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expose mkObligor
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@yellowbean
yellowbean committed Sep 7, 2024
1 parent 206d9f1 commit 734f85f
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Showing 4 changed files with 1,961 additions and 10 deletions.
51 changes: 43 additions & 8 deletions absbox/local/component.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1261,20 +1261,30 @@ def mkCapacity(x):
case _ :
raise RuntimeError(f"Failed to match {x}:mkCapacity")

def mkObligor(x:dict) -> dict:
return {
"obligorId": x.get("id", None),
"obligorTag": x.get("tag",[]),
"obligorFields": x.get("fields", {})
}


def mkAsset(x):
match x:
case ["AdjustRateMortgage", {"originBalance": originBalance, "originRate": originRate, "originTerm": originTerm, "freq": freq, "type": _type, "originDate": startDate, "arm": arm}
, {"currentBalance": currentBalance, "currentRate": currentRate, "remainTerm": remainTerms, "status": status}]:
borrowerNum = x[2].get("borrowerNum", None)
prepayPenalty = getValWithKs(x[1],["prepayPenalty","早偿罚息"])
obligorInfo = getValWithKs(x[1],["obligor","借款人"], mapping=mkObligor)

return mkTag(("AdjustRateMortgage", [{"originBalance": vNum(originBalance),
"originRate": mkRateType(originRate),
"originTerm": vInt(originTerm),
"period": freqMap[freq],
"startDate": vDate(startDate),
"prinType": mkAmortPlan(_type),
"prepaymentPenalty": mkPrepayPenalty(prepayPenalty)
"prepaymentPenalty": mkPrepayPenalty(prepayPenalty),
"obligor": obligorInfo
} | mkTag("MortgageOriginalInfo"),
mkArm(arm),
vNum(currentBalance),
Expand All @@ -1287,13 +1297,15 @@ def mkAsset(x):

borrowerNum = getValWithKs(x[2],["borrowerNum","借款人数量"])
prepayPenalty = getValWithKs(x[1],["prepayPenalty","早偿罚息"])
obligorInfo = getValWithKs(x[1],["obligor","借款人"], mapping=mkObligor)
return mkTag(("Mortgage", [ {"originBalance": vNum(originBalance),
"originRate": mkRateType(originRate),
"originTerm": vInt(originTerm),
"period": freqMap[freq],
"startDate": vDate(startDate),
"prinType": mkAmortPlan(_type),
"prepaymentPenalty": mkPrepayPenalty(prepayPenalty)
"prepaymentPenalty": mkPrepayPenalty(prepayPenalty),
"obligor": obligorInfo
} | mkTag("MortgageOriginalInfo"),
vNum(currentBalance),
vNum(currentRate),
Expand All @@ -1302,44 +1314,52 @@ def mkAsset(x):
mkAssetStatus(status)]))
case ["贷款", {"放款金额": originBalance, "放款利率": originRate, "初始期限": originTerm, "频率": freq, "类型": _type, "放款日": startDate}, {"当前余额": currentBalance, "当前利率": currentRate, "剩余期限": remainTerms, "状态": status}] \
| ["Loan", {"originBalance": originBalance, "originRate": originRate, "originTerm": originTerm, "freq": freq, "type": _type, "originDate": startDate}, {"currentBalance": currentBalance, "currentRate": currentRate, "remainTerm": remainTerms, "status": status}]:
obligorInfo = getValWithKs(x[1],["obligor","借款人"], mapping=mkObligor)
return mkTag(("PersonalLoan", [
{"originBalance": vNum(originBalance),
"originRate": mkRateType(originRate),
"originTerm": vInt(originTerm),
"period": freqMap[freq],
"startDate": vDate(startDate),
"prinType": mkAmortPlan(_type)
"prinType": mkAmortPlan(_type),
"obligor": obligorInfo
} | mkTag("LoanOriginalInfo"),
vNum(currentBalance),
vNum(currentRate),
vInt(remainTerms),
mkAssetStatus(status)]))
case ["分期", {"放款金额": originBalance, "放款费率": originRate, "初始期限": originTerm, "频率": freq, "类型": _type, "放款日": startDate}, {"当前余额": currentBalance, "剩余期限": remainTerms, "状态": status}] \
| ["Installment", {"originBalance": originBalance, "feeRate": originRate, "originTerm": originTerm, "freq": freq, "type": _type, "originDate": startDate}, {"currentBalance": currentBalance, "remainTerm": remainTerms, "status": status}]:
obligorInfo = getValWithKs(x[1],["obligor","借款人"], mapping=mkObligor)
return mkTag(("Installment", [
{"originBalance": vNum(originBalance),
"originRate": mkRateType(originRate),
"originTerm": vInt(originTerm),
"period": freqMap[freq],
"startDate": vDate(startDate),
"prinType": mkAmortPlan(_type)
"prinType": mkAmortPlan(_type),
"obligor": obligorInfo
} | mkTag("LoanOriginalInfo"),
vNum(currentBalance),
vInt(remainTerms),
mkAssetStatus(status)]))
case ["租赁", {"固定租金": dailyRate, "初始期限": originTerm, "频率": dp, "起始日": startDate, "状态": status, "剩余期限": remainTerms}] \
| ["Lease", {"fixRental": dailyRate, "originTerm": originTerm, "freq": dp, "originDate": startDate, "status": status, "remainTerm": remainTerms}]:
return mkTag(("RegularLease", [{"originTerm": originTerm, "startDate": startDate, "paymentDates": mkDatePattern(dp), "originRental": dailyRate} | mkTag("LeaseInfo"), 0, remainTerms, mkAssetStatus(status)]))
obligorInfo = getValWithKs(x[1],["obligor","借款人"], mapping=mkObligor)
return mkTag(("RegularLease"
, [{"originTerm": originTerm, "startDate": startDate, "paymentDates": mkDatePattern(dp), "originRental": dailyRate
,"obligor": obligorInfo} | mkTag("LeaseInfo"), 0, remainTerms, mkAssetStatus(status)]))
case ["租赁", {"初始租金": dailyRate, "初始期限": originTerm, "频率": dp, "起始日": startDate, "计提周期": accDp, "涨幅": rate, "状态": status, "剩余期限": remainTerms}] \
| ["Lease", {"initRental": dailyRate, "originTerm": originTerm, "freq": dp, "originDate": startDate, "accrue": accDp, "pct": rate, "status": status, "remainTerm": remainTerms}]:

