Hastructure-0.45.0: test/UT/DealTest.hs
module UT.DealTest(td2,queryTests,triggerTests,dateTests,liqProviderTest,poolFlowTest)
where
import Test.Tasty
import Test.Tasty.HUnit
import Deal
import Deal.DealQuery (queryCompound)
import qualified Accounts as A
import qualified Stmt as Stmt
import qualified Pool as P
import qualified Asset as Ast
import qualified AssetClass.Mortgage as ACM
import qualified AssetClass.AssetBase as AB
import qualified Expense as F
import qualified Deal.DealBase as D
import qualified Liability as L
import qualified Waterfall as W
import qualified Cashflow as CF
import qualified Assumptions as AP
import qualified Call as C
import InterestRate
import qualified CreditEnhancement as CE
import qualified Triggers as Trg
import Lib
import Types
import Control.Lens hiding (Index,Empty)
import Control.Lens.TH
import Data.Maybe
import Data.Either
import qualified Data.Map as Map
import qualified Data.Time as T
import qualified Data.Set as S
import qualified Data.DList as DL
import Debug.Trace
debug = flip Debug.Trace.trace
dummySt = (0,toDate "19000101",Nothing)
emptyRunAssump = AP.NonPerfAssumption Nothing Nothing Nothing Nothing Nothing Nothing Nothing Nothing Nothing Nothing Nothing Nothing
td2 = D.TestDeal {
D.name = "test deal1"
,D.status = Amortizing
,D.rateSwap = Nothing
,D.currencySwap = Nothing
,D.dates = CurrentDates (toDate "20220101",toDate "20220101") Nothing (toDate "20300101")
(toDate "20220201" , MonthFirst) (toDate "20220225" , MonthFirst)
,D.accounts = (Map.fromList
[("General", (A.Account { A.accName="General" ,A.accBalance=1000.0 ,A.accType=Nothing, A.accInterest=Nothing ,A.accStmt=Nothing
})),
("Reserve", (A.Account { A.accName="Reserve" ,A.accBalance=0.0 ,A.accType=Just (A.FixReserve 500), A.accInterest=Nothing ,A.accStmt=Nothing
}))
])
,D.fees = (Map.fromList [("Service-Fee"
,F.Fee{F.feeName="service-fee"
,F.feeType = F.FixFee 10
,F.feeStart = (T.fromGregorian 2022 1 1)
,F.feeDue = 100
,F.feeDueDate = Nothing
,F.feeArrears = 0
,F.feeLastPaidDay = Nothing
,F.feeStmt = Nothing})])
,D.bonds = (Map.fromList [("A"
,L.Bond{
L.bndName="A"
,L.bndType=L.Sequential
,L.bndOriginInfo= L.OriginalInfo{
L.originBalance=3000
,L.originDate= (T.fromGregorian 2022 1 1)
,L.originRate= 0.08
,L.maturityDate = Nothing}
,L.bndInterestInfo= L.Fix 0.08 DC_ACT_365F
,L.bndBalance=3000
,L.bndRate=0.08
,L.bndDuePrin=0.0
,L.bndDueInt=0.0
,L.bndDueIntOverInt=0.0
,L.bndDueIntDate=Nothing
,L.bndLastIntPay = Just (T.fromGregorian 2022 1 1)
,L.bndLastPrinPay = Just (T.fromGregorian 2022 1 1)
,L.bndStmt=Nothing})
,("B"
,L.Bond{
L.bndName="B"
,L.bndType=L.Equity
,L.bndOriginInfo= L.OriginalInfo{
L.originBalance=3000
,L.originDate= (T.fromGregorian 2022 1 1)
,L.originRate= 0.08
