Hastructure-0.50.0: Cashflow modeling library for structured finance

Safe Haskell	None
Language	Haskell2010

Cashflow

Synopsis

data CashFlowFrame
- = CashFlowFrame BeginStatus [TsRow]
- | MultiCashFlowFrame (Map String [CashFlowFrame])
type Principals = [Principal]
type Interests = [Interest]
type Amount = Balance
combine :: CashFlowFrame -> CashFlowFrame -> CashFlowFrame
mergePoolCf :: CashFlowFrame -> CashFlowFrame -> CashFlowFrame
sumTsCF :: [TsRow] -> Date -> TsRow
tsSetLoss :: Balance -> TsRow -> TsRow
tsSetRecovery :: Balance -> TsRow -> TsRow
sizeCashFlowFrame :: CashFlowFrame -> Int
aggTsByDates :: [TsRow] -> [Date] -> [TsRow]
emptyCashFlowFrame :: CashFlowFrame -> Bool
mflowInterest :: TsRow -> Balance
mflowPrincipal :: TsRow -> Balance
mflowRecovery :: TsRow -> Balance
mflowPrepayment :: TsRow -> Balance
mflowRental :: TsRow -> Amount
mflowRate :: TsRow -> IRate
sumPoolFlow :: CashFlowFrame -> PoolSource -> Balance
splitTrs :: Rate -> [TsRow] -> [TsRow]
aggregateTsByDate :: [TsRow] -> [TsRow] -> [TsRow]
mflowDefault :: TsRow -> Balance
mflowLoss :: TsRow -> Balance
getDatesCashFlowFrame :: CashFlowFrame -> [Date]
lookupSource :: TsRow -> PoolSource -> Balance
lookupSourceM :: Balance -> Maybe TsRow -> PoolSource -> Balance
combineTss :: [TsRow] -> [TsRow] -> [TsRow] -> [TsRow]
mflowBegBalance :: TsRow -> Balance
tsDefaultBal :: TsRow -> Either String Balance
mflowBorrowerNum :: TsRow -> Maybe BorrowerNum
mflowPrepaymentPenalty :: TsRow -> Balance
tsRowBalance :: Lens' TsRow Balance
emptyTsRow :: Date -> TsRow -> TsRow
mflowAmortAmount :: TsRow -> Balance
tsTotalCash :: TsRow -> Balance
setPrepaymentPenalty :: Balance -> TsRow -> TsRow
setPrepaymentPenaltyFlow :: [Balance] -> [TsRow] -> [TsRow]
getDate :: TimeSeries ts => ts -> Date
getTxnLatestAsOf :: CashFlowFrame -> Date -> Maybe TsRow
totalPrincipal :: CashFlowFrame -> Balance
mflowWeightAverageBalance :: Date -> Date -> [TsRow] -> Balance
tsDate :: Lens' TsRow Date
totalLoss :: CashFlowFrame -> Balance
totalDefault :: CashFlowFrame -> Balance
totalRecovery :: CashFlowFrame -> Balance
firstDate :: CashFlowFrame -> Date
shiftCfToStartDate :: Date -> CashFlowFrame -> CashFlowFrame
cfInsertHead :: TsRow -> CashFlowFrame -> CashFlowFrame
buildBegTsRow :: Date -> TsRow -> TsRow
insertBegTsRow :: Date -> CashFlowFrame -> CashFlowFrame
tsCumDefaultBal :: TsRow -> Maybe Balance
tsCumDelinqBal :: TsRow -> Maybe Balance
tsCumLossBal :: TsRow -> Maybe Balance
tsCumRecoveriesBal :: TsRow -> Maybe Balance
data TsRow
- = CashFlow Date Amount
- | BondFlow Date Balance Principal Interest
- | MortgageFlow Date Balance Principal Interest Prepayment Default Recovery Loss IRate (Maybe BorrowerNum) (Maybe PrepaymentPenalty) (Maybe CumulativeStat)
- | MortgageDelinqFlow Date Balance Principal Interest Prepayment Delinquent Default Recovery Loss IRate (Maybe BorrowerNum) (Maybe PrepaymentPenalty) (Maybe CumulativeStat)
- | LoanFlow Date Balance Principal Interest Prepayment Default Recovery Loss IRate (Maybe CumulativeStat)
- | LeaseFlow Date Balance Rental Default
- | FixedFlow Date Balance NewDepreciation Depreciation Balance Balance
- | ReceivableFlow Date Balance AccuredFee Principal FeePaid Default Recovery Loss (Maybe CumulativeStat)
cfAt :: CashFlowFrame -> Int -> Maybe TsRow
cutoffTrs :: Date -> [TsRow] -> ([TsRow], Map CutoffFields Balance)
patchCumulative :: CumulativeStat -> [TsRow] -> [TsRow] -> [TsRow]
extendTxns :: TsRow -> [Date] -> [TsRow]
dropTailEmptyTxns :: [TsRow] -> [TsRow]
cashflowTxn :: Lens' CashFlowFrame [TsRow]
clawbackInt :: Balance -> [TsRow] -> [TsRow]
scaleTsRow :: Rational -> TsRow -> TsRow
mflowFeePaid :: TsRow -> Amount
currentCumulativeStat :: [TsRow] -> CumulativeStat
patchCumulativeAtInit :: Maybe CumulativeStat -> [TsRow] -> [TsRow]
mergeCf :: CashFlowFrame -> CashFlowFrame -> CashFlowFrame
buildStartTsRow :: CashFlowFrame -> Maybe TsRow
txnCumulativeStats :: Lens' TsRow (Maybe CumulativeStat)
consolidateCashFlow :: CashFlowFrame -> CashFlowFrame
cfBeginStatus :: Lens' CashFlowFrame BeginStatus
getBegBalCashFlowFrame :: CashFlowFrame -> Balance
splitCashFlowFrameByDate :: CashFlowFrame -> Date -> SplitType -> (CashFlowFrame, CashFlowFrame)
mergePoolCf2 :: CashFlowFrame -> CashFlowFrame -> CashFlowFrame
buildBegBal :: [TsRow] -> Balance
extendCashFlow :: Date -> CashFlowFrame -> CashFlowFrame
patchBalance :: (Balance, Maybe CumulativeStat) -> [TsRow] -> [TsRow] -> [TsRow]
splitPoolCashflowByDate :: PoolCashflow -> Date -> SplitType -> (PoolCashflow, PoolCashflow)
getAllDatesCashFlowFrame :: CashFlowFrame -> [Date]
splitCf :: Rate -> CashFlowFrame -> CashFlowFrame
cutoffCashflow :: Date -> Dates -> CashFlowFrame -> CashFlowFrame
type AssetCashflow = CashFlowFrame
type PoolCashflow = (AssetCashflow, Maybe [AssetCashflow])
emptyCashflow :: CashFlowFrame
isEmptyRow2 :: TsRow -> Bool

