@turnbuckle/aprs-calculator-services
Version:
Anchorpoint Risk Calculator Service.
312 lines (311 loc) • 17.3 kB
JavaScript
;
var __assign = (this && this.__assign) || function () {
__assign = Object.assign || function(t) {
for (var s, i = 1, n = arguments.length; i < n; i++) {
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};
return __assign.apply(this, arguments);
};
var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
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function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
step((generator = generator.apply(thisArg, _arguments || [])).next());
});
};
var __generator = (this && this.__generator) || function (thisArg, body) {
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Object.defineProperty(exports, "__esModule", { value: true });
exports.findDefaultTriggers = exports.createDefaultsTable = void 0;
var ts_stopwatch_1 = require("ts-stopwatch");
var sort_module_1 = require("../../../common/sort.module");
var track_default_event_type_enums_1 = require("../../../enums/track-default-event-type.enums");
var ead_calculation_approach_enums_1 = require("../../../enums/ead-calculation-approach.enums");
var create_extrapolated_defaults_hashmap_1 = require("./create-extrapolated-defaults-hashmap");
var Joi = require("joi");
/**
* @CreateDefaultsTableInputModelInterface input
* - ageAnalysis: array of age analysis complete with ageing steps and scoring
* - defaultsBucket: defaulting bucket in scoring table used to score age analysis
* only invoices that go into default will have their default transactions added to defaultsTable
* @CreateDefaultsTableOutputModelInterface output
* - defaultsTable: array of invoices that have gone into default
*/
function createDefaultsTable(input) {
return __awaiter(this, void 0, void 0, function () {
var sw, validSchema, ageAnalysis, maxDate, defaultsHashMap, defaultsTable, key, trnAgeAnalysis, triggers, period, lastTriggerDate, lastTriggerBalance, i, trigger;
var _a, _b;
return __generator(this, function (_c) {
switch (_c.label) {
case 0:
sw = new ts_stopwatch_1.Stopwatch();
sw.start();
validSchema = Joi.object({
ageAnalysis: Joi.array().min(1).required(),
defaultsRating: Joi.number().greater(0).required(),
trackDefaultEvents: (_a = Joi.number()).valid.apply(_a, Object.values(track_default_event_type_enums_1.TrackDefaultEventTypeEnums)).required(),
eadCalculationApproach: (_b = Joi.number()).valid.apply(_b, Object.values(ead_calculation_approach_enums_1.EadCalculationApproachEnums)).required(),
}).unknown();
return [4 /*yield*/, validSchema.validateAsync(input)];
case 1:
_c.sent();
sw.slice();
ageAnalysis = (0, sort_module_1.sortByDateAscending)(input.ageAnalysis);
maxDate = ageAnalysis[ageAnalysis.length - 1].date;
ageAnalysis = (0, sort_module_1.sortByTransactionNumberAndThenDate)(input.ageAnalysis);
return [4 /*yield*/, (0, create_extrapolated_defaults_hashmap_1.createExtrapolatedDefaultsHashmap)(ageAnalysis, input.defaultsRating, maxDate)];
case 2:
defaultsHashMap = _c.sent();
sw.slice();
defaultsTable = [];
for (key in defaultsHashMap) { // for each transaction in the age analysis
if (defaultsHashMap.hasOwnProperty(key)) {
trnAgeAnalysis = defaultsHashMap[key];
triggers = findDefaultTriggers(trnAgeAnalysis, input.defaultsRating, input.trackDefaultEvents);
period = 0;
lastTriggerDate = trnAgeAnalysis[0].date;
lastTriggerBalance = 0;
for (i = 0; i < trnAgeAnalysis.length; i++) {
trigger = getTriggerRange(i, triggers);
if (trigger !== undefined) {
lastTriggerDate = trigger.date;
if (i === trigger.startIndex) {
lastTriggerBalance = trigger.startBalance;
}
else {
// apply approach logic
switch (input.eadCalculationApproach) {
case ead_calculation_approach_enums_1.EadCalculationApproachEnums.BalanceMovementApproach:
lastTriggerBalance = trnAgeAnalysis[i].balance;
break;
case ead_calculation_approach_enums_1.EadCalculationApproachEnums.PaymentsReceivedApproach:
lastTriggerBalance += trnAgeAnalysis[i].amount;
break;
}
}
}
else {
lastTriggerBalance = 0;
}
defaultsTable.push({
transactionNumber: trnAgeAnalysis[i].transactionNumber,
date: lastTriggerDate,
amount: lastTriggerBalance,
bucket: period++,
rating: trnAgeAnalysis[i].rating
});
}
}
}
sw.stop();
return [2 /*return*/, {
executeDuration: sw.getTime(),
defaultsTable: defaultsTable
}];
}
});
});
}
exports.createDefaultsTable = createDefaultsTable;
function getTriggerRange(index, triggers) {
for (var i = 0; i < triggers.length; i++) {
if (index >= triggers[i].startIndex && index <= triggers[i].endIndex) {
return triggers[i];
}
}
return undefined;
}
function isInTriggerRange(index, triggers) {
for (var i = 0; i < triggers.length; i++) {
if (index >= triggers[i].startIndex && index <= triggers[i].endIndex) {
return true;
}
}
return false;
}
function findDefaultTriggers(ageAnalysis, defaultRating, approach) {
var triggers = [];
var item = {};
switch (approach) {
case track_default_event_type_enums_1.TrackDefaultEventTypeEnums.LifetimeSingle:
// starting with 1st item in default
// stop after the first cure (out of default)
