Safe Haskell	None
Language	Haskell2010

Liability

Synopsis

data Bond
- = Bond {
  - bndName :: String
  - bndType :: BondType
  - bndOriginInfo :: OriginalInfo
  - bndInterestInfo :: InterestInfo
  - bndStepUp :: Maybe StepUp
  - bndBalance :: Balance
  - bndRate :: IRate
  - bndDuePrin :: Balance
  - bndDueInt :: Balance
  - bndDueIntOverInt :: Balance
  - bndDueIntDate :: Maybe Date
  - bndLastIntPay :: Maybe Date
  - bndLastPrinPay :: Maybe Date
  - bndStmt :: Maybe Statement
  }
- | MultiIntBond {
  - bndName :: String
  - bndType :: BondType
  - bndOriginInfo :: OriginalInfo
  - bndInterestInfos :: [InterestInfo]
  - bndStepUps :: Maybe [StepUp]
  - bndBalance :: Balance
  - bndRates :: [IRate]
  - bndDuePrin :: Balance
  - bndDueInts :: [Balance]
  - bndDueIntOverInts :: [Balance]
  - bndDueIntDate :: Maybe Date
  - bndLastIntPays :: Maybe [Date]
  - bndLastPrinPay :: Maybe Date
  - bndStmt :: Maybe Statement
  }
- | BondGroup (Map String Bond) (Maybe BondType)
data BondType
- = Sequential
- | PAC PlannedAmorSchedule
- | AmtByPeriod (PerCurve Balance)
- | PacAnchor PlannedAmorSchedule [BondName]
- | Lockout Date
- | IO
- | Z
- | Equity
data OriginalInfo = OriginalInfo {
- originBalance :: Balance
- originDate :: Date
- originRate :: Rate
- maturityDate :: Maybe Date
}
payInt :: Date -> Amount -> Bond -> Bond
payPrin :: Date -> Amount -> Bond -> Bond
consolStmt :: Bond -> Bond
isPaidOff :: Liable lb => lb -> Bool
getCurBalance :: Liable lb => lb -> Balance
priceBond :: Date -> Ts -> Bond -> PriceResult
pv :: Ts -> Date -> Date -> Amount -> Amount
data InterestInfo
- = Floater IRate Index Spread RateReset DayCount (Maybe Floor) (Maybe Cap)
- | Fix IRate DayCount
- | RefBal DealStats InterestInfo
- | RefRate IRate DealStats Float RateReset
- | CapRate InterestInfo IRate
- | FloorRate InterestInfo IRate
- | WithIoI InterestInfo InterestOverInterestType
type RateReset = DatePattern
getDueInt :: Liable lb => lb -> Balance
weightAverageBalance :: Date -> Date -> Bond -> Balance
calcZspread :: (Rational, Date) -> Bond -> Ts -> Either String Spread
payYield :: Date -> Amount -> Bond -> Bond
getTotalDueInt :: Liable lb => lb -> Balance
buildRateResetDates :: Bond -> StartDate -> EndDate -> [Date]
isAdjustble :: InterestInfo -> Bool
data StepUp
- = PassDateSpread Date Spread
- | PassDateLadderSpread Date Spread RateReset
isStepUp :: Bond -> Bool
getDayCountFromInfo :: InterestInfo -> Maybe DayCount
calcWalBond :: Date -> Bond -> Rational
patchBondFactor :: Bond -> Bond
fundWith :: Date -> Amount -> Bond -> Bond
writeOff :: Date -> Amount -> Bond -> Either String Bond
data InterestOverInterestType
- = OverCurrRateBy Rational
- | OverFixSpread Spread
getCurBalance :: Liable lb => lb -> Balance
setBondOrigDate :: Date -> Bond -> Bond
bndOriginInfoLens :: Traversal' Bond OriginalInfo
bndIntLens :: Traversal' Bond InterestInfo
getBeginRate :: InterestInfo -> IRate
_Bond :: Prism' Bond (String, BondType, OriginalInfo, InterestInfo, Maybe StepUp, Balance, IRate, Balance, Balance, Balance, Maybe Date, Maybe Date, Maybe Date, Maybe Statement)
_BondGroup :: Prism' Bond (Map String Bond, Maybe BondType)
totalFundedBalance :: Bond -> Balance
getIndexFromInfo :: InterestInfo -> Maybe [Index]
buildStepUpDates :: Bond -> StartDate -> EndDate -> [Date]
accrueInt :: Date -> Bond -> Bond
stepUpInterestInfo :: StepUp -> InterestInfo -> InterestInfo
payIntByIndex :: Date -> Int -> Amount -> Bond -> Bond
_MultiIntBond :: Prism' Bond (String, BondType, OriginalInfo, [InterestInfo], Maybe [StepUp], Balance, [IRate], Balance, [Balance], [Balance], Maybe Date, Maybe [Date], Maybe Date, Maybe Statement)
getDueIntAt :: Liable lb => lb -> Int -> Balance
getDueIntOverIntAt :: Liable lb => lb -> Int -> Balance
getDueIntOverInt :: Liable lb => lb -> Balance
getTotalDueIntAt :: Liable lb => lb -> Int -> Balance
getCurRate :: Liable lb => lb -> IRate
bondCashflow :: Bond -> ([Date], [Amount])
getOutstandingAmount :: Liable lb => lb -> Balance
valueBond :: BondPricingMethod -> Date -> [(Date, Balance)] -> Balance
getTxnRate :: Txn -> IRate
getAccrueBegDate :: Liable lb => lb -> Date
getTxnInt :: Txn -> Amount
adjInterestInfoByRate :: Rate -> InterestInfo -> InterestInfo
adjInterestInfoBySpread :: Spread -> InterestInfo -> InterestInfo
interestInfoTraversal :: Traversal' Bond InterestInfo
getOriginBalance :: Liable lb => lb -> Balance
curRatesTraversal :: Traversal' Bond IRate
backoutAccruedInt :: Date -> Date -> [Txn] -> Amount
extractIrrResult :: PriceResult -> Maybe IRR
adjustBalance :: Balance -> Bond -> Bond

