@fintekkers/ledger-models 0.2.2 → 0.2.4

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Files changed (8) hide show
  1. package/node/fintekkers/models/position/measure_pb.d.ts +2 -0
  2. package/node/fintekkers/models/position/measure_pb.js +3 -1
  3. package/node/fintekkers/requests/valuation/curve_request_pb.d.ts +3 -0
  4. package/node/fintekkers/requests/valuation/curve_request_pb.js +31 -1
  5. package/node/wrappers/models/position/measure.test.js +4 -0
  6. package/node/wrappers/models/position/measure.test.js.map +1 -1
  7. package/node/wrappers/models/position/measure.test.ts +4 -0
  8. package/package.json +1 -1
package/node/fintekkers/models/position/measure_pb.d.ts CHANGED
@@ -32,4 +32,6 @@ export enum MeasureProto {
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  CLEAN_PRICE = 23,
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  MODIFIED_DURATION = 24,
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  DV01 = 25,
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+ DISCOUNT_YIELD = 26,
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+ BOND_EQUIVALENT_YIELD = 27,
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  }
package/node/fintekkers/models/position/measure_pb.js CHANGED
@@ -50,7 +50,9 @@ proto.fintekkers.models.position.MeasureProto = {
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  DIRTY_PRICE: 22,
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  CLEAN_PRICE: 23,
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  MODIFIED_DURATION: 24,
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- DV01: 25
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+ DV01: 25,
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+ DISCOUNT_YIELD: 26,
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+ BOND_EQUIVALENT_YIELD: 27
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  };
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  goog.object.extend(exports, proto.fintekkers.models.position);
package/node/fintekkers/requests/valuation/curve_request_pb.d.ts CHANGED
@@ -74,6 +74,8 @@ export class CurveRequestProto extends jspb.Message {
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  getTenorPointsList(): Array<fintekkers_models_util_decimal_value_pb.DecimalValueProto>;
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  setTenorPointsList(value: Array<fintekkers_models_util_decimal_value_pb.DecimalValueProto>): CurveRequestProto;
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  addTenorPoints(value?: fintekkers_models_util_decimal_value_pb.DecimalValueProto, index?: number): fintekkers_models_util_decimal_value_pb.DecimalValueProto;
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+ getForwardTermYears(): number;
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+ setForwardTermYears(value: number): CurveRequestProto;
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  serializeBinary(): Uint8Array;
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  toObject(includeInstance?: boolean): CurveRequestProto.AsObject;
@@ -93,5 +95,6 @@ export namespace CurveRequestProto {
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  curveTypesList: Array<fintekkers_models_position_measure_pb.MeasureProto>,
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  curveInputsList: Array<CurveInputProto.AsObject>,
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  tenorPointsList: Array<fintekkers_models_util_decimal_value_pb.DecimalValueProto.AsObject>,
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+ forwardTermYears: number,
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  }
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  }
package/node/fintekkers/requests/valuation/curve_request_pb.js CHANGED
@@ -425,7 +425,8 @@ proto.fintekkers.requests.valuation.CurveRequestProto.toObject = function(includ
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  curveInputsList: jspb.Message.toObjectList(msg.getCurveInputsList(),
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  proto.fintekkers.requests.valuation.CurveInputProto.toObject, includeInstance),
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  tenorPointsList: jspb.Message.toObjectList(msg.getTenorPointsList(),
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- fintekkers_models_util_decimal_value_pb.DecimalValueProto.toObject, includeInstance)
