/src/Deal/DealBase.hs +++ b/src/Deal/DealBase.hs @@ -48,7 +48,6 @@ import Data.Maybe import Data.Ratio import Data.Aeson hiding (json) -import qualified Data.Aeson.Encode.Pretty as Pretty import Language.Haskell.TH import Data.Aeson.TH import Data.Aeson.Types diff --git a/src/Deal/DealMod.hs b/src/Deal/DealMod.hs --- a/src/Deal/DealMod.hs +++ b/src/Deal/DealMod.hs @@ -48,7 +48,7 @@ import Data.Maybe import Data.Ratio import Data.Aeson hiding (json) -import qualified Data.Aeson.Encode.Pretty as Pretty +-- import qualified Data.Aeson.Encode.Pretty as Pretty import Language.Haskell.TH import Data.Aeson.TH import Data.Aeson.Types diff --git a/src/Lib.hs b/src/Lib.hs --- a/src/Lib.hs +++ b/src/Lib.hs @@ -27,7 +27,7 @@ import Data.Aeson.TH import Data.Aeson.Types import Data.Aeson hiding (json) -import Text.Regex.TDFA +-- import Text.Regex.TDFA import Data.Fixed (Fixed(..), HasResolution,Centi, resolution) import Data.Ratio import Types diff --git a/src/Types.hs b/src/Types.hs --- a/src/Types.hs +++ b/src/Types.hs @@ -487,7 +487,7 @@ | PreClosing DealStatus -- ^ Deal is not closed, but has a closing date | Warehousing (Maybe DealStatus) -- ^ Deal is not closed, but closing date is not determined yet | Called -- ^ Deal is called - | Ended Date -- ^ Deal is marked as closed + | Ended (Maybe Date) -- ^ Deal is marked as closed deriving (Show,Ord,Eq,Read, Generic) -- ^ pricing methods for assets