Documentation

data CashFlowFrame Source #

Constructors

CashFlowFrame BeginStatus [TsRow]
MultiCashFlowFrame (Map String [CashFlowFrame])

Instances

Instances details

FromJSON CashFlowFrame Source #

Instance details

Defined in Cashflow

Methods

parseJSON :: Value -> Parser CashFlowFrame #

parseJSONList :: Value -> Parser [CashFlowFrame] #

omittedField :: Maybe CashFlowFrame #

ToJSON CashFlowFrame Source #

Instance details

Defined in Cashflow

Methods

toJSON :: CashFlowFrame -> Value #

toEncoding :: CashFlowFrame -> Encoding #

toJSONList :: [CashFlowFrame] -> Value #

toEncodingList :: [CashFlowFrame] -> Encoding #

omitField :: CashFlowFrame -> Bool #

Monoid CashFlowFrame Source #

Instance details

Defined in Cashflow

Methods

mempty :: CashFlowFrame #

mappend :: CashFlowFrame -> CashFlowFrame -> CashFlowFrame #

mconcat :: [CashFlowFrame] -> CashFlowFrame #

Semigroup CashFlowFrame Source #

Instance details

Defined in Cashflow

Methods

(<>) :: CashFlowFrame -> CashFlowFrame -> CashFlowFrame #

sconcat :: NonEmpty CashFlowFrame -> CashFlowFrame #

stimes :: Integral b => b -> CashFlowFrame -> CashFlowFrame #

Generic CashFlowFrame Source #

Instance details

Defined in Cashflow

Associated Types

type Rep CashFlowFrame
Instance details Defined in Cashflow type Rep CashFlowFrame

