@fintekkers/ledger-models 0.4.1 → 0.4.3

package/node/wrappers/models/security/MortgageBackedSecurity.fromPricerInputs.test.js

@@ -0,0 +1,97 @@
+"use strict";
+var __importDefault = (this && this.__importDefault) || function (mod) {
+    return (mod && mod.__esModule) ? mod : { "default": mod };
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+const security_1 = __importDefault(require("./security"));
+const BondSecurity_1 = __importDefault(require("./BondSecurity"));
+const MortgageBackedSecurity_1 = __importDefault(require("./MortgageBackedSecurity"));
+const security_pb_1 = require("../../../fintekkers/models/security/security_pb");
+const product_type_pb_1 = require("../../../fintekkers/models/security/product_type_pb");
+const coupon_type_pb_1 = require("../../../fintekkers/models/security/coupon_type_pb");
+const coupon_frequency_pb_1 = require("../../../fintekkers/models/security/coupon_frequency_pb");
+const agency_pb_1 = require("../../../fintekkers/models/security/bond/agency_pb");
+const decimal_js_1 = require("decimal.js");
+function makeDate(y, m, d) {
+    const date = new Date(y, m - 1, d);
+    date.setHours(0, 0, 0, 0);
+    return date;
+}
+const baseInputs = {
+    faceValue: new decimal_js_1.Decimal('250000000'),
+    couponRate: new decimal_js_1.Decimal('0.04'),
+    couponType: coupon_type_pb_1.CouponTypeProto.FIXED,
+    couponFrequency: coupon_frequency_pb_1.CouponFrequencyProto.MONTHLY,
+    issueDate: makeDate(2024, 1, 1),
+    maturityDate: makeDate(2054, 1, 1),
+};
+const mbsInputs = Object.assign(Object.assign({}, baseInputs), { poolNumber: 'FN AS1234', agency: agency_pb_1.AgencyProto.FNMA, wac: new decimal_js_1.Decimal('0.045'), wam: 358, passThroughRate: new decimal_js_1.Decimal('0.04'), currentFactor: new decimal_js_1.Decimal('0.95'), originalFaceValue: new decimal_js_1.Decimal('250000000'), currentUpb: new decimal_js_1.Decimal('237500000'), psaSpeed: new decimal_js_1.Decimal('150') });
+test('MortgageBackedSecurity.fromPricerInputs populates bond_details and mbs_extension', () => {
+    var _a, _b, _c, _d, _e, _f;
+    const proto = MortgageBackedSecurity_1.default.fromPricerInputs(mbsInputs);
+    expect(proto.getProductType()).toBe(product_type_pb_1.ProductTypeProto.MORTGAGE_BACKED);
+    expect(proto.hasBondDetails()).toBe(true);
+    expect(proto.hasMbsExtension()).toBe(true);
+    const ext = proto.getMbsExtension();
+    expect(ext.getPoolNumber()).toBe('FN AS1234');
+    expect(ext.getAgency()).toBe(agency_pb_1.AgencyProto.FNMA);
+    expect((_a = ext.getWac()) === null || _a === void 0 ? void 0 : _a.getArbitraryPrecisionValue()).toBe('0.045');
+    expect(ext.getWam()).toBe(358);
+    expect((_b = ext.getPassThroughRate()) === null || _b === void 0 ? void 0 : _b.getArbitraryPrecisionValue()).toBe('0.04');
+    expect((_c = ext.getCurrentFactor()) === null || _c === void 0 ? void 0 : _c.getArbitraryPrecisionValue()).toBe('0.95');
+    expect((_d = ext.getOriginalFaceValue()) === null || _d === void 0 ? void 0 : _d.getArbitraryPrecisionValue()).toBe('250000000');
+    expect((_e = ext.getCurrentUpb()) === null || _e === void 0 ? void 0 : _e.getArbitraryPrecisionValue()).toBe('237500000');
+    expect((_f = ext.getPsaSpeed()) === null || _f === void 0 ? void 0 : _f.getArbitraryPrecisionValue()).toBe('150');
+});
+test('MortgageBackedSecurity round-trips via serializeBinary / deserializeBinary preserving all 9 mbs fields', () => {
+    var _a, _b, _c, _d, _e, _f;
