Hastructure-0.50.0: Cashflow modeling library for structured finance

Safe Haskell	None
Language	Haskell2010

Lib

Synopsis

type Amount = Balance
type Rate = Rational
type Dates = [Day]
data Period
- = Daily
- | Weekly
- | BiWeekly
- | Monthly
- | Quarterly
- | SemiAnnually
- | Annually
type Balance = Centi
type StartDate = Date
type EndDate = Date
daysBetween :: Date -> Date -> Integer
daysBetweenI :: Date -> Date -> Int
type Spread = Micro
type Date = Day
paySeqLiabilities :: Balance -> [Balance] -> [(Balance, Balance)]
prorataFactors :: [Balance] -> Balance -> [Balance]
afterNPeriod :: Day -> Integer -> Period -> Day
data Ts
- = FloatCurve [TsPoint Rational]
- | BoolCurve [TsPoint Bool]
- | BalanceCurve [TsPoint Balance]
- | LeftBalanceCurve [TsPoint Balance]
- | RatioCurve [TsPoint Rational]
- | ThresholdCurve [TsPoint Rational]
- | IRateCurve [TsPoint IRate]
- | FactorCurveClosed [TsPoint Rational] Date
- | PricingCurve [TsPoint Rational]
- | PeriodCurve [TsPoint Int]
- | IntCurve [TsPoint Int]
periodsBetween :: Day -> Day -> Period -> Integer
periodRateFromAnnualRate :: Period -> IRate -> IRate
type Floor = Micro
type Cap = Micro
data TsPoint a = TsPoint Date a
toDate :: String -> Date
toDates :: [String] -> [Date]
genDates :: Date -> Period -> Int -> [Date]
nextDate :: Date -> Period -> Date
getValOnByDate :: Ts -> Date -> Balance
getIntValOnByDate :: Ts -> Date -> Int
sumValTs :: Ts -> Amount
subTsBetweenDates :: Ts -> Maybe Date -> Maybe Date -> Ts
splitTsByDate :: Ts -> Day -> (Ts, Ts)
paySeqLiabilitiesAmt :: Balance -> [Balance] -> [Balance]
getIntervalDays :: [Date] -> [Int]
getIntervalFactors :: [Date] -> [Rate]
zipWith8 :: (a -> b -> c -> d -> e -> f -> g -> h -> i) -> [a] -> [b] -> [c] -> [d] -> [e] -> [f] -> [g] -> [h] -> [i]
zipWith9 :: (a -> b -> c -> d -> e -> f -> g -> h -> i -> j) -> [a] -> [b] -> [c] -> [d] -> [e] -> [f] -> [g] -> [h] -> [i] -> [j]
zipWith10 :: (a -> b -> c -> d -> e -> f -> g -> h -> i -> j -> k) -> [a] -> [b] -> [c] -> [d] -> [e] -> [f] -> [g] -> [h] -> [i] -> [j] -> [k]
zipWith11 :: (a -> b -> c -> d -> e -> f -> g -> h -> i -> j -> k -> l) -> [a] -> [b] -> [c] -> [d] -> [e] -> [f] -> [g] -> [h] -> [i] -> [j] -> [k] -> [l]
zipWith12 :: (a -> b -> c -> d -> e -> f -> g -> h -> i -> j -> k -> l -> m) -> [a] -> [b] -> [c] -> [d] -> [e] -> [f] -> [g] -> [h] -> [i] -> [j] -> [k] -> [l] -> [m]
weightedBy :: [Rational] -> [Rational] -> Rational
mkTs :: [(Date, Rational)] -> Ts
mkRateTs :: [(Date, IRate)] -> Ts
paySeqLiabResi :: Amount -> [Balance] -> [Amount]