,L.maturityDate = Nothing}
,L.bndInterestInfo= L.Fix 0.08 DC_ACT_365F
,L.bndBalance=500
,L.bndRate=0.08
,L.bndDuePrin=0.0
,L.bndDueInt=0.0
,L.bndDueIntDate=Nothing
,L.bndLastIntPay = Just (T.fromGregorian 2022 1 1)
,L.bndLastPrinPay = Just (T.fromGregorian 2022 1 1)
,L.bndStmt=Nothing})
]
)
,D.pool = D.MultiPool $
Map.fromList $
[( PoolConsol,
P.Pool {P.assets=[AB.Mortgage
AB.MortgageOriginalInfo{
AB.originBalance=4000
,AB.originRate=Fix DC_ACT_365F 0.085
,AB.originTerm=60
,AB.period=Monthly
,AB.startDate=(T.fromGregorian 2022 1 1)
,AB.prinType= AB.Level
,AB.prepaymentPenalty = Nothing}
4000
0.085
60
Nothing
AB.Current
,AB.Mortgage
AB.MortgageOriginalInfo{
AB.originBalance=4000
,AB.originRate=Fix DC_ACT_365F 0.085
,AB.originTerm=60
,AB.period=Monthly
,AB.startDate=(T.fromGregorian 2022 1 1)
,AB.prinType= AB.Level
,AB.prepaymentPenalty = Nothing}
200
0.085
60
Nothing
(AB.Defaulted Nothing)
]
,P.futureCf=Nothing
,P.asOfDate = T.fromGregorian 2022 1 1
,P.issuanceStat = Just $ Map.fromList [(RuntimeCurrentPoolBalance, 70)]}
)]
,D.waterfall = Map.fromList [(W.DistributionDay Amortizing, [
(W.PayFee Nothing "General" ["Service-Fee"] Nothing)
,(W.PayInt Nothing "General" ["A"] Nothing)
,(W.PayPrin Nothing "General" ["A"] Nothing)
])]
,D.collects = [W.Collect Nothing W.CollectedInterest "General"
,W.Collect Nothing W.CollectedPrincipal "General"]
,D.custom = Nothing
,D.liqProvider = Just $ Map.fromList $
[("Liq1",CE.LiqFacility
""
(CE.FixSupport 100)
50
(Just 100)
Nothing
Nothing
Nothing
Nothing
Nothing
Nothing
0
0
(toDate "20220201")
Nothing
(Just (Stmt.Statement (DL.fromList [SupportTxn (toDate "20220215") (Just 110) 10 40 0 0 Empty
,SupportTxn (toDate "20220315") (Just 100) 10 50 0 0 Empty]))))]
,D.triggers = Just $
Map.fromList $
[(BeginDistributionWF,
Map.fromList [ ("revolving trigger",Trg.Trigger{Trg.trgCondition = IfDate G (toDate "20220501")
,Trg.trgEffects = Trg.DealStatusTo Revolving
,Trg.trgStatus = False
,Trg.trgCurable = False })]
)]
,D.ledgers = Nothing
,D.stats = (Map.empty,Map.empty,Map.empty,Map.empty)
}
baseDeal = D.TestDeal {
D.name = "base deal"
,D.status = Amortizing
,D.rateSwap = Nothing
,D.stats = (Map.empty,Map.empty,Map.empty,Map.empty)
,D.currencySwap = Nothing
,D.dates = CurrentDates (toDate "20220101",toDate "20220101") Nothing (toDate "20300101")
(toDate "20220201" , MonthFirst) (toDate "20220225" , MonthFirst)
,D.accounts = Map.fromList [("General", A.Account { A.accName="General" ,A.accBalance=1000.0 ,A.accType=Nothing, A.accInterest=Nothing ,A.accStmt=Nothing})]
,D.fees = Map.empty
,D.bonds = (Map.fromList [("A"
,L.Bond{
L.bndName="A"
,L.bndType=L.Sequential
,L.bndOriginInfo= L.OriginalInfo{
L.originBalance=3000
,L.originDate= (T.fromGregorian 2022 1 1)
,L.originRate= 0.08