Documentation

data Bond Source #

Constructors

Bond
Fields bndName :: String bndType :: BondType bond type ,which describe the how principal due was calculated bndOriginInfo :: OriginalInfo fact data on origination bndInterestInfo :: InterestInfo interest info which used to update interest rate bndStepUp :: Maybe StepUp step up which update interest rate status bndBalance :: Balance current balance bndRate :: IRate current rate bndDuePrin :: Balance principal due for current period bndDueInt :: Balance interest due bndDueIntOverInt :: Balance IoI bndDueIntDate :: Maybe Date last interest due calc date bndLastIntPay :: Maybe Date last interest pay date bndLastPrinPay :: Maybe Date last principal pay date bndStmt :: Maybe Statement transaction history
MultiIntBond
Fields bndName :: String bndType :: BondType bond type ,which describe the how principal due was calculated bndOriginInfo :: OriginalInfo fact data on origination bndInterestInfos :: [InterestInfo] interest info which used to update interest rate bndStepUps :: Maybe [StepUp] step up which update interest rate status bndBalance :: Balance current balance bndRates :: [IRate] current rate bndDuePrin :: Balance principal due for current period bndDueInts :: [Balance] interest due bndDueIntOverInts :: [Balance] IoI bndDueIntDate :: Maybe Date last interest due calc date bndLastIntPays :: Maybe [Date] last interest pay date bndLastPrinPay :: Maybe Date last principal pay date bndStmt :: Maybe Statement transaction history
BondGroup (Map String Bond) (Maybe BondType)	bond group