Documentation

type Amount = Balance Source #

type Rate = Rational Source #

type Dates = [Day] Source #

data Period Source #

Constructors

Daily
Weekly
BiWeekly
Monthly
Quarterly
SemiAnnually
Annually

Instances

Instances details

FromJSON Period Source #

Instance details

Defined in Types

Methods

parseJSON :: Value -> Parser Period #

parseJSONList :: Value -> Parser [Period] #

omittedField :: Maybe Period #

ToJSON Period Source #

Instance details

Defined in Types

Methods

toJSON :: Period -> Value #

toEncoding :: Period -> Encoding #

toJSONList :: [Period] -> Value #

toEncodingList :: [Period] -> Encoding #

omitField :: Period -> Bool #

Generic Period Source #

Instance details

Defined in Types

Associated Types

type Rep Period

Instance details

Defined in Types

type Rep Period = D1 ('MetaData "Period" "Types" "Hastructure-0.50.0-9tFAxbqhtE23KiGoJqUlJG" 'False) ((C1 ('MetaCons "Daily" 'PrefixI 'False) (U1 :: Type -> Type) :+: (C1 ('MetaCons "Weekly" 'PrefixI 'False) (U1 :: Type -> Type) :+: C1 ('MetaCons "BiWeekly" 'PrefixI 'False) (U1 :: Type -> Type))) :+: ((C1 ('MetaCons "Monthly" 'PrefixI 'False) (U1 :: Type -> Type) :+: C1 ('MetaCons "Quarterly" 'PrefixI 'False) (U1 :: Type -> Type)) :+: (C1 ('MetaCons "SemiAnnually" 'PrefixI 'False) (U1 :: Type -> Type) :+: C1 ('MetaCons "Annually" 'PrefixI 'False) (U1 :: Type -> Type))))

Methods

from :: Period -> Rep Period x #

to :: Rep Period x -> Period #

Show Period Source #

Instance details

Defined in Types

Methods

showsPrec :: Int -> Period -> ShowS #

show :: Period -> String #

showList :: [Period] -> ShowS #

Eq Period Source #

Instance details

Defined in Types

Methods

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

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

Ord Period Source #

Instance details

Defined in Types

Methods

compare :: Period -> Period -> Ordering #

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

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

(>) :: Period -> Period -> Bool #

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

max :: Period -> Period -> Period #

min :: Period -> Period -> Period #

ToSchema Period Source #

Instance details

Defined in AssetClass.AssetBase

Methods

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

type Rep Period Source #

Instance details

Defined in Types

type Rep Period = D1 ('MetaData "Period" "Types" "Hastructure-0.50.0-9tFAxbqhtE23KiGoJqUlJG" 'False) ((C1 ('MetaCons "Daily" 'PrefixI 'False) (U1 :: Type -> Type) :+: (C1 ('MetaCons "Weekly" 'PrefixI 'False) (U1 :: Type -> Type) :+: C1 ('MetaCons "BiWeekly" 'PrefixI 'False) (U1 :: Type -> Type))) :+: ((C1 ('MetaCons "Monthly" 'PrefixI 'False) (U1 :: Type -> Type) :+: C1 ('MetaCons "Quarterly" 'PrefixI 'False) (U1 :: Type -> Type)) :+: (C1 ('MetaCons "SemiAnnually" 'PrefixI 'False) (U1 :: Type -> Type) :+: C1 ('MetaCons "Annually" 'PrefixI 'False) (U1 :: Type -> Type))))

type Balance = Centi Source #

type StartDate = Date Source #

type EndDate = Date Source #

daysBetween :: Date -> Date -> Integer Source #

Given a start date and a end date, return number of days between(Integer)

daysBetweenI :: Date -> Date -> Int Source #

Given a start date and a end date, return number of days between(Int)

type Spread = Micro Source #

type Date = Day Source #

paySeqLiabilities :: Balance -> [Balance] -> [(Balance, Balance)] Source #

prorataFactors :: [Balance] -> Balance -> [Balance] Source #

afterNPeriod :: Day -> Integer -> Period -> Day Source #

data Ts Source #

Instances

Instances details

FromJSON Ts Source #

Instance details

Defined in Types

Methods

parseJSON :: Value -> Parser Ts #

parseJSONList :: Value -> Parser [Ts] #

omittedField :: Maybe Ts #

ToJSON Ts Source #

Instance details

Defined in Types

Methods

toJSON :: Ts -> Value #

toEncoding :: Ts -> Encoding #

toJSONList :: [Ts] -> Value #

toEncodingList :: [Ts] -> Encoding #

omitField :: Ts -> Bool #

Generic Ts Source #

Instance details

Defined in Types

Associated Types

type Rep Ts

Instance details

Defined in Types

type Rep Ts = D1 ('MetaData "Ts" "Types" "Hastructure-0.50.0-9tFAxbqhtE23KiGoJqUlJG" 'False) (((C1 ('MetaCons "FloatCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Rational])) :+: C1 ('MetaCons "BoolCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Bool]))) :+: (C1 ('MetaCons "BalanceCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Balance])) :+: (C1 ('MetaCons "LeftBalanceCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Balance])) :+: C1 ('MetaCons "RatioCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Rational]))))) :+: ((C1 ('MetaCons "ThresholdCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Rational])) :+: (C1 ('MetaCons "IRateCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint IRate])) :+: C1 ('MetaCons "FactorCurveClosed" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Rational]) :*: S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Date)))) :+: (C1 ('MetaCons "PricingCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Rational])) :+: (C1 ('MetaCons "PeriodCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Int])) :+: C1 ('MetaCons "IntCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Int]))))))