,L.maturityDate = Nothing}
,L.bndInterestInfo= L.Fix 0.08 DC_ACT_365F
,L.bndBalance=3000
,L.bndRate=0.08
,L.bndStepUp=Nothing
,L.bndDuePrin=0.0
,L.bndDueInt=0.0
,L.bndDueIntOverInt=0.0
,L.bndDueIntDate=Nothing
,L.bndLastIntPay = Just (T.fromGregorian 2022 1 1)
,L.bndLastPrinPay = Just (T.fromGregorian 2022 1 1)
,L.bndStmt=Nothing})
,("B"
,L.Bond{
L.bndName="B"
,L.bndType=L.Equity
,L.bndOriginInfo= L.OriginalInfo{
L.originBalance=3000
,L.originDate= (T.fromGregorian 2022 1 1)
,L.originRate= 0.08
,L.maturityDate = Nothing}
,L.bndInterestInfo= L.Fix 0.08 DC_ACT_365F
,L.bndBalance=500
,L.bndRate=0.08
,L.bndStepUp=Nothing
,L.bndDuePrin=0.0
,L.bndDueInt=0.0
,L.bndDueIntOverInt=0.0
,L.bndDueIntDate=Nothing
,L.bndLastIntPay = Just (T.fromGregorian 2022 1 1)
,L.bndLastPrinPay = Just (T.fromGregorian 2022 1 1)
,L.bndStmt=Nothing})
]
)
,D.pool = D.MultiPool $
Map.fromList $
[( PoolConsol,
P.Pool {P.assets=[AB.Mortgage
AB.MortgageOriginalInfo{
AB.originBalance=4000
,AB.originRate=Fix DC_ACT_365F 0.085
,AB.originTerm=60
,AB.period=Monthly
,AB.startDate=(T.fromGregorian 2022 1 1)
,AB.prinType= AB.Level
,AB.obligor = Nothing
,AB.prepaymentPenalty = Nothing}
4000
0.085
60
Nothing
AB.Current]
,P.futureCf= Nothing
,P.extendPeriods = Nothing
,P.asOfDate = T.fromGregorian 2022 1 1
,P.issuanceStat = Just $ Map.fromList [(RuntimeCurrentPoolBalance, 70),(IssuanceBalance, 4000)]})]
,D.waterfall = Map.fromList [(W.DistributionDay Amortizing, [
(W.PayInt Nothing "General" ["A"] Nothing)
,(W.PayPrin Nothing "General" ["A"] Nothing)
,(W.PayPrin Nothing "General" ["B"] Nothing)
])]
,D.collects = [W.Collect Nothing W.CollectedCash "General"]
,D.custom = Nothing
,D.liqProvider = Nothing
,D.triggers = Nothing
,D.ledgers = Nothing
,D.rateCap = Nothing
}
poolFlowTest =
let
(deal,mPoolCf,mResultComp,mPricing,oustandingFlow) = case (runDeal baseDeal S.empty Nothing emptyRunAssump) of
(Left er) -> error $ "Deal run failed"++ show er
(Right (a,b,c,d,e)) -> (a,b,c,d,e)
bndMap = D.viewBondsInMap deal
in
testGroup "pool cashflow test"
[
testCase "pool begin flow" $
assertEqual "pool size should be 60"
(Map.fromList [(PoolConsol ,60)])
(Map.map CF.sizeCashFlowFrame mPoolCf ) -- `debug` ("pool from test "++ show (mPoolCf))
,testCase "total principal bal" $
assertEqual "pool bal should equal to total collect"
(Map.fromList [(PoolConsol ,4000)])
(Map.map CF.totalPrincipal mPoolCf) -- `debug` ("pool "++ show (viewBond))
,testCase "last bond A payment date" $
assertEqual "pool bal should equal to total collect"
(Just (BondTxn (toDate "20240201") 0.00 0.00 30.56 0.080000 30.56 0.00 0.00 (Just 0.0) (PayPrin ["A"])))
$ (\s -> last (DL.toList (view Stmt.statementTxns s))) <$> (L.bndStmt $ (bndMap Map.! "A"))
]
