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ACTUS Library

Algorithmic Contract Types Unified Standards (actusfrf.org) implementation in L4. Provides types and functions for modelling standardised financial contracts.

Import with IMPORT actus to get all modules, or import individual modules selectively.

Location

File Purpose
actus.l4 Main entry point (re-exports all modules)
actus-core.l4 Core types (contract types, roles, enums)
actus-terms.l4 Contract term definitions
actus-state.l4 Contract state variables
actus-events.l4 Event types and operations
actus-daycount.l4 Day count conventions and year fractions
actus-schedule.l4 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

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 — USD, EUR, GBP, JPY, CHF, CAD, AUD, CNY, HKD, SGD, or custom via ACTUS Other

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 months`, `add days` — date arithmetic with month-end clamping
  • `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

See the actus.l4 source and sub-modules for full details.