@turnbuckle/aprs-calculator-services
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Anchorpoint Risk Calculator Service.
109 lines (108 loc) • 7.18 kB
JavaScript
;
var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
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step((generator = generator.apply(thisArg, _arguments || [])).next());
});
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var __generator = (this && this.__generator) || function (thisArg, body) {
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Object.defineProperty(exports, "__esModule", { value: true });
exports.calculateLgdTermStructure = void 0;
var ts_stopwatch_1 = require("ts-stopwatch");
var assert_1 = require("../../common/assert");
var create_weighted_recoveries_1 = require("./helper-functions/create-weighted-recoveries");
var date_and_time_module_1 = require("../../common/date-and-time.module");
var sum_amount_before_date_1 = require("../../common/sum-amount-before-date");
/**
* @CalculateLgdTermStructureInputModelInterface input
* - defaultsTable: array of invoice transactions that are in default
* - interestRate: the interest rate to be used when calculating the discount factor for LGD
* @CalculateLgdTermStructureOutputModelInterface output
* - termStructure: LGD term structure
* - weightedTermStructure: Weighted LGD term structure
*/
function calculateLgdTermStructure(input) {
return __awaiter(this, void 0, void 0, function () {
var sw, _a, buckets, recoveries, maxTerms, lastDate, termStructure, weightedTermStructure, firstBucketExposure, prevSumOfPvOfRecovery, prevSumOfWeightedPvOfRecovery, termStep, sumOfPvOfRecovery, sumOfWeightedPvOfRecovery, discountIndex, bucketIndex, endDate, exposureBucket, recoveryPercentage, discountFactor, weighted, output;
return __generator(this, function (_b) {
sw = new ts_stopwatch_1.Stopwatch();
sw.start();
(0, assert_1.assert)(input.interestRate > 0, "'interestRate' must be greater than 0 (zero)");
_a = (0, create_weighted_recoveries_1.createWeightedRecoveries)(input.defaultsTable), buckets = _a.buckets, recoveries = _a.recoveries, maxTerms = _a.maxTerms, lastDate = _a.lastDate;
sw.slice();
termStructure = new Array((maxTerms || 1) - 1);
weightedTermStructure = new Array((maxTerms || 1) - 1);
if (input.defaultsTable.length > 0) {
firstBucketExposure = (0, sum_amount_before_date_1.sumAmountBeforeDate)(buckets['0'], lastDate);
prevSumOfPvOfRecovery = 0;
prevSumOfWeightedPvOfRecovery = 0;
for (termStep = 1; termStep < maxTerms; termStep++) {
sumOfPvOfRecovery = 0;
sumOfWeightedPvOfRecovery = 0;
discountIndex = 1;
for (bucketIndex = termStep; bucketIndex < maxTerms; bucketIndex++) {
endDate = (0, date_and_time_module_1.getEndOfMonth)(lastDate, -bucketIndex);
exposureBucket = (0, sum_amount_before_date_1.sumAmountBeforeDate)(buckets[(termStep - 1).toString()], endDate);
recoveryPercentage = exposureBucket === 0 ? 0 : (recoveries[bucketIndex] / exposureBucket);
discountFactor = 1 / Math.pow(1 + input.interestRate, discountIndex / 12);
sumOfPvOfRecovery += recoveryPercentage * discountFactor;
weighted = firstBucketExposure === 0 ? 0 : (exposureBucket / firstBucketExposure);
sumOfWeightedPvOfRecovery += recoveryPercentage * discountFactor * weighted;
discountIndex++;
// debugWorkspace[termStep - 1][bucketIndex] = {
// endDate,
// exposureBucket,
// recoveryPercentage,
// discountIndex: discountIndex - 1,
// discountFactor,
// pvOfRecovery: recoveryPercentage * discountFactor,
// weighted
// };
}
prevSumOfPvOfRecovery = Math.max(prevSumOfPvOfRecovery, Math.max(0, Math.min(1, 1 - sumOfPvOfRecovery)));
termStructure[termStep - 1] = { term: (termStep - 1) * 30, value: prevSumOfPvOfRecovery };
prevSumOfWeightedPvOfRecovery = Math.max(prevSumOfWeightedPvOfRecovery, Math.max(0, Math.min(1, 1 - sumOfWeightedPvOfRecovery)));
weightedTermStructure[termStep - 1] = { term: (termStep - 1) * 30, value: prevSumOfWeightedPvOfRecovery };
}
sw.slice();
}
sw.stop();
output = {
executeDuration: sw.getTime(),
termStructure: termStructure,
weightedTermStructure: weightedTermStructure,
};
return [2 /*return*/, output];
});
});
}
exports.calculateLgdTermStructure = calculateLgdTermStructure;