Instances

Instances details

UseRate Bond Source #

Instance details

Defined in Liability

Methods

isAdjustbleRate :: Bond -> Bool Source #

getIndex :: Bond -> Maybe Index Source #

getIndexes :: Bond -> Maybe [Index] Source #

getResetDates :: Bond -> Dates Source #

getSpread :: Bond -> Maybe Spread Source #

HasStmt Bond Source #

Instance details

Defined in Liability

Methods

getAllTxns :: Bond -> [Txn] Source #

hasEmptyTxn :: Bond -> Bool Source #

QueryByComment Bond Source #

Instance details

Defined in Liability

Methods

queryStmt :: Bond -> TxnComment -> [Txn] Source #

queryStmtAsOf :: Bond -> Date -> TxnComment -> [Txn] Source #

queryTxnAmt :: Bond -> TxnComment -> Balance Source #

queryTxnAmtAsOf :: Bond -> Date -> TxnComment -> Balance Source #

Liable Bond Source #

Instance details

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Methods

isPaidOff :: Bond -> Bool Source #

getCurBalance :: Bond -> Balance Source #

getCurRate :: Bond -> IRate Source #

getOriginBalance :: Bond -> Balance Source #

getOriginDate :: Bond -> Date Source #

getAccrueBegDate :: Bond -> Date Source #

getDueInt :: Bond -> Balance Source #

getDueIntAt :: Bond -> Int -> Balance Source #

getDueIntOverInt :: Bond -> Balance Source #

getDueIntOverIntAt :: Bond -> Int -> Balance Source #

getTotalDueInt :: Bond -> Balance Source #

getTotalDueIntAt :: Bond -> Int -> Balance Source #

getOutstandingAmount :: Bond -> Balance Source #

FromJSON Bond Source #

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Methods

parseJSON :: Value -> Parser Bond #

parseJSONList :: Value -> Parser [Bond] #

omittedField :: Maybe Bond #

ToJSON Bond Source #

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Methods

toJSON :: Bond -> Value #

toEncoding :: Bond -> Encoding #

toJSONList :: [Bond] -> Value #

toEncodingList :: [Bond] -> Encoding #

omitField :: Bond -> Bool #

Generic Bond Source #

Instance details

Defined in Liability

Associated Types

type Rep Bond

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Methods

from :: Bond -> Rep Bond x #

to :: Rep Bond x -> Bond #

Read Bond Source #

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Methods

readsPrec :: Int -> ReadS Bond #

readList :: ReadS [Bond] #

readPrec :: ReadPrec Bond #

readListPrec :: ReadPrec [Bond] #

Show Bond Source #

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Methods

showsPrec :: Int -> Bond -> ShowS #

show :: Bond -> String #

showList :: [Bond] -> ShowS #

Eq Bond Source #

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Methods

(==) :: Bond -> Bond -> Bool #

(/=) :: Bond -> Bond -> Bool #

Ord Bond Source #

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Methods

compare :: Bond -> Bond -> Ordering #

(<) :: Bond -> Bond -> Bool #

(<=) :: Bond -> Bond -> Bool #

(>) :: Bond -> Bond -> Bool #

(>=) :: Bond -> Bond -> Bool #

max :: Bond -> Bond -> Bond #

min :: Bond -> Bond -> Bond #

type Rep Bond Source #

Instance details

Defined in Liability

data BondType Source #

Constructors

Sequential	Pass through type tranche
PAC PlannedAmorSchedule	bond with schedule amortization
AmtByPeriod (PerCurve Balance)	principal due by period
PacAnchor PlannedAmorSchedule [BondName]	pay till schdule balance if bonds from bond names has oustanding balance, if other bonds are paid off ,then pay oustanding balance
Lockout Date	No principal due till date
IO
Z	Z tranche
Equity	Equity type tranche

Instances

Instances details

FromJSON BondType Source #

Instance details

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Methods

parseJSON :: Value -> Parser BondType #

parseJSONList :: Value -> Parser [BondType] #

omittedField :: Maybe BondType #

ToJSON BondType Source #

Instance details

Defined in Liability

Methods

toJSON :: BondType -> Value #

toEncoding :: BondType -> Encoding #

toJSONList :: [BondType] -> Value #

toEncodingList :: [BondType] -> Encoding #

omitField :: BondType -> Bool #

Generic BondType Source #

Instance details

Defined in Liability

Associated Types

type Rep BondType
Instance details Defined in Liability type Rep BondType

Methods

from :: BondType -> Rep BondType x #

to :: Rep BondType x -> BondType #

Read BondType Source #

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Methods

readsPrec :: Int -> ReadS BondType #

readList :: ReadS [BondType] #

readPrec :: ReadPrec BondType #

readListPrec :: ReadPrec [BondType] #

Show BondType Source #

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Methods

showsPrec :: Int -> BondType -> ShowS #

show :: BondType -> String #

showList :: [BondType] -> ShowS #

Eq BondType Source #

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Methods

(==) :: BondType -> BondType -> Bool #

(/=) :: BondType -> BondType -> Bool #

Ord BondType Source #

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Methods

compare :: BondType -> BondType -> Ordering #

(<) :: BondType -> BondType -> Bool #

(<=) :: BondType -> BondType -> Bool #

(>) :: BondType -> BondType -> Bool #

(>=) :: BondType -> BondType -> Bool #

max :: BondType -> BondType -> BondType #

min :: BondType -> BondType -> BondType #

type Rep BondType Source #

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type Rep BondType

data OriginalInfo Source #

Constructors

OriginalInfo
Fields originBalance :: Balance issuance balance originDate :: Date issuance date originRate :: Rate issuance rate of the bond maturityDate :: Maybe Date optional maturity date