+    const proto = MortgageBackedSecurity_1.default.fromPricerInputs(mbsInputs);
+    const bytes = proto.serializeBinary();
+    const round = security_pb_1.SecurityProto.deserializeBinary(bytes);
+    expect(round.getProductType()).toBe(product_type_pb_1.ProductTypeProto.MORTGAGE_BACKED);
+    expect(round.hasBondDetails()).toBe(true);
+    expect(round.hasMbsExtension()).toBe(true);
+    const ext = round.getMbsExtension();
+    expect(ext.getPoolNumber()).toBe('FN AS1234');
+    expect(ext.getAgency()).toBe(agency_pb_1.AgencyProto.FNMA);
+    expect((_a = ext.getWac()) === null || _a === void 0 ? void 0 : _a.getArbitraryPrecisionValue()).toBe('0.045');
+    expect(ext.getWam()).toBe(358);
+    expect((_b = ext.getPassThroughRate()) === null || _b === void 0 ? void 0 : _b.getArbitraryPrecisionValue()).toBe('0.04');
+    expect((_c = ext.getCurrentFactor()) === null || _c === void 0 ? void 0 : _c.getArbitraryPrecisionValue()).toBe('0.95');
+    expect((_d = ext.getOriginalFaceValue()) === null || _d === void 0 ? void 0 : _d.getArbitraryPrecisionValue()).toBe('250000000');
+    expect((_e = ext.getCurrentUpb()) === null || _e === void 0 ? void 0 : _e.getArbitraryPrecisionValue()).toBe('237500000');
+    expect((_f = ext.getPsaSpeed()) === null || _f === void 0 ? void 0 : _f.getArbitraryPrecisionValue()).toBe('150');
+});
+test('MortgageBackedSecurity wraps via Security.create factory dispatch', () => {
+    const proto = MortgageBackedSecurity_1.default.fromPricerInputs(mbsInputs);
+    const sec = security_1.default.create(proto);
+    expect(sec).toBeInstanceOf(MortgageBackedSecurity_1.default);
+    // Inherits BondSecurity behaviour.
+    expect(sec).toBeInstanceOf(BondSecurity_1.default);
+    expect(sec.isBond()).toBe(true);
+});
+test('MortgageBackedSecurity typed accessors read back the expected values', () => {
+    var _a, _b, _c, _d, _e, _f;
+    const proto = MortgageBackedSecurity_1.default.fromPricerInputs(mbsInputs);
+    const sec = security_1.default.create(proto);
+    // Bond-side checks (inherited from BondSecurity).
+    expect(sec.getCouponRate().equals(new decimal_js_1.Decimal('0.04'))).toBe(true);
+    expect(sec.getFaceValue().equals(new decimal_js_1.Decimal('250000000'))).toBe(true);
+    const issueDate = sec.getIssueDate();
+    const maturityDate = sec.getMaturityDate();
+    expect(issueDate).toBeInstanceOf(Date);
+    expect(maturityDate).toBeInstanceOf(Date);
+    expect(issueDate.getFullYear()).toBe(2024);
+    expect(maturityDate.getFullYear()).toBe(2054);
+    // MBS-specific accessor checks.
+    expect(sec.getPoolNumber()).toBe('FN AS1234');
+    expect(sec.getAgency()).toBe(agency_pb_1.AgencyProto.FNMA);
+    expect((_a = sec.getWac()) === null || _a === void 0 ? void 0 : _a.toString()).toBe('0.045');
+    expect(sec.getWam()).toBe(358);
+    expect((_b = sec.getPassThroughRate()) === null || _b === void 0 ? void 0 : _b.toString()).toBe('0.04');
+    expect((_c = sec.getCurrentFactor()) === null || _c === void 0 ? void 0 : _c.toString()).toBe('0.95');
+    expect((_d = sec.getOriginalFaceValue()) === null || _d === void 0 ? void 0 : _d.toString()).toBe('250000000');
+    expect((_e = sec.getCurrentUpb()) === null || _e === void 0 ? void 0 : _e.toString()).toBe('237500000');
+    expect((_f = sec.getPsaSpeed()) === null || _f === void 0 ? void 0 : _f.toString()).toBe('150');
+});
+//# sourceMappingURL=MortgageBackedSecurity.fromPricerInputs.test.js.map