obligorInfo = getValWithKs(x[1],["obligor","借款人"], mapping=mkObligor)
dailyRatePlan = None
_stepUpType = "curve" if isinstance(rate, list) else "constant"
if _stepUpType == "constant":
dailyRatePlan = mkTag(("FlatRate", [mkDatePattern(accDp), rate]))
else:
dailyRatePlan = mkTag(("ByRateCurve", [mkDatePattern(accDp), rate]))
return mkTag(("StepUpLease", [{"originTerm": originTerm, "startDate": startDate, "paymentDates": mkDatePattern(dp), "originRental": dailyRate} | mkTag("LeaseInfo"), dailyRatePlan, 0, remainTerms, mkAssetStatus(status)]))
return mkTag(("StepUpLease", [{"originTerm": originTerm, "startDate": startDate, "paymentDates": mkDatePattern(dp), "originRental": dailyRate, "obligor": obligorInfo} | mkTag("LeaseInfo"), dailyRatePlan, 0, remainTerms, mkAssetStatus(status)]))
case ["固定资产",{"起始日":sd,"初始余额":ob,"初始期限":ot,"残值":rb,"周期":p,"摊销":ar,"产能":cap}
,{"剩余期限":rt}] \
|["FixedAsset",{"start":sd,"originBalance":ob,"originTerm":ot,"residual":rb,"period":p,"amortize":ar
Expand All @@ -1350,10 +1370,12 @@ def mkAsset(x):
,"capacity":mkCapacity(cap)} | mkTag("FixedAssetInfo")
,vInt(rt)]))
case ["Invoice", {"start":sd,"originBalance":ob,"originAdvance":oa,"dueDate":dd,"feeType":ft},{"status":status}] :
return mkTag(("Invoice",[{"startDate":vDate(sd),"originBalance":vNum(ob),"originAdvance":vNum(oa),"dueDate":vDate(dd),"feeType":mkInvoiceFeeType(ft)} | mkTag("ReceivableInfo")
obligorInfo = getValWithKs(x[1],["obligor","借款人"], mapping=mkObligor)
return mkTag(("Invoice",[{"startDate":vDate(sd),"originBalance":vNum(ob),"originAdvance":vNum(oa),"dueDate":vDate(dd),"feeType":mkInvoiceFeeType(ft),"obligor":obligorInfo} | mkTag("ReceivableInfo")
,mkAssetStatus(status)]))
case ["Invoice", {"start":sd,"originBalance":ob,"originAdvance":oa,"dueDate":dd},{"status":status}] :
return mkTag(("Invoice",[{"startDate":vDate(sd),"originBalance":vNum(ob),"originAdvance":vNum(oa),"dueDate":vDate(dd),"feeType":None} | mkTag("ReceivableInfo")
obligorInfo = getValWithKs(x[1],["obligor","借款人"], mapping=mkObligor)
return mkTag(("Invoice",[{"startDate":vDate(sd),"originBalance":vNum(ob),"originAdvance":vNum(oa),"dueDate":vDate(dd),"feeType":None,"obligor":obligorInfo} | mkTag("ReceivableInfo")
,mkAssetStatus(status)]))
case ["ProjectedFlowFix", cf, dp]:
return mkTag(("ProjectedFlowFixed",[mkCashFlowFrame(cf) ,mkDatePattern(dp)]))
Expand Down Expand Up @@ -1583,6 +1605,17 @@ def mkPDF(a, b, c):
,mkDelinqAssumption(b)
,mkDefaultedAssumption(c)]