Methods

from :: CashFlowFrame -> Rep CashFlowFrame x #

to :: Rep CashFlowFrame x -> CashFlowFrame #

Show CashFlowFrame Source #

Instance details

Defined in Cashflow

Methods

showsPrec :: Int -> CashFlowFrame -> ShowS #

show :: CashFlowFrame -> String #

showList :: [CashFlowFrame] -> ShowS #

NFData CashFlowFrame Source #

Instance details

Defined in Cashflow

Methods

rnf :: CashFlowFrame -> () #

Eq CashFlowFrame Source #

Instance details

Defined in Cashflow

Methods

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

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

Ord CashFlowFrame Source #

Instance details

Defined in Cashflow

Methods

compare :: CashFlowFrame -> CashFlowFrame -> Ordering #

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

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

(>) :: CashFlowFrame -> CashFlowFrame -> Bool #

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

max :: CashFlowFrame -> CashFlowFrame -> CashFlowFrame #

min :: CashFlowFrame -> CashFlowFrame -> CashFlowFrame #

type Rep CashFlowFrame Source #

Instance details

Defined in Cashflow

type Rep CashFlowFrame

type Principals = [Principal] Source #

type Interests = [Interest] Source #

type Amount = Balance Source #

combine :: CashFlowFrame -> CashFlowFrame -> CashFlowFrame Source #

mergePoolCf :: CashFlowFrame -> CashFlowFrame -> CashFlowFrame Source #

agg cashflow (but not updating the cumulative stats)

sumTsCF :: [TsRow] -> Date -> TsRow Source #

tsSetLoss :: Balance -> TsRow -> TsRow Source #

tsSetRecovery :: Balance -> TsRow -> TsRow Source #

sizeCashFlowFrame :: CashFlowFrame -> Int Source #

aggTsByDates :: [TsRow] -> [Date] -> [TsRow] Source #

emptyCashFlowFrame :: CashFlowFrame -> Bool Source #

mflowInterest :: TsRow -> Balance Source #

mflowPrincipal :: TsRow -> Balance Source #

mflowRecovery :: TsRow -> Balance Source #

mflowPrepayment :: TsRow -> Balance Source #

mflowRental :: TsRow -> Amount Source #

mflowRate :: TsRow -> IRate Source #

get rate(weigthed avg rate) for a cashflow record

sumPoolFlow :: CashFlowFrame -> PoolSource -> Balance Source #

lookup a pool source from a row

splitTrs :: Rate -> [TsRow] -> [TsRow] Source #

aggregateTsByDate :: [TsRow] -> [TsRow] -> [TsRow] Source #

mflowDefault :: TsRow -> Balance Source #

mflowLoss :: TsRow -> Balance Source #

getDatesCashFlowFrame :: CashFlowFrame -> [Date] Source #

lookupSource :: TsRow -> PoolSource -> Balance Source #

lookupSourceM :: Balance -> Maybe TsRow -> PoolSource -> Balance Source #

combineTss :: [TsRow] -> [TsRow] -> [TsRow] -> [TsRow] Source #

mflowBegBalance :: TsRow -> Balance Source #

tsDefaultBal :: TsRow -> Either String Balance Source #

mflowBorrowerNum :: TsRow -> Maybe BorrowerNum Source #

get borrower numfer for Mortgage Flow

mflowPrepaymentPenalty :: TsRow -> Balance Source #

get prepayment penalty for a cashflow record

tsRowBalance :: Lens' TsRow Balance Source #

emptyTsRow :: Date -> TsRow -> TsRow Source #

reset all cashflow fields to zero and init with a date

mflowAmortAmount :: TsRow -> Balance Source #

calculate amortized amount for cashflow (for defaults only)