package/node/wrappers/models/security/MortgageBackedSecurity.fromPricerInputs.test.js.map

@@ -0,0 +1 @@
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package/node/wrappers/models/security/MortgageBackedSecurity.fromPricerInputs.test.ts

@@ -0,0 +1,111 @@
+import Security from './security';
+import BondSecurity from './BondSecurity';
+import MortgageBackedSecurity from './MortgageBackedSecurity';
+import { SecurityProto } from '../../../fintekkers/models/security/security_pb';
+import { ProductTypeProto } from '../../../fintekkers/models/security/product_type_pb';
+import { CouponTypeProto } from '../../../fintekkers/models/security/coupon_type_pb';
+import { CouponFrequencyProto } from '../../../fintekkers/models/security/coupon_frequency_pb';
+import { AgencyProto } from '../../../fintekkers/models/security/bond/agency_pb';
+import { Decimal } from 'decimal.js';
+
+function makeDate(y: number, m: number, d: number): Date {
+  const date = new Date(y, m - 1, d);
+  date.setHours(0, 0, 0, 0);
+  return date;
+}
+
+const baseInputs = {
+  faceValue: new Decimal('250000000'),
+  couponRate: new Decimal('0.04'),
+  couponType: CouponTypeProto.FIXED,
+  couponFrequency: CouponFrequencyProto.MONTHLY,
+  issueDate: makeDate(2024, 1, 1),
+  maturityDate: makeDate(2054, 1, 1),
+};
+
+const mbsInputs = {
+  ...baseInputs,
+  poolNumber: 'FN AS1234',
+  agency: AgencyProto.FNMA,
+  wac: new Decimal('0.045'),
+  wam: 358,
+  passThroughRate: new Decimal('0.04'),
+  currentFactor: new Decimal('0.95'),
+  originalFaceValue: new Decimal('250000000'),
+  currentUpb: new Decimal('237500000'),
+  psaSpeed: new Decimal('150'),
+};
+
+test('MortgageBackedSecurity.fromPricerInputs populates bond_details and mbs_extension', () => {
+  const proto = MortgageBackedSecurity.fromPricerInputs(mbsInputs);
+  expect(proto.getProductType()).toBe(ProductTypeProto.MORTGAGE_BACKED);
+  expect(proto.hasBondDetails()).toBe(true);
+  expect(proto.hasMbsExtension()).toBe(true);
+
+  const ext = proto.getMbsExtension()!;
+  expect(ext.getPoolNumber()).toBe('FN AS1234');
+  expect(ext.getAgency()).toBe(AgencyProto.FNMA);
+  expect(ext.getWac()?.getArbitraryPrecisionValue()).toBe('0.045');
+  expect(ext.getWam()).toBe(358);
+  expect(ext.getPassThroughRate()?.getArbitraryPrecisionValue()).toBe('0.04');
+  expect(ext.getCurrentFactor()?.getArbitraryPrecisionValue()).toBe('0.95');
+  expect(ext.getOriginalFaceValue()?.getArbitraryPrecisionValue()).toBe('250000000');
+  expect(ext.getCurrentUpb()?.getArbitraryPrecisionValue()).toBe('237500000');
+  expect(ext.getPsaSpeed()?.getArbitraryPrecisionValue()).toBe('150');
+});
+
+test('MortgageBackedSecurity round-trips via serializeBinary / deserializeBinary preserving all 9 mbs fields', () => {
+  const proto = MortgageBackedSecurity.fromPricerInputs(mbsInputs);
+  const bytes = proto.serializeBinary();
+  const round = SecurityProto.deserializeBinary(bytes);
+
+  expect(round.getProductType()).toBe(ProductTypeProto.MORTGAGE_BACKED);
+  expect(round.hasBondDetails()).toBe(true);
+  expect(round.hasMbsExtension()).toBe(true);
+
+  const ext = round.getMbsExtension()!;
+  expect(ext.getPoolNumber()).toBe('FN AS1234');
+  expect(ext.getAgency()).toBe(AgencyProto.FNMA);
+  expect(ext.getWac()?.getArbitraryPrecisionValue()).toBe('0.045');
+  expect(ext.getWam()).toBe(358);
+  expect(ext.getPassThroughRate()?.getArbitraryPrecisionValue()).toBe('0.04');
+  expect(ext.getCurrentFactor()?.getArbitraryPrecisionValue()).toBe('0.95');
+  expect(ext.getOriginalFaceValue()?.getArbitraryPrecisionValue()).toBe('250000000');
+  expect(ext.getCurrentUpb()?.getArbitraryPrecisionValue()).toBe('237500000');
+  expect(ext.getPsaSpeed()?.getArbitraryPrecisionValue()).toBe('150');
+});
+
+test('MortgageBackedSecurity wraps via Security.create factory dispatch', () => {
+  const proto = MortgageBackedSecurity.fromPricerInputs(mbsInputs);
+  const sec = Security.create(proto);
+  expect(sec).toBeInstanceOf(MortgageBackedSecurity);
+  // Inherits BondSecurity behaviour.
+  expect(sec).toBeInstanceOf(BondSecurity);
+  expect(sec.isBond()).toBe(true);
+});
+
+test('MortgageBackedSecurity typed accessors read back the expected values', () => {
+  const proto = MortgageBackedSecurity.fromPricerInputs(mbsInputs);
+  const sec = Security.create(proto) as MortgageBackedSecurity;
+
+  // Bond-side checks (inherited from BondSecurity).
+  expect(sec.getCouponRate()!.equals(new Decimal('0.04'))).toBe(true);
+  expect(sec.getFaceValue()!.equals(new Decimal('250000000'))).toBe(true);
+  const issueDate = sec.getIssueDate();
+  const maturityDate = sec.getMaturityDate();
+  expect(issueDate).toBeInstanceOf(Date);
+  expect(maturityDate).toBeInstanceOf(Date);
+  expect(issueDate!.getFullYear()).toBe(2024);
+  expect(maturityDate!.getFullYear()).toBe(2054);
+
+  // MBS-specific accessor checks.
+  expect(sec.getPoolNumber()).toBe('FN AS1234');
+  expect(sec.getAgency()).toBe(AgencyProto.FNMA);
+  expect(sec.getWac()?.toString()).toBe('0.045');
+  expect(sec.getWam()).toBe(358);
+  expect(sec.getPassThroughRate()?.toString()).toBe('0.04');
+  expect(sec.getCurrentFactor()?.toString()).toBe('0.95');
+  expect(sec.getOriginalFaceValue()?.toString()).toBe('250000000');
+  expect(sec.getCurrentUpb()?.toString()).toBe('237500000');
+  expect(sec.getPsaSpeed()?.toString()).toBe('150');
+});