def mkObligorStrategy(x):
match x:
case ("ById",ids,assumps)| ("ByID",ids,assumps):
return mkTag(("ObligorById",[[vStr(i) for i in ids],mkPDF(*assumps)]))
case ("ByTag",tags,rule,assumps):
return mkTag(("ObligorByTag",[[vStr(t) for t in tags],rule,mkPDF(*assumps)]))
case ("ByDefault",assumps) | ("_",assumps):
return mkTag(("ObligorByDefault",mkPDF(*assumps)))
case _:
raise RuntimeError(f"failed to match {x}, mkObligorStrategy")


def mkAssumpType(x):
''' make assumps either on pool level or asset level '''
Expand All @@ -1591,6 +1624,8 @@ def mkAssumpType(x):
return mkTag(("PoolLevel",mkPDF(p, d, f)))
case ("ByIndex", *ps):
return mkTag(("ByIndex",[ [idx, mkPDF(a,b,c)] for (idx,(a,b,c)) in ps ]))
case ("ByObligor",*rules):
return mkTag(("ByObligor",[mkObligorStrategy(r) for r in rules]))
case ("ByName", assumpMap):
return mkTag(("ByName",{f"PoolName:{k}":mkPDF(*v) for k,v in assumpMap.items()}))
case ("ByPoolId", assumpMap):
Expand Down
13 changes: 12 additions & 1 deletion docs/source/analytics.rst
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Original file line number Diff line number Diff line change
Expand Up @@ -863,6 +863,17 @@ syntax
fundingPlan
``(<date of issuance>,<bond group name>,<account name>,<bond detail>)``
.. versionadded:: 0.29.1
dynamic fundingPlan
``(<date of issuance>,<condition> , <bond group name>,<account name>,<bond detail>,<balance override>,<rate override>)``
* ``<condition>`` : a :ref:`Condition` to check if the bond should be issued
* ``<balance override>`` : a :ref:`Formula` to override the balance of the bond
* ``<rate override>`` : a :ref:`Formula` to override the rate of the bond
.. warning::
In the ``bond detail``, share same syntax of :ref:`Bonds/Tranches` , but require extra field ``name``.
Make sure the ``name`` is unique in the ``bond group``.
Expand Down Expand Up @@ -890,7 +901,7 @@ fundingPlan
.. seealso::
Example :ref:`Master Trust/Warehousing Funding Example`
Example :ref:`Master Trust Example`
Expand Down
2 changes: 1 addition & 1 deletion docs/source/nbsample/index.rst
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Original file line number Diff line number Diff line change
Expand Up @@ -16,5 +16,5 @@ Feel free to raise any question or report any error here -> :ref:`Support`
srtExamples
triggerExamples
debugExamples
warehouse
masterTrust
IC_Test
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