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+ fintekkers_models_util_decimal_value_pb.DecimalValueProto.toObject, includeInstance),
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+ forwardTermYears: jspb.Message.getFieldWithDefault(msg, 50, 0)
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  };
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  if (includeInstance) {
@@ -491,6 +492,10 @@ proto.fintekkers.requests.valuation.CurveRequestProto.deserializeBinaryFromReade
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  reader.readMessage(value,fintekkers_models_util_decimal_value_pb.DecimalValueProto.deserializeBinaryFromReader);
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  msg.addTenorPoints(value);
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  break;
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+ case 50:
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+ var value = /** @type {number} */ (reader.readUint32());
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+ msg.setForwardTermYears(value);
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+ break;
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  default:
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  reader.skipField();
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  break;
@@ -565,6 +570,13 @@ proto.fintekkers.requests.valuation.CurveRequestProto.serializeBinaryToWriter =
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  fintekkers_models_util_decimal_value_pb.DecimalValueProto.serializeBinaryToWriter
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  );
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  }
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+ f = message.getForwardTermYears();
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+ if (f !== 0) {
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+ writer.writeUint32(
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+ 50,
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+ f
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+ );
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+ }
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  };
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@@ -754,4 +766,22 @@ proto.fintekkers.requests.valuation.CurveRequestProto.prototype.clearTenorPoints
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  };
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+ /**
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+ * optional uint32 forward_term_years = 50;
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+ * @return {number}
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+ */
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+ proto.fintekkers.requests.valuation.CurveRequestProto.prototype.getForwardTermYears = function() {
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+ return /** @type {number} */ (jspb.Message.getFieldWithDefault(this, 50, 0));
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+ };
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+
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+
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+ /**
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+ * @param {number} value
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+ * @return {!proto.fintekkers.requests.valuation.CurveRequestProto} returns this
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+ */
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+ proto.fintekkers.requests.valuation.CurveRequestProto.prototype.setForwardTermYears = function(value) {
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+ return jspb.Message.setProto3IntField(this, 50, value);
784
+ };
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+
786
+
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  goog.object.extend(exports, proto.fintekkers.requests.valuation);
package/node/wrappers/models/position/measure.test.js CHANGED
@@ -64,6 +64,8 @@ describe('Measure.getAllTypeNames', () => {
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  // CLEAN_PRICE = 23;
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  // MODIFIED_DURATION = 24;
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  // DV01 = 25;
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+ // DISCOUNT_YIELD = 26; (v0.2.3, #209 — TBill yield conventions)
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+ // BOND_EQUIVALENT_YIELD = 27; (v0.2.3, #209)
