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actus

An L4 implementation of ACTUS, the Algorithmic Contract Types Unified Standards (actusfrf.org): types and functions for modelling standardised financial contracts.

IMPORT actus gives you every module below. To use only part of it, import a module by name, such as IMPORT `actus-core` .

Modules

Module Contents
actus Everything below, plus the evaluation engine
actus-core Contract types, roles and other enumerations
actus-terms Contract terms
actus-state Contract state
actus-events Event types and events
actus-daycount Day count conventions and year fractions
actus-schedule Schedule generation

Core types (actus-core)

Contract Type Taxonomy (~32 ACTUS contract types organised into families):

  • Basic Contract Type — PAM, LAM, NAM, ANN, CLM, CSH, STK, UMP, COM
  • Exotic Basic Contract Type — LAX, NAX, ANX
  • Combined Contract Type — SWAPS, SWPPV, OPTNS, FUTUR, FXOUT, CAPFL, BCS
  • Credit Enhancement Contract Type — CEG, CEC, MAR

Contract Role — RPA, RPL, CLO, CNO, COL, LG, ST, BUY, SEL, RFL, PFL, RF, PF

  • `role sign` — sign multiplier for payoff calculations (+1 or -1)

Contract Performance — PF (performant), DL (delayed), DQ (delinquent), DF (default), MA (matured), TE (terminated)

  • `is non-performing`, `is active` — performance predicates

Day Count Convention — AA, A360, A365, 30E360, 30E360ISDA, BUS252; `days in year for` gives the days in a year under a convention

Other Enums:

  • End of Month Convention — EOM, SD, EOMP
  • Business Day Convention — SCR, SCRF, SCRP, SCRMF, SCRMP
  • Calendar Type — NoCalendar, MondayToFriday, Calendar
  • Period Unit — Days, Weeks, Months, Quarters, Years
  • Stub Convention — Long/Short Initial/Final
  • Interest Payment Convention — PayInterest, CapitalizeInterest
  • Penalty Type — NoPenalty, AbsolutePenalty, RelativePenalty, InterestPenalty
  • Option Type / Option Exercise Type — Call, Put, Straddle / European, American, Bermudan
  • Scaling Effect — NoScaling, InterestScaling, PrincipalScaling, BothScaling
  • ACTUS Currency — `ACTUS USD`, `ACTUS EUR`, `ACTUS GBP`, `ACTUS JPY`, `ACTUS CHF`, `ACTUS CAD`, `ACTUS AUD`, `ACTUS CNY`, `ACTUS HKD`, `ACTUS SGD`, or `ACTUS Other` with an ISO code; `currency code` gives the ISO 4217 code as a STRING

ACTUS Amount — record with value and currency; `ACTUS_USD`, `ACTUS_EUR`, `ACTUS_GBP` and `ACTUS_SGD` build one from a number

Cycle — record with period, periodUnit, stub; convenience constructors: `Monthly Cycle`, `Quarterly Cycle`, `Semi-Annual Cycle`, `Annual Cycle`

Contract terms (actus-terms)

  • ACTUS Contract Terms — core contract parameters (ID, type, role, dates, principal, rate, day count convention)
  • FXOUT Terms — FX outright transaction parameters
  • `implied exchange rate` — derive rate from FX term amounts

Contract state (actus-state)

  • Contract State — runtime state (statusDate, contractPerformance, notionalPrincipal, accruedInterest, nominalInterestRate, feeAccrued)
  • `is fully paid`, `is in default`, `outstanding balance` — state predicates
  • `empty state` — default initial state

Contract events (actus-events)

Event Types: IED, PR, PP, MD, IP, IPCI, RR, RRF, FP, PY, TD, XD, STD, DV, CE, AD

  • Contract Event — record with eventType, eventDate, payoff, currency, notionalPrincipal, nominalInterestRate, accruedInterest
  • `make event` — event constructor
  • `event sequence`, `event name`, `event acronym` — event metadata
  • `is principal event`, `is interest event`, `has cash flow` — event predicates
  • `total payoff` — sum payoffs across a list of events

Day count conventions (actus-daycount)

  • `year fraction` — Y(S,E) calculation dispatching on convention
  • `year fraction A365`, `year fraction A360` — specific convention implementations
  • `days between` — raw day count between two dates
  • `accrued interest for period` — interest accrual given principal, rate, dates, and convention

Schedule generation (actus-schedule)

  • `add days` — date arithmetic on a number of days
  • `add months` — month arithmetic with month-end clamping; it is defined in daydate, which actus-schedule imports and passes on
  • `monthly schedule` — generate a list of monthly dates from a start date
  • `schedule length` — count dates in a schedule

Evaluation engine (actus)

Payoff Functions (POF):

  • `POF_IED` — Initial Exchange Date payoff
  • `POF_IP` — Interest Payment payoff
  • `POF_MD` — Maturity payoff
  • `POF_PR` — Principal Redemption payoff

State Transition Functions (STF):

  • `STF_IED` — initialise state after initial exchange
  • `STF_IP` — reset accrued interest after payment
  • `STF_MD` — contract reaches maturity
  • `STF_PR` — reduce notional by redemption amount

Interest Accrual:

  • `accrue interest to` — accrue interest from current state date to a target date

FX Transaction (FXOUT):

  • `FXOUT pay event`, `FXOUT receive event` — generate FX cash flow events

Cash Flow Projection:

  • `net cash flow` — sum all cash flows from a list of events