Methods

from :: Ts -> Rep Ts x #

to :: Rep Ts x -> Ts #

Read Ts Source #

Instance details

Defined in Types

Methods

readsPrec :: Int -> ReadS Ts #

readList :: ReadS [Ts] #

readPrec :: ReadPrec Ts #

readListPrec :: ReadPrec [Ts] #

Show Ts Source #

Instance details

Defined in Types

Methods

showsPrec :: Int -> Ts -> ShowS #

show :: Ts -> String #

showList :: [Ts] -> ShowS #

Instance details

Defined in Types

Methods

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

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

Ord Ts Source #

Instance details

Defined in Types

Methods

compare :: Ts -> Ts -> Ordering #

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

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

(>) :: Ts -> Ts -> Bool #

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

max :: Ts -> Ts -> Ts #

min :: Ts -> Ts -> Ts #

ToSchema Ts Source #

Instance details

Defined in AssetClass.AssetBase

Methods

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

type Rep Ts Source #

Instance details

Defined in Types

type Rep Ts = D1 ('MetaData "Ts" "Types" "Hastructure-0.50.0-9tFAxbqhtE23KiGoJqUlJG" 'False) (((C1 ('MetaCons "FloatCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Rational])) :+: C1 ('MetaCons "BoolCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Bool]))) :+: (C1 ('MetaCons "BalanceCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Balance])) :+: (C1 ('MetaCons "LeftBalanceCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Balance])) :+: C1 ('MetaCons "RatioCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Rational]))))) :+: ((C1 ('MetaCons "ThresholdCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Rational])) :+: (C1 ('MetaCons "IRateCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint IRate])) :+: C1 ('MetaCons "FactorCurveClosed" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Rational]) :*: S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Date)))) :+: (C1 ('MetaCons "PricingCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Rational])) :+: (C1 ('MetaCons "PeriodCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Int])) :+: C1 ('MetaCons "IntCurve" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 [TsPoint Int]))))))

periodsBetween :: Day -> Day -> Period -> Integer Source #

periodRateFromAnnualRate :: Period -> IRate -> IRate Source #

type Floor = Micro Source #

type Cap = Micro Source #

data TsPoint a Source #

Constructors

Instances

Instances details

TimeSeries (TsPoint a) Source #

Instance details

Defined in Types

Methods

cmp :: TsPoint a -> TsPoint a -> Ordering Source #

sameDate :: TsPoint a -> TsPoint a -> Bool Source #

getDate :: TsPoint a -> Date Source #

getDates :: [TsPoint a] -> [Date] Source #

filterByDate :: [TsPoint a] -> Date -> [TsPoint a] Source #

sliceBy :: RangeType -> StartDate -> EndDate -> [TsPoint a] -> [TsPoint a] Source #

cutBy :: CutoffType -> DateDirection -> Date -> [TsPoint a] -> [TsPoint a] Source #

cmpWith :: TsPoint a -> Date -> Ordering Source #

isAfter :: TsPoint a -> Date -> Bool Source #

isOnAfter :: TsPoint a -> Date -> Bool Source #

isBefore :: TsPoint a -> Date -> Bool Source #

isOnBefore :: TsPoint a -> Date -> Bool Source #

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

getByDate :: Date -> [TsPoint a] -> Maybe (TsPoint a) Source #

FromJSON a => FromJSON (TsPoint a) Source #

Instance details

Defined in Types

Methods

parseJSON :: Value -> Parser (TsPoint a) #

parseJSONList :: Value -> Parser [TsPoint a] #

omittedField :: Maybe (TsPoint a) #

ToJSON a => ToJSON (TsPoint a) Source #

Instance details

Defined in Types

Methods

toJSON :: TsPoint a -> Value #

toEncoding :: TsPoint a -> Encoding #

toJSONList :: [TsPoint a] -> Value #

toEncodingList :: [TsPoint a] -> Encoding #

omitField :: TsPoint a -> Bool #

Generic (TsPoint a) Source #

Instance details

Defined in Types

Associated Types

type Rep (TsPoint a)

Instance details

Defined in Types

type Rep (TsPoint a) = D1 ('MetaData "TsPoint" "Types" "Hastructure-0.50.0-9tFAxbqhtE23KiGoJqUlJG" 'False) (C1 ('MetaCons "TsPoint" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Date) :*: S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 a)))

