def Actus.Contract.Execution.toTime (d : Protocol.LocalTime) : Protocol.Time

Map a calendar date to the Time axis.

Equations

• Actus.Contract.Execution.toTime d = Actus.Util.Schedule.toTime d

def Actus.Contract.Execution.cyclicTimes (cfg : Protocol.ScheduleConfig) (anchor : Option Protocol.LocalTime) (cyc : Option Protocol.Cycle) (ied md : Option Protocol.LocalTime) (includeEnd : Bool := true) : List Protocol.Time

Cyclic schedule for one event family, as Times.

• no cycle and no anchor ⇒ the event is not scheduled ([]);
• no cycle but an explicit anchor ⇒ a single occurrence at the anchor;
• a cycle ⇒ the cyclic times up to md, with the anchor defaulting to IED + cycle when not given.

Equations

• Actus.Contract.Execution.cyclicTimes cfg (some a) none ied md includeEnd = [Actus.Contract.Execution.toTime a]
• Actus.Contract.Execution.cyclicTimes cfg none none ied md includeEnd = []
• Actus.Contract.Execution.cyclicTimes cfg anchor (some c) ied (some tEnd) includeEnd = List.map Actus.Contract.Execution.toTime (Actus.Util.Schedule.schedule cfg a (some c) tEnd includeEnd)
• Actus.Contract.Execution.cyclicTimes cfg anchor (some c) ied md✝ includeEnd = []

def Actus.Contract.Execution.maturityOf (ct : Terms Float) : Option Protocol.LocalTime

Maturity date: the explicit maturityDate, or — for amortizers that omit it — the redemption-count-derived t⁻ + ⌈NT/PRNXT⌉·PRCL (§7.2 Md init), where t⁻ is the principal-redemption anchor (or IED + PRCL). This is the LAM formula; NAM/ANN's interest-adjusted period count is approximated by it.

Equations

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

def Actus.Contract.Execution.genSchedule (ct : Terms Float) (includePR : Bool) (mEOD tEOD : Bool := false) : Protocol.Schedule

Build the full event schedule for a lending contract. includePR adds the principal-redemption cycle (LAM/NAM/ANN). mEOD/tEOD mark the maturity / termination as end-of-day (23:59:59): the structure uses the written date, but those settlement events are rolled to the next midnight.

Equations

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

def Actus.Contract.Execution.mdTime (ct : Terms Float) : Protocol.Time

Maturity date on the Time axis (0 if it cannot be determined).

Equations

• Actus.Contract.Execution.mdTime ct = (Option.map Actus.Contract.Execution.toTime (Actus.Contract.Execution.maturityOf ct)).getD 0

def Actus.Contract.Execution.sdTime (ct : Terms Float) : Protocol.Time

Status date on the Time axis.

Equations

• Actus.Contract.Execution.sdTime ct = Actus.Contract.Execution.toTime ct.statusDate

def Actus.Contract.Execution.remapSettlement (cfg : Protocol.ScheduleConfig) (cfs : Protocol.Cashflows) : Protocol.Cashflows

Stamp each cash flow on its business-day settlement date. For CS* conventions the schedule (and hence all accruals) used the unshifted date; this applies the deferred shift to the event timestamp only. Identity for SC*/NULL.

Equations

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

def Actus.Contract.Execution.afterPurchase (ct : Terms Float) (cfs : Protocol.Cashflows) : Protocol.Cashflows

When the contract is purchased mid-life, the analyzing party's cash flows start at the purchase date: drop everything strictly before it (the state still evolved through those events, but they belong to the seller).

Equations

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

def Actus.Contract.Execution.numPR (sched : Protocol.Schedule) : ℕ

Number of PR events in a schedule.

Equations

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

def Actus.Contract.Execution.bdcShift (cfg : Protocol.ScheduleConfig) (d : Protocol.LocalTime) : Protocol.LocalTime

Shift a date onto a business day per the contract's business-day convention and calendar (identity when no convention is set).

Equations

• Actus.Contract.Execution.bdcShift cfg d = match cfg.businessDayConvention with | some bdc => Actus.Util.Conventions.applyBDC bdc cfg.calendar d | none => d

def Actus.Contract.Execution.sortCF (cfs : Protocol.Cashflows) : Protocol.Cashflows

Order a cashflow list by (time, event-type priority).

Equations

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