@[reducible, inline]

abbrev Actus.Contract.Terms (α : Type) : Type

Shared contract terms = the dictionary ContractTerms over α.

Equations

• Actus.Contract.Terms α = Actus.Protocol.ContractTerms α

def Actus.Contract.defaultTerms : Terms Float

A blank Float contract: every optional attribute undefined, sensible defaults for the required ones. Build concrete contracts with record-update syntax, e.g. { defaultTerms with notionalPrincipal := some 1000.0, … }.

Equations

• One or more equations did not get rendered due to their size.

def Actus.Contract.Terms.nt {α : Type} [Amount α] (ct : Terms α) : α

Equations

• ct.nt = Actus.Contract.Terms.f✝ ct.notionalPrincipal

def Actus.Contract.Terms.ipnr {α : Type} [Amount α] (ct : Terms α) : α

Equations

• ct.ipnr = Actus.Contract.Terms.f✝ ct.nominalInterestRate

def Actus.Contract.Terms.fer {α : Type} [Amount α] (ct : Terms α) : α

Equations

• ct.fer = Actus.Contract.Terms.f✝ ct.feeRate

def Actus.Contract.Terms.pdied {α : Type} [Amount α] (ct : Terms α) : α

Equations

• ct.pdied = Actus.Contract.Terms.f✝ ct.premiumDiscountAtIED

def Actus.Contract.Terms.pprd {α : Type} [Amount α] (ct : Terms α) : α

Equations

• ct.pprd = Actus.Contract.Terms.f✝ ct.priceAtPurchaseDate

def Actus.Contract.Terms.ptd {α : Type} [Amount α] (ct : Terms α) : α

Equations

• ct.ptd = Actus.Contract.Terms.f✝ ct.priceAtTerminationDate

def Actus.Contract.Terms.pyrt {α : Type} [Amount α] (ct : Terms α) : α

Equations

• ct.pyrt = Actus.Contract.Terms.f✝ ct.penaltyRate

def Actus.Contract.Terms.rrsp {α : Type} [Amount α] (ct : Terms α) : α

Equations

• ct.rrsp = Actus.Contract.Terms.f✝ ct.rateSpread

def Actus.Contract.Terms.rrmlt {α : Type} [Amount α] (ct : Terms α) : α

Rate multiplier defaults to 1 (identity) when absent.

Equations

• ct.rrmlt = ct.rateMultiplier.getD 1

def Actus.Contract.Terms.rrnxt {α : Type} [Amount α] (ct : Terms α) : α

Equations

• ct.rrnxt = Actus.Contract.Terms.f✝ ct.nextResetRate

def Actus.Contract.Terms.prnxt {α : Type} [Amount α] (ct : Terms α) : α

Equations

• ct.prnxt = Actus.Contract.Terms.f✝ ct.nextPrincipalRedemptionPayment

def Actus.Contract.Terms.ipcba {α : Type} [Amount α] (ct : Terms α) : α

Equations

• ct.ipcba = Actus.Contract.Terms.f✝ ct.interestCalculationBaseA

def Actus.Contract.Terms.feb {α : Type} (ct : Terms α) : Protocol.FeeBasis

Equations

• ct.feb = ct.feeBasis.getD Actus.Protocol.FeeBasis.FEB_A

def Actus.Contract.Terms.scief {α : Type} (ct : Terms α) : Protocol.ScalingEffect

Equations

• ct.scief = ct.scalingEffect.getD Actus.Protocol.ScalingEffect.SE_OOO

def Actus.Contract.Terms.scied {α : Type} [Amount α] (ct : Terms α) : α

Equations

• ct.scied = ct.scalingIndexAtContractDealDate.getD 1

def Actus.Contract.Terms.cntrl {α : Type} (ct : Terms α) : Protocol.ContractRole

Equations

• ct.cntrl = ct.contractRole

def Actus.Contract.Terms.dcc {α : Type} (ct : Terms α) : Protocol.DayCountConvention

Equations

• ct.dcc = ct.dayCountConvention.getD Actus.Protocol.DayCountConvention.DCC_A_360

def Actus.Contract.clampHi {α : Type} [Amount α] (c : Option α) (x : α) : α

Apply an optional upper bound: min x c when present, else x.

Equations

• Actus.Contract.clampHi (some c_2) x = x ⊓ c_2
• Actus.Contract.clampHi none x = x

def Actus.Contract.clampLo {α : Type} [Amount α] (fl : Option α) (x : α) : α

Apply an optional lower bound: max x f when present, else x.