// but if last observation is in default, extend to end
for (var i = 0; i < ageAnalysis.length; i++) {
if (item.transactionNumber !== ageAnalysis[i].transactionNumber) {
item = {
transactionNumber: ageAnalysis[i].transactionNumber,
startIndex: -1,
endIndex: -1,
startBalance: 0
};
}
// only trigger next default period if startIndex === -1 (-2 = ignore the rest of the transaction)
if (ageAnalysis[i].rating >= defaultRating && item.startIndex === -1) {
item = __assign(__assign({}, item), { date: ageAnalysis[i].date, startIndex: i, startBalance: ageAnalysis[i].balance });
// check to see if last observation is in default
for (var j = i; j < ageAnalysis.length; j++) {
if (j === ageAnalysis.length - 1 || item.transactionNumber !== ageAnalysis[j + 1].transactionNumber) {
if (ageAnalysis[j].rating >= defaultRating) {
i = j; // set current index to end of transactions
}
break;
}
}
}
if (item.startIndex >= 0) { // only process if in default period
if (i === ageAnalysis.length - 1) {
triggers.push(__assign(__assign({}, item), { endIndex: i }));
continue;
}
if (item.transactionNumber !== ageAnalysis[i + 1].transactionNumber) {
triggers.push(__assign(__assign({}, item), { endIndex: i }));
continue;
}
if (ageAnalysis[i + 1].rating < defaultRating) { // should still be for the same transaction
triggers.push(__assign(__assign({}, item), { endIndex: i }));
item.startIndex = -2; // no more processing for this transaction
continue;
}
}
}
break;
case track_default_event_type_enums_1.TrackDefaultEventTypeEnums.LifetimeMultiple:
// every start of a default period must be triggered
for (var i = 0; i < ageAnalysis.length; i++) {
if (item.transactionNumber !== ageAnalysis[i].transactionNumber) {
item = {
transactionNumber: ageAnalysis[i].transactionNumber,
startIndex: -1,
endIndex: -1,
startBalance: 0
};
}
// only trigger next default period if startIndex === -1 (-2 = ignore the rest of the transaction)
if (ageAnalysis[i].rating >= defaultRating && item.startIndex === -1) {
item = __assign(__assign({}, item), { date: ageAnalysis[i].date, startIndex: i, startBalance: ageAnalysis[i].balance });
}
if (item.startIndex >= 0) { // only process if in default period
if (i === ageAnalysis.length - 1) {
triggers.push(__assign(__assign({}, item), { endIndex: i }));
continue;
}
if (item.transactionNumber !== ageAnalysis[i + 1].transactionNumber) {
triggers.push(__assign(__assign({}, item), { endIndex: i }));
continue;
}
if (ageAnalysis[i + 1].rating < defaultRating) { // should still be for the same transaction
triggers.push(__assign(__assign({}, item), { endIndex: i }));
item.startIndex = -1; // flag to look for next start event
continue;
}
}
}
break;
case track_default_event_type_enums_1.TrackDefaultEventTypeEnums.TwelveMonthSingle:
// starting with 1st item in default
// stop after the first cure (out of default)
for (var i = 0; i < ageAnalysis.length; i++) {
if (item.transactionNumber !== ageAnalysis[i].transactionNumber) {
item = {
transactionNumber: ageAnalysis[i].transactionNumber,
startIndex: -1,
endIndex: -1,
startBalance: 0
};
}
// only trigger next default period if startIndex === -1 (-2 = ignore the rest of the transaction)
if (ageAnalysis[i].rating >= defaultRating && item.startIndex === -1) {
item = __assign(__assign({}, item), { date: ageAnalysis[i].date, startIndex: i, startBalance: ageAnalysis[i].balance });
}
if (item.startIndex >= 0) { // only process if in default period
if (i === ageAnalysis.length - 1) {
triggers.push(__assign(__assign({}, item), { endIndex: i }));
continue;
}
if (item.transactionNumber !== ageAnalysis[i + 1].transactionNumber) {
triggers.push(__assign(__assign({}, item), { endIndex: i }));
continue;
}
if (ageAnalysis[i + 1].rating < defaultRating) { // should still be for the same transaction
triggers.push(__assign(__assign({}, item), { endIndex: i }));
item.startIndex = -2; // no more processing for this transaction
continue;
}
}
}
break;
default: // no applied LGD approach
// starting with 1st item in default
// and continues until the end regardless
for (var i = 0; i < ageAnalysis.length; i++) {
if (item.transactionNumber !== ageAnalysis[i].transactionNumber) {
item = {
transactionNumber: ageAnalysis[i].transactionNumber,
startIndex: -1,
endIndex: -1,
startBalance: 0
};
}
if (ageAnalysis[i].rating >= defaultRating && item.startIndex < 0) {
item = __assign(__assign({}, item), { date: ageAnalysis[i].date, startIndex: i, startBalance: ageAnalysis[i].balance });
}
// only end the trigger when last item in array
// or the next item has a different transaction number
if (item.startIndex >= 0) {
if (i === ageAnalysis.length - 1) {
triggers.push(__assign(__assign({}, item), { endIndex: i }));
continue;
}
if (item.transactionNumber !== ageAnalysis[i + 1].transactionNumber) {
triggers.push(__assign(__assign({}, item), { endIndex: i }));
continue;
}
}
}
break;
}
return triggers;
}
exports.findDefaultTriggers = findDefaultTriggers;
function resetDefaultEvent(transactionNumber) {
return {
transactionNumber: transactionNumber,
date: 0,
bucket: 0,
lastDefaultRatingIndex: 0,
started: false,
balance: 0,
};
}