Instances

Instances details

FromJSON OriginalInfo Source #

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Methods

parseJSON :: Value -> Parser OriginalInfo #

parseJSONList :: Value -> Parser [OriginalInfo] #

omittedField :: Maybe OriginalInfo #

ToJSON OriginalInfo Source #

Instance details

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Methods

toJSON :: OriginalInfo -> Value #

toEncoding :: OriginalInfo -> Encoding #

toJSONList :: [OriginalInfo] -> Value #

toEncodingList :: [OriginalInfo] -> Encoding #

omitField :: OriginalInfo -> Bool #

Generic OriginalInfo Source #

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Associated Types

type Rep OriginalInfo

Instance details

Defined in Liability

type Rep OriginalInfo = D1 ('MetaData "OriginalInfo" "Liability" "Hastructure-0.50.4-C46IQoFqEMALLVrlvHB4m" 'False) (C1 ('MetaCons "OriginalInfo" 'PrefixI 'True) ((S1 ('MetaSel ('Just "originBalance") 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Balance) :*: S1 ('MetaSel ('Just "originDate") 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Date)) :*: (S1 ('MetaSel ('Just "originRate") 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Rate) :*: S1 ('MetaSel ('Just "maturityDate") 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 (Maybe Date)))))

Methods

from :: OriginalInfo -> Rep OriginalInfo x #

to :: Rep OriginalInfo x -> OriginalInfo #

Read OriginalInfo Source #

Instance details

Defined in Liability

Methods

readsPrec :: Int -> ReadS OriginalInfo #

readList :: ReadS [OriginalInfo] #

readPrec :: ReadPrec OriginalInfo #

readListPrec :: ReadPrec [OriginalInfo] #

Show OriginalInfo Source #

Instance details

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Methods

showsPrec :: Int -> OriginalInfo -> ShowS #

show :: OriginalInfo -> String #

showList :: [OriginalInfo] -> ShowS #

Eq OriginalInfo Source #

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Methods

(==) :: OriginalInfo -> OriginalInfo -> Bool #

(/=) :: OriginalInfo -> OriginalInfo -> Bool #

Ord OriginalInfo Source #

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Methods

compare :: OriginalInfo -> OriginalInfo -> Ordering #

(<) :: OriginalInfo -> OriginalInfo -> Bool #

(<=) :: OriginalInfo -> OriginalInfo -> Bool #

(>) :: OriginalInfo -> OriginalInfo -> Bool #

(>=) :: OriginalInfo -> OriginalInfo -> Bool #

max :: OriginalInfo -> OriginalInfo -> OriginalInfo #

min :: OriginalInfo -> OriginalInfo -> OriginalInfo #

type Rep OriginalInfo Source #

Instance details

Defined in Liability

type Rep OriginalInfo = D1 ('MetaData "OriginalInfo" "Liability" "Hastructure-0.50.4-C46IQoFqEMALLVrlvHB4m" 'False) (C1 ('MetaCons "OriginalInfo" 'PrefixI 'True) ((S1 ('MetaSel ('Just "originBalance") 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Balance) :*: S1 ('MetaSel ('Just "originDate") 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Date)) :*: (S1 ('MetaSel ('Just "originRate") 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Rate) :*: S1 ('MetaSel ('Just "maturityDate") 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 (Maybe Date)))))

payInt :: Date -> Amount -> Bond -> Bond Source #

payPrin :: Date -> Amount -> Bond -> Bond Source #

no cash payment , do nothing

consolStmt :: Bond -> Bond Source #

isPaidOff :: Liable lb => lb -> Bool Source #

getCurBalance :: Liable lb => lb -> Balance Source #

priceBond :: Date -> Ts -> Bond -> PriceResult Source #

pv :: Ts -> Date -> Date -> Amount -> Amount Source #

calculate present value in the future using constant rate

data InterestInfo Source #

scale a spread to interest rate info

Constructors

Floater IRate Index Spread RateReset DayCount (Maybe Floor) (Maybe Cap)
Fix IRate DayCount	fixed rate
RefBal DealStats InterestInfo	accure interest based on balance(described by a formula)
RefRate IRate DealStats Float RateReset	interest rate depends to a formula
CapRate InterestInfo IRate	cap rate
FloorRate InterestInfo IRate	floor rate
WithIoI InterestInfo InterestOverInterestType	Interest Over Interest(normal on left,IoI on right)