Documentation

Actus.Util.Conventions

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def Actus.Util.Conventions.sign {α : Type} [Amount α] :
Protocol.ContractRole → α

Contract-role sign: +1 for a claim (asset side), -1 for an obligation. Generic over the amount type so the same formula serves the executable (Float) and the relational (ℝ) models.

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    def Actus.Util.Conventions.endOfMonth (d : Protocol.LocalTime) :
    Protocol.LocalTime

    Last calendar day of d's month.

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      def Actus.Util.Conventions.isEndOfMonth (d : Protocol.LocalTime) :
      Bool

      Is d the last day of its month?

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        def Actus.Util.Conventions.eomApplies (anchor : Protocol.LocalTime) :
        Bool

        An anchor triggers the EOM convention when it is the last day of a month that is shorter than 31 days (§3.3).

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          def Actus.Util.Conventions.applyEOM (eomc : Protocol.EndOfMonthConvention) (anchor : Protocol.LocalTime) (cycleIsMonthly : Bool) (d : Protocol.LocalTime) :
          Protocol.LocalTime

          Apply the end-of-month convention to a generated schedule time d, given the schedule's anchor. Only relevant for month-or-longer cycles; the caller passes that decision via cycleIsMonthly.

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            def Actus.Util.Conventions.isBusinessDay (cal : Option Protocol.Calendar) (d : Protocol.LocalTime) :
            Bool

            Is d a business day under calendar cal? CLDR_NC (and the absence of a calendar) treats every calendar day as a business day.

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              partial def Actus.Util.Conventions.shiftFollowing (cal : Option Protocol.Calendar) (d : Protocol.LocalTime) :
              Protocol.LocalTime

              Next business day on/after d (fuel-bounded; a week is always enough).

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              def Actus.Util.Conventions.shiftPreceding (cal : Option Protocol.Calendar) (d : Protocol.LocalTime) :
              Protocol.LocalTime

              Latest business day on/before d.

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                def Actus.Util.Conventions.shiftPreceding.go (cal : Option Protocol.Calendar) (fuel : ℕ) (x : Protocol.LocalTime) :
                Protocol.LocalTime
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                  def Actus.Util.Conventions.applyBDC (bdc : Protocol.BusinessDayConvention) (cal : Option Protocol.Calendar) (d : Protocol.LocalTime) :
                  Protocol.LocalTime

                  Apply a business-day convention to the event date. The shift/calculate distinction (SC* vs CS*) affects only which date the year-fraction is computed from, not the resulting event date, so both collapse here.

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                    def Actus.Util.Conventions.isShiftFirst :
                    Protocol.BusinessDayConvention → Bool

                    Does the convention shift before calculating (SC*)? Such conventions move the schedule date first, so calculations use the shifted date. The calculate-then-shift family (CS*) and NULL do not.

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                      def Actus.Util.Conventions.applyConventions (cfg : Protocol.ScheduleConfig) (anchor : Protocol.LocalTime) (cycleIsMonthly : Bool) (d : Protocol.LocalTime) :
                      Protocol.LocalTime

                      Apply EOM, then — for shift-then-calculate (SC*) conventions — the business-day shift, so that calculations downstream use the shifted date. For CS* conventions the shift is deferred to settlementDate (the schedule keeps the unshifted date so accruals are computed on it).

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                        def Actus.Util.Conventions.settlementDate (cfg : Protocol.ScheduleConfig) (d : Protocol.LocalTime) :
                        Protocol.LocalTime

                        The business-day on which a schedule time settles. For CS* conventions this applies the deferred shift (the event is stamped on the business day while accruals used the unshifted date); for SC* the shift already happened in applyConventions, and NULL/none never shift.

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