tsTotalCash :: TsRow -> Balance Source #

setPrepaymentPenalty :: Balance -> TsRow -> TsRow Source #

setPrepaymentPenaltyFlow :: [Balance] -> [TsRow] -> [TsRow] Source #

split single cashflow record by a rate

getDate :: TimeSeries ts => ts -> Date Source #

getTxnLatestAsOf :: CashFlowFrame -> Date -> Maybe TsRow Source #

totalPrincipal :: CashFlowFrame -> Balance Source #

merge two cashflow frame but no patching beg balance

mflowWeightAverageBalance :: Date -> Date -> [TsRow] -> Balance Source #

tsDate :: Lens' TsRow Date Source #

totalLoss :: CashFlowFrame -> Balance Source #

totalDefault :: CashFlowFrame -> Balance Source #

totalRecovery :: CashFlowFrame -> Balance Source #

firstDate :: CashFlowFrame -> Date Source #

shiftCfToStartDate :: Date -> CashFlowFrame -> CashFlowFrame Source #

sum a single pool source from a cashflow frame

cfInsertHead :: TsRow -> CashFlowFrame -> CashFlowFrame Source #

buildBegTsRow :: Date -> TsRow -> TsRow Source #

insertBegTsRow :: Date -> CashFlowFrame -> CashFlowFrame Source #

tsCumDefaultBal :: TsRow -> Maybe Balance Source #

tsCumDelinqBal :: TsRow -> Maybe Balance Source #

tsCumLossBal :: TsRow -> Maybe Balance Source #

tsCumRecoveriesBal :: TsRow -> Maybe Balance Source #

data TsRow Source #

Constructors

CashFlow Date Amount
BondFlow Date Balance Principal Interest
MortgageFlow Date Balance Principal Interest Prepayment Default Recovery Loss IRate (Maybe BorrowerNum) (Maybe PrepaymentPenalty) (Maybe CumulativeStat)
MortgageDelinqFlow Date Balance Principal Interest Prepayment Delinquent Default Recovery Loss IRate (Maybe BorrowerNum) (Maybe PrepaymentPenalty) (Maybe CumulativeStat)
LoanFlow Date Balance Principal Interest Prepayment Default Recovery Loss IRate (Maybe CumulativeStat)
LeaseFlow Date Balance Rental Default
FixedFlow Date Balance NewDepreciation Depreciation Balance Balance
ReceivableFlow Date Balance AccuredFee Principal FeePaid Default Recovery Loss (Maybe CumulativeStat)