Equations

• Actus.Contract.clampLo (some c_1) x = x ⊔ c_1
• Actus.Contract.clampLo none x = x

structure Actus.Contract.State (α : Type) : Type

Shared contract state variables (ACTUS dictionary short names). Md/Sd are serial day numbers on the Time axis; the monetary/rate variables have the generic amount type α.

• md : Protocol.Time
• nt : α
• ipnr : α
• ipac : α
• feac : α
• nsc : α
• isc : α
• prnxt : α
• ipcb : α
• prf : Protocol.Performance
• sd : Protocol.Time

def Actus.Contract.instReprState.repr {α✝ : Type} [Repr α✝] : State α✝ → ℕ → Std.Format

Equations

• One or more equations did not get rendered due to their size.

@[implicit_reducible]

instance Actus.Contract.instReprState {α✝ : Type} [Repr α✝] : Repr (State α✝)

Equations

• Actus.Contract.instReprState = { reprPrec := Actus.Contract.instReprState.repr }

structure Actus.Contract.RiskFactorEnv (α : Type) [Amount α] : Type

The risk-factor observations the lending STF/POF formulas depend on. curs is the settlement-currency factor X^CURS(t); marketRate is Oʳᶠ(RRMO, t); prepayment is Oᵉᵛ(CID, PP, t); yf s t is the year fraction Y(s, t) (a convention observation — see the module header).

• curs : Protocol.Time → α
• marketRate : Protocol.Time → α
• prepayment : Protocol.Time → α
• annuityYfs : Protocol.Time → List α

  Year fractions of the principal-redemption periods remaining as of a reset time, used to recompute the ANN annuity amount A (§3.8).

• scalingIndex : Protocol.Time → α

  Scaling index Oʳᶠ(SCMO, t) driving the SC scaling multipliers.

• marketRateOf : String → Protocol.Time → α

  Market rate by market-object code: Oʳᶠ(m, t). Used by composite contracts (SWAPS) to resolve each leg's own rate-reset series.

• dividends : List (Protocol.Time × α)

  Observed dividend stream Oᵉᵛ(DV) — (date, amount) pairs (STK).

• creditEvents : List (Protocol.Time × String × String)

  Observed credit events Oᵉᵛ(CE) — (event time, contract id, performance state) triples. Drives credit-enhancement payouts (CEG / CEC).

• exerciseDate : Option Protocol.Time

  Observed exercise time Oᵉᵛ(CID) — the latest XD event, which closes an open-maturity contract (a CLM "call"). none ⇒ no exercise observed.

• yf : Protocol.Time → Protocol.Time → α

  Year fraction Y(s, t) between two Time points.

• maturityEOD : Bool

  Maturity / termination given as end-of-day (23:59:59): the event settles and accrues to the next midnight while the schedule structure uses the written date (§2.8).

• terminationEOD : Bool
• purchaseEOD : Bool

def Actus.Contract.RiskFactorEnv.id {α : Type} [Amount α] : RiskFactorEnv α

Trivial environment: unit fx factor, no market rate, no prepayment.

Equations

• Actus.Contract.RiskFactorEnv.id = { }

def Actus.Contract.scalesInterest : Protocol.ScalingEffect → Bool

Does the scaling effect scale interest (Isc)?

Equations

• Actus.Contract.scalesInterest Actus.Protocol.ScalingEffect.SE_IOO = true
• Actus.Contract.scalesInterest Actus.Protocol.ScalingEffect.SE_INO = true
• Actus.Contract.scalesInterest x✝ = false

def Actus.Contract.scalesNotional : Protocol.ScalingEffect → Bool

Does the scaling effect scale the notional (Nsc)?

Equations

• Actus.Contract.scalesNotional Actus.Protocol.ScalingEffect.SE_ONO = true
• Actus.Contract.scalesNotional Actus.Protocol.ScalingEffect.SE_INO = true
• Actus.Contract.scalesNotional x✝ = false

def Actus.Contract.yf (ct : Terms Float) (s t : Protocol.Time) : Float

Y(s, t) for the contract's day-count convention, with s,t on the Time axis (converted back to calendar dates via ofEpochDay).

Equations

• Actus.Contract.yf ct s t = Actus.Util.DayCount.yearFraction ct.dcc (Actus.Util.Date.ofEpochDay ↑s) (Actus.Util.Date.ofEpochDay ↑t)