package/node/wrappers/models/security/MortgageBackedSecurity.js

@@ -0,0 +1,131 @@
+"use strict";
+var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
+    if (k2 === undefined) k2 = k;
+    var desc = Object.getOwnPropertyDescriptor(m, k);
+    if (!desc || ("get" in desc ? !m.__esModule : desc.writable || desc.configurable)) {
+      desc = { enumerable: true, get: function() { return m[k]; } };
+    }
+    Object.defineProperty(o, k2, desc);
+}) : (function(o, m, k, k2) {
+    if (k2 === undefined) k2 = k;
+    o[k2] = m[k];
+}));
+var __setModuleDefault = (this && this.__setModuleDefault) || (Object.create ? (function(o, v) {
+    Object.defineProperty(o, "default", { enumerable: true, value: v });
+}) : function(o, v) {
+    o["default"] = v;
+});
+var __importStar = (this && this.__importStar) || function (mod) {
+    if (mod && mod.__esModule) return mod;
+    var result = {};
+    if (mod != null) for (var k in mod) if (k !== "default" && Object.prototype.hasOwnProperty.call(mod, k)) __createBinding(result, mod, k);
+    __setModuleDefault(result, mod);
+    return result;
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+const BondSecurity_1 = __importStar(require("./BondSecurity"));
+const security_pb_1 = require("../../../fintekkers/models/security/security_pb");
+const agency_pb_1 = require("../../../fintekkers/models/security/bond/agency_pb");
+const product_type_pb_1 = require("../../../fintekkers/models/security/product_type_pb");
+const decimal_js_1 = require("decimal.js");
+/**
+ * MBS-specific accessors layered on top of BondSecurity. Pool-level fields
+ * (agency, WAC, WAM, pass-through rate, factors, balances, PSA) live in
+ * the parallel mbs_extension sub-message; bond_details still carries the
+ * canonical coupon/dates/face value.
+ */
+class MortgageBackedSecurity extends BondSecurity_1.default {
+    constructor(proto) {
+        super(proto);
+    }
+    getMbsExtension() {
+        var _a;
+        return (_a = this.proto.getMbsExtension()) !== null && _a !== void 0 ? _a : undefined;
+    }
+    /** Pool identifier (e.g. "FN AS1234"). */
+    getPoolNumber() {
+        const ext = this.getMbsExtension();
+        return ext ? ext.getPoolNumber() : '';
+    }
+    /** Issuing agency (FNMA / FHLMC / GNMA). */
+    getAgency() {
+        const ext = this.getMbsExtension();
+        return ext ? ext.getAgency() : agency_pb_1.AgencyProto.AGENCY_UNKNOWN;
+    }
+    /** Weighted Average Coupon across underlying loans. */
+    getWac() {
+        const ext = this.getMbsExtension();
+        const v = ext ? ext.getWac() : undefined;
+        if (!v)
+            return null;
+        return new decimal_js_1.Decimal(v.getArbitraryPrecisionValue());
+    }
+    /** Weighted Average Maturity, in months. */
+    getWam() {
+        const ext = this.getMbsExtension();
+        return ext ? ext.getWam() : 0;
+    }
+    /** Pass-through rate paid to investors (net of servicing/guarantee fees). */
+    getPassThroughRate() {
+        const ext = this.getMbsExtension();
+        const v = ext ? ext.getPassThroughRate() : undefined;
+        if (!v)
+            return null;
+        return new decimal_js_1.Decimal(v.getArbitraryPrecisionValue());
+    }
+    /** Current pool factor (remaining UPB / original face). */
+    getCurrentFactor() {
+        const ext = this.getMbsExtension();
+        const v = ext ? ext.getCurrentFactor() