@turnbuckle/aprs-calculator-services
Version:
Anchorpoint Risk Calculator Service.
171 lines (170 loc) • 9.9 kB
JavaScript
;
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Object.defineProperty(exports, "__esModule", { value: true });
exports.HazardRateFacade = void 0;
var score_age_analysis_1 = require("./score-age-analysis");
var age_financial_transactions_1 = require("./age-financial-transactions");
var create_defaults_table_1 = require("./helper-functions/create-defaults-table");
var calculate_lgd_term_structure_1 = require("./calculate-lgd-term-structure");
var calculate_ccf_term_structure_1 = require("./calculate-ccf-term-structure");
var calculate_cohort_matrix_1 = require("./calculate-cohort-matrix");
var calculate_hazard_rate_matrix_1 = require("./calculate-hazard-rate-matrix");
var scoring_table_type_enums_1 = require("../../enums/scoring-table-type.enums");
var v8_1 = require("v8");
var structuredClone = function (obj) {
return v8_1.default.deserialize(v8_1.default.serialize(obj));
};
var HazardRateFacade = /** @class */ (function () {
function HazardRateFacade() {
}
/**
* ageAnalysis: AgeAnalysisItemInterface[]
* scoringType: ScoringTableTypeEnums
* scoringTable: ScoringTableItemInterface[]
* absorbingStates: number
* defaultsRating: number
* trackDefaultEvents: TrackDefaultEventTypeEnums
* interestRate: number
*/
HazardRateFacade.calculateLgdTermStructure = function (input) {
return __awaiter(this, void 0, void 0, function () {
var scoreAgeAnalysisResponse, executeDuration, defaultsTableResponse, termStructureResponse;
return __generator(this, function (_a) {
switch (_a.label) {
case 0: return [4 /*yield*/, HazardRateFacade.scoreAgeAnalysisIfNotAlreadyScored(input)];
case 1:
scoreAgeAnalysisResponse = _a.sent();
input.ageAnalysis = scoreAgeAnalysisResponse.ageAnalysis;
executeDuration = scoreAgeAnalysisResponse.executeDuration;
return [4 /*yield*/, (0, create_defaults_table_1.createDefaultsTable)(input)];
case 2:
defaultsTableResponse = _a.sent();
executeDuration += defaultsTableResponse.executeDuration;
return [4 /*yield*/, (0, calculate_lgd_term_structure_1.calculateLgdTermStructure)({ defaultsTable: defaultsTableResponse.defaultsTable, interestRate: input.interestRate })];
case 3:
termStructureResponse = _a.sent();
executeDuration += termStructureResponse.executeDuration;
termStructureResponse.executeDuration += executeDuration;
return [2 /*return*/, termStructureResponse];
}
});
});
};
/**
* ageAnalysis: AgeAnalysisItemInterface[]
* scoringType: ScoringTableTypeEnums
* scoringTable: ScoringTableItemInterface[]
* absorbingStates: number
* maxRating: number
* dataFrequencyScalar: number
*/
HazardRateFacade.calculateAllMatrices = function (input) {
return __awaiter(this, void 0, void 0, function () {
var output, scoreAgeAnalysisResponse, cohortMatrixResponse, migrationMatrixResponse;
return __generator(this, function (_a) {
switch (_a.label) {
case 0:
output = {
executeDuration: 0,
cohortMatrix: [],
migrationMatrix: [],
};
// adjust maxRating for ageing scoring with 2 absorbing states
input.maxRating = input.scoringTable[input.scoringTable.length - 1].rating + (input.scoringType === scoring_table_type_enums_1.ScoringTableTypeEnums.ageing && input.absorbingStates === 2 ? 1 : 0);
return [4 /*yield*/, HazardRateFacade.scoreAgeAnalysisIfNotAlreadyScored(input)];
case 1:
scoreAgeAnalysisResponse = _a.sent();
input.ageAnalysis = scoreAgeAnalysisResponse.ageAnalysis;
output.executeDuration += scoreAgeAnalysisResponse.executeDuration;
return [4 /*yield*/, (0, calculate_cohort_matrix_1.calculateCohortMatrix)(__assign({}, input))];
case 2:
cohortMatrixResponse = _a.sent();
output.executeDuration += cohortMatrixResponse.executeDuration;
output.cohortMatrix = cohortMatrixResponse.matrix;
return [4 /*yield*/, (0, calculate_hazard_rate_matrix_1.calculateHazardRateMatrix)(__assign({}, input))];
case 3:
migrationMatrixResponse = _a.sent();
output.executeDuration += migrationMatrixResponse.executeDuration;
output.migrationMatrix = migrationMatrixResponse.matrix;
return [2 /*return*/, output];
}
});
});
};
HazardRateFacade.scoreAgeAnalysisIfNotAlreadyScored = function (input) {
return __awaiter(this, void 0, void 0, function () {
var output, scoreAgeAnalysisResponse;
return __generator(this, function (_a) {
switch (_a.label) {
case 0:
output = {
executeDuration: 0,
ageAnalysis: input.ageAnalysis
};
if (!(input.ageAnalysis.length && input.ageAnalysis[0].rating == null)) return [3 /*break*/, 2];
return [4 /*yield*/, (0, score_age_analysis_1.scoreAgeAnalysis)(input)];
case 1:
scoreAgeAnalysisResponse = _a.sent();
output.ageAnalysis = scoreAgeAnalysisResponse.ageAnalysis;
output.executeDuration += scoreAgeAnalysisResponse.executeDuration;
_a.label = 2;
case 2: return [2 /*return*/, output];
}
});
});
};
HazardRateFacade.ageFinancialTransactions = age_financial_transactions_1.ageFinancialTransactions;
HazardRateFacade.scoreAgeAnalysis = score_age_analysis_1.scoreAgeAnalysis;
HazardRateFacade.calculateCcfTermStructure = calculate_ccf_term_structure_1.calculateCcfTermStructure;
HazardRateFacade.createDefaultsTable = create_defaults_table_1.createDefaultsTable;
HazardRateFacade.calculateHazardRateMatrix = calculate_hazard_rate_matrix_1.calculateHazardRateMatrix;
HazardRateFacade.calculateCohortMatrix = calculate_cohort_matrix_1.calculateCohortMatrix;
return HazardRateFacade;
}());
exports.HazardRateFacade = HazardRateFacade;