queryTests = testGroup "deal stat query Tests"
[
let
currentDefBal = queryCompound td2 epocDate CurrentPoolDefaultedBalance
in
testCase "query current assets in defaulted status" $
assertEqual "should be 200" (Right 200) currentDefBal
]
triggerTests = testGroup "Trigger Tests"
[ let
setup = 0
poolflows = (CF.CashFlowFrame dummySt $
[CF.MortgageDelinqFlow (toDate "20220201") 800 100 20 0 0 0 0 0 0.08 Nothing Nothing Nothing
,CF.MortgageDelinqFlow (toDate "20220301") 700 100 20 0 0 0 0 0 0.08 Nothing Nothing Nothing
,CF.MortgageDelinqFlow (toDate "20220401") 600 100 20 0 0 0 0 0 0.08 Nothing Nothing Nothing
,CF.MortgageDelinqFlow (toDate "20220501") 500 100 20 0 0 0 0 0 0.08 Nothing Nothing Nothing
,CF.MortgageDelinqFlow (toDate "20220601") 400 100 20 0 0 0 0 0 0.08 Nothing Nothing Nothing
,CF.MortgageDelinqFlow (toDate "20220701") 300 100 20 0 0 0 0 0 0.08 Nothing Nothing Nothing
]
,Nothing)
poolflowM = Map.fromList [(PoolConsol, poolflows)]
ads = [PoolCollection (toDate "20220201") ""
,RunWaterfall (toDate "20220225") ""
,PoolCollection (toDate "20220301")""
,RunWaterfall (toDate "20220325") ""
,PoolCollection (toDate "20220401")""
,RunWaterfall (toDate "20220425") ""
,PoolCollection (toDate "20220501")""
,RunWaterfall (toDate "20220525") ""
,PoolCollection (toDate "20220601")""
,RunWaterfall (toDate "20220625") ""
,PoolCollection (toDate "20220701")""
,RunWaterfall (toDate "20220725") "" ]
(fdeal,_,_) = case run td2 poolflowM (Just ads) Nothing Nothing Nothing DL.empty of
Left _ -> error ""
Right x -> x
in
testCase "deal becomes revolving" $
assertEqual "revoving"
Revolving
(D.status fdeal)
]
dateTests =
let
a = PreClosingDates
(toDate "20220601")
(toDate "20220610")
Nothing
(toDate "20220901")
(toDate "20220630",MonthEnd)
(toDate "20220715",DayOfMonth 10)
in
testGroup "Deal Tests"
[ testCase "Dates pattern" $
assertEqual ""
(Right $
((toDate "20220601"), (toDate "20220610"),(toDate "20220715")
,[PoolCollection (toDate "20220630") "",PoolCollection (toDate "20220731") "",PoolCollection (toDate "20220831") ""]
,[RunWaterfall (toDate "20220715") "",RunWaterfall (toDate "20220810") ""]
,(toDate "20220901")
,[]))
(populateDealDates a Amortizing)
]
liqProviderTest =
let
liq1 = CE.LiqFacility ""
(CE.FixSupport 100)
90
(Just 100)
(Just CE.IncludeDueInt)
Nothing -- rate type
Nothing -- premium rate type
Nothing -- rate
Nothing -- premium reate
(Just (toDate "20220201"))
0
0
(toDate "20220301")
Nothing
(Just (Stmt.Statement
(DL.fromList ([SupportTxn (toDate "20220215") (Just 110) 40 40 0 0 Empty
,SupportTxn (toDate "20220315") (Just 100) 50 90 0 0 Empty
]))))
in
testGroup "Liq provider test"
[testCase "Liq Provider Int test" $
assertEqual ""
(Just 100)
(CE.liqCredit $ CE.accrueLiqProvider (toDate "20221101") liq1)
]