Methods

from :: TsPoint a -> Rep (TsPoint a) x #

to :: Rep (TsPoint a) x -> TsPoint a #

Read a => Read (TsPoint a) Source #

Instance details

Defined in Types

Methods

readsPrec :: Int -> ReadS (TsPoint a) #

readList :: ReadS [TsPoint a] #

readPrec :: ReadPrec (TsPoint a) #

readListPrec :: ReadPrec [TsPoint a] #

Show a => Show (TsPoint a) Source #

Instance details

Defined in Types

Methods

showsPrec :: Int -> TsPoint a -> ShowS #

show :: TsPoint a -> String #

showList :: [TsPoint a] -> ShowS #

Eq a => Eq (TsPoint a) Source #

Instance details

Defined in Types

Methods

(==) :: TsPoint a -> TsPoint a -> Bool #

(/=) :: TsPoint a -> TsPoint a -> Bool #

Ord a => Ord (TsPoint a) Source #

Instance details

Defined in Types

Methods

compare :: TsPoint a -> TsPoint a -> Ordering #

(<) :: TsPoint a -> TsPoint a -> Bool #

(<=) :: TsPoint a -> TsPoint a -> Bool #

(>) :: TsPoint a -> TsPoint a -> Bool #

(>=) :: TsPoint a -> TsPoint a -> Bool #

max :: TsPoint a -> TsPoint a -> TsPoint a #

min :: TsPoint a -> TsPoint a -> TsPoint a #

ToSchema (TsPoint Balance) Source #

Instance details

Defined in AssetClass.AssetBase

Methods

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

ToSchema (TsPoint IRate) Source #

Instance details

Defined in AssetClass.AssetBase

Methods

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

ToSchema (TsPoint Rational) Source #

Instance details

Defined in AssetClass.AssetBase

Methods

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

ToSchema (TsPoint Bool) Source #

Instance details

Defined in AssetClass.AssetBase

Methods

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

ToSchema (TsPoint Int) Source #

Instance details

Defined in AssetClass.AssetBase

Methods

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

type Rep (TsPoint a) Source #

Instance details

Defined in Types

type Rep (TsPoint a) = D1 ('MetaData "TsPoint" "Types" "Hastructure-0.50.0-9tFAxbqhtE23KiGoJqUlJG" 'False) (C1 ('MetaCons "TsPoint" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Date) :*: S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 a)))

toDate :: String -> Date Source #

toDates :: [String] -> [Date] Source #

genDates :: Date -> Period -> Int -> [Date] Source #

nextDate :: Date -> Period -> Date Source #

getValOnByDate :: Ts -> Date -> Balance Source #

getIntValOnByDate :: Ts -> Date -> Int Source #

sumValTs :: Ts -> Amount Source #

subTsBetweenDates :: Ts -> Maybe Date -> Maybe Date -> Ts Source #

splitTsByDate :: Ts -> Day -> (Ts, Ts) Source #

paySeqLiabilitiesAmt :: Balance -> [Balance] -> [Balance] Source #

getIntervalDays :: [Date] -> [Int] Source #

getIntervalFactors :: [Date] -> [Rate] Source #

zipWith8 :: (a -> b -> c -> d -> e -> f -> g -> h -> i) -> [a] -> [b] -> [c] -> [d] -> [e] -> [f] -> [g] -> [h] -> [i] Source #

zipWith9 :: (a -> b -> c -> d -> e -> f -> g -> h -> i -> j) -> [a] -> [b] -> [c] -> [d] -> [e] -> [f] -> [g] -> [h] -> [i] -> [j] Source #

zipWith10 :: (a -> b -> c -> d -> e -> f -> g -> h -> i -> j -> k) -> [a] -> [b] -> [c] -> [d] -> [e] -> [f] -> [g] -> [h] -> [i] -> [j] -> [k] Source #

zipWith11 :: (a -> b -> c -> d -> e -> f -> g -> h -> i -> j -> k -> l) -> [a] -> [b] -> [c] -> [d] -> [e] -> [f] -> [g] -> [h] -> [i] -> [j] -> [k] -> [l] Source #

zipWith12 :: (a -> b -> c -> d -> e -> f -> g -> h -> i -> j -> k -> l -> m) -> [a] -> [b] -> [c] -> [d] -> [e] -> [f] -> [g] -> [h] -> [i] -> [j] -> [k] -> [l] -> [m] Source #

weightedBy :: [Rational] -> [Rational] -> Rational Source #

given balances and weight, get sum weighted balance

mkTs :: [(Date, Rational)] -> Ts Source #

mkRateTs :: [(Date, IRate)] -> Ts Source #

paySeqLiabResi :: Amount -> [Balance] -> [Amount] Source #