Instances

Instances details

TimeSeries TsRow Source #

Instance details

Defined in Cashflow

Methods

cmp :: TsRow -> TsRow -> Ordering Source #

sameDate :: TsRow -> TsRow -> Bool Source #

getDate :: TsRow -> Date Source #

getDates :: [TsRow] -> [Date] Source #

filterByDate :: [TsRow] -> Date -> [TsRow] Source #

sliceBy :: RangeType -> StartDate -> EndDate -> [TsRow] -> [TsRow] Source #

cutBy :: CutoffType -> DateDirection -> Date -> [TsRow] -> [TsRow] Source #

cmpWith :: TsRow -> Date -> Ordering Source #

isAfter :: TsRow -> Date -> Bool Source #

isOnAfter :: TsRow -> Date -> Bool Source #

isBefore :: TsRow -> Date -> Bool Source #

isOnBefore :: TsRow -> Date -> Bool Source #

splitBy :: Date -> CutoffType -> [TsRow] -> ([TsRow], [TsRow]) Source #

getByDate :: Date -> [TsRow] -> Maybe TsRow Source #

FromJSON TsRow Source #

Instance details

Defined in Cashflow

Methods

parseJSON :: Value -> Parser TsRow #

parseJSONList :: Value -> Parser [TsRow] #

omittedField :: Maybe TsRow #

ToJSON TsRow Source #

Instance details

Defined in Cashflow

Methods

toJSON :: TsRow -> Value #

toEncoding :: TsRow -> Encoding #

toJSONList :: [TsRow] -> Value #

toEncodingList :: [TsRow] -> Encoding #

omitField :: TsRow -> Bool #

Semigroup TsRow Source #

Instance details

Defined in Cashflow

Methods

(<>) :: TsRow -> TsRow -> TsRow #

sconcat :: NonEmpty TsRow -> TsRow #

stimes :: Integral b => b -> TsRow -> TsRow #

Generic TsRow Source #

Instance details

Defined in Cashflow

Associated Types

type Rep TsRow
Instance details Defined in Cashflow type Rep TsRow

Methods

from :: TsRow -> Rep TsRow x #

to :: Rep TsRow x -> TsRow #

Show TsRow Source #

Instance details

Defined in Cashflow

Methods

showsPrec :: Int -> TsRow -> ShowS #

show :: TsRow -> String #

showList :: [TsRow] -> ShowS #

NFData TsRow Source #

Instance details

Defined in Cashflow

Methods

rnf :: TsRow -> () #

Eq TsRow Source #

Instance details

Defined in Cashflow

Methods

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

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

Ord TsRow Source #

Instance details

Defined in Cashflow

Methods

compare :: TsRow -> TsRow -> Ordering #

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

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

(>) :: TsRow -> TsRow -> Bool #

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

max :: TsRow -> TsRow -> TsRow #

min :: TsRow -> TsRow -> TsRow #

ToSchema TsRow Source #

Instance details

Defined in AssetClass.AssetBase

Methods

declareNamedSchema :: Proxy TsRow -> Declare (Definitions Schema) NamedSchema #

type Rep TsRow Source #

Instance details

Defined in Cashflow

cfAt :: CashFlowFrame -> Int -> Maybe TsRow Source #

cutoffTrs :: Date -> [TsRow] -> ([TsRow], Map CutoffFields Balance) Source #

patchCumulative :: CumulativeStat -> [TsRow] -> [TsRow] -> [TsRow] Source #

split cashflow by rate while build missing defaults/losses stats

extendTxns :: TsRow -> [Date] -> [TsRow] Source #

dropTailEmptyTxns :: [TsRow] -> [TsRow] Source #

cashflowTxn :: Lens' CashFlowFrame [TsRow] Source #

clawbackInt :: Balance -> [TsRow] -> [TsRow] Source #

scaleTsRow :: Rational -> TsRow -> TsRow Source #

mflowFeePaid :: TsRow -> Amount Source #

currentCumulativeStat :: [TsRow] -> CumulativeStat Source #

patchCumulativeAtInit :: Maybe CumulativeStat -> [TsRow] -> [TsRow] Source #

mergeCf :: CashFlowFrame -> CashFlowFrame -> CashFlowFrame Source #

buildStartTsRow :: CashFlowFrame -> Maybe TsRow Source #

txnCumulativeStats :: Lens' TsRow (Maybe CumulativeStat) Source #

consolidateCashFlow :: CashFlowFrame -> CashFlowFrame Source #

cfBeginStatus :: Lens' CashFlowFrame BeginStatus Source #

getBegBalCashFlowFrame :: CashFlowFrame -> Balance Source #

splitCashFlowFrameByDate :: CashFlowFrame -> Date -> SplitType -> (CashFlowFrame, CashFlowFrame) Source #

mergePoolCf2 :: CashFlowFrame -> CashFlowFrame -> CashFlowFrame Source #

buildBegBal :: [TsRow] -> Balance Source #

extendCashFlow :: Date -> CashFlowFrame -> CashFlowFrame Source #

patchBalance :: (Balance, Maybe CumulativeStat) -> [TsRow] -> [TsRow] -> [TsRow] Source #

splitPoolCashflowByDate :: PoolCashflow -> Date -> SplitType -> (PoolCashflow, PoolCashflow) Source #

getAllDatesCashFlowFrame :: CashFlowFrame -> [Date] Source #

splitCf :: Rate -> CashFlowFrame -> CashFlowFrame Source #

cutoffCashflow :: Date -> Dates -> CashFlowFrame -> CashFlowFrame Source #

type AssetCashflow = CashFlowFrame Source #

type PoolCashflow = (AssetCashflow, Maybe [AssetCashflow]) Source #

emptyCashflow :: CashFlowFrame Source #

isEmptyRow2 :: TsRow -> Bool Source #

Remove empty cashflow from the tail