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  expect(measure_1.Measure.getAllTypeNames()).toEqual([
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  'DIRECTED_QUANTITY',
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  'MARKET_VALUE',
@@ -89,6 +91,8 @@ describe('Measure.getAllTypeNames', () => {
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  'CLEAN_PRICE',
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  'MODIFIED_DURATION',
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  'DV01',
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+ 'DISCOUNT_YIELD',
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+ 'BOND_EQUIVALENT_YIELD',
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  ]);
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  });
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  test('excludes the UNKNOWN_MEASURE sentinel', () => {
package/node/wrappers/models/position/measure.test.js.map CHANGED
@@ -1 +1 @@
1
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1
+ {"version":3,"file":"measure.test.js","sourceRoot":"","sources":["measure.test.ts"],"names":[],"mappings":";;AAAA,uCAAoC;AACpC,+EAA8E;AAE9E,QAAQ,CAAC,kBAAkB,EAAE,GAAG,EAAE;IAC9B,IAAI,CAAC,IAAI,CAAC,iBAAO,CAAC,eAAe,EAAE,CAAC,CAChC,wDAAwD,EACxD,CAAC,IAAY,EAAE,EAAE;QACb,MAAM,KAAK,GAAG,iBAAO,CAAC,QAAQ,CAAC,IAAI,CAAC,CAAC;QACrC,MAAM,QAAQ,GAAI,yBAAkD,CAAC,IAAI,CAAC,CAAC;QAC3E,MAAM,CAAC,KAAK,CAAC,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;IACjC,CAAC,CACJ,CAAC;IAEF,IAAI,CAAC,2DAA2D,EAAE,GAAG,EAAE;QACnE,IAAI,GAAsB,CAAC;QAC3B,IAAI;YACA,iBAAO,CAAC,QAAQ,CAAC,oBAAoB,CAAC,CAAC;SAC1C;QAAC,OAAO,CAAC,EAAE;YACR,GAAG,GAAG,CAAU,CAAC;SACpB;QACD,MAAM,CAAC,GAAG,CAAC,CAAC,WAAW,EAAE,CAAC;QAC1B,MAAM,CAAC,GAAI,CAAC,OAAO,CAAC,CAAC,SAAS,CAAC,oBAAoB,CAAC,CAAC;QACrD,iCAAiC;QACjC,MAAM,CAAC,GAAI,CAAC,OAAO,CAAC,CAAC,SAAS,CAAC,eAAe,CAAC,CAAC;QAChD,MAAM,CAAC,GAAI,CAAC,OAAO,CAAC,CAAC,SAAS,CAAC,aAAa,CAAC,CAAC;IAClD,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,gEAAgE,EAAE,GAAG,EAAE;QACxE,6DAA6D;QAC7D,+DAA+D;QAC/D,6DAA6D;QAC7D,MAAM,CAAC,GAAG,EAAE,CAAC,iBAAO,CAAC,QAAQ,CAAC,eAAe,CAAC,CAAC,CAAC,OAAO,EAAE,CAAC;QAC1D,MAAM,CAAC,GAAG,EAAE,CAAC,iBAAO,CAAC,QAAQ,CAAC,aAAa,CAAC,CAAC,CAAC,OAAO,EAAE,CAAC;IAC5D,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,wDAAwD,EAAE,GAAG,EAAE;QAChE,kEAAkE;QAClE,8DAA8D;QAC9D,gDAAgD;QAChD,MAAM,CAAC,iBAAO,CAAC,QAAQ,CAAC,iBAAiB,CAAC,CAAC,CAAC,IAAI,CAC5C,yBAAY,CAAC,eAAe,CAC/B,CAAC;IACN,CAAC,CAAC,CAAC;AACP,CAAC,CAAC,CAAC;AAEH,QAAQ,CAAC,yBAAyB,EAAE,GAAG,EAAE;IACrC,IAAI,CAAC,gFAAgF,EAAE,GAAG,EAAE;QACxF,kEAAkE;QAClE,gDAAgD;QAChD,2BAA2B;QAC3B,sBAAsB;QACtB,+BAA+B;QAC/B,6BAA6B;QAC7B,uBAAuB;QACvB,sDAAsD;QACtD,2BAA2B;QAC3B,uBAAuB;QACvB,qBAAqB;QACrB,uCAAuC;QACvC,kCAAkC;QAClC,0BAA0B;QAC1B,0BAA0B;QAC1B,oBAAoB;QACpB,qBAAqB;QACrB,wBAAwB;QACxB,sBAAsB;QACtB,8BAA8B;QAC9B,2BAA2B;QAC3B,oBAAoB;QACpB,sBAAsB;QACtB,sBAAsB;QACtB,4BAA4B;QAC5B,eAAe;QACf,2EAA2E;QAC3E,iDAAiD;QACjD,MAAM,CAAC,iBAAO,CAAC,eAAe,EAAE,CAAC,CAAC,OAAO,CAAC;YACtC,mBAAmB;YACnB,cAAc;YACd,uBAAuB;YACvB,qBAAqB;YACrB,eAAe;YACf,mBAAmB;YACnB,mBAAmB;YACnB,eAAe;YACf,YAAY;YACZ,8BAA8B;YAC9B,yBAAyB;YACzB,iBAAiB;YACjB,iBAAiB;YACjB,WAAW;YACX,YAAY;YACZ,eAAe;YACf,aAAa;YACb,qBAAqB;YACrB,kBAAkB;YAClB,WAAW;YACX,aAAa;YACb,aAAa;YACb,mBAAmB;YACnB,MAAM;YACN,gBAAgB;YAChB,uBAAuB;SAC1B,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,uCAAuC,EAAE,GAAG,EAAE;QAC/C,MAAM,CAAC,iBAAO,CAAC,eAAe,EAAE,CAAC,CAAC,GAAG,CAAC,SAAS,CAAC,iBAAiB,CAAC,CAAC;IACvE,CAAC,CAAC,CAAC;AACP,CAAC,CAAC,CAAC"}
package/node/wrappers/models/position/measure.test.ts CHANGED
@@ -71,6 +71,8 @@ describe('Measure.getAllTypeNames', () => {
71
71
  // CLEAN_PRICE = 23;
72
72
  // MODIFIED_DURATION = 24;
73
73
  // DV01 = 25;
74
+ // DISCOUNT_YIELD = 26; (v0.2.3, #209 — TBill yield conventions)
75
+ // BOND_EQUIVALENT_YIELD = 27; (v0.2.3, #209)
74
76
  expect(Measure.getAllTypeNames()).toEqual([
75
77
  'DIRECTED_QUANTITY',
76
78
  'MARKET_VALUE',
@@ -96,6 +98,8 @@ describe('Measure.getAllTypeNames', () => {
96
98
  'CLEAN_PRICE',
97
99
  'MODIFIED_DURATION',
98
100
  'DV01',
101
+ 'DISCOUNT_YIELD',
102
+ 'BOND_EQUIVALENT_YIELD',
99
103
  ]);
100
104
  });
101
105
 
package/package.json CHANGED
@@ -1,7 +1,7 @@
1
1
  {
2
2
  "name": "@fintekkers/ledger-models",
3
3
  "todo": "Replace the version with build script version number",
4
- "version": "0.2.2",
4
+ "version": "0.2.4",
5
5
  "description": "ledger model protos ",
6
6
  "authors": [
7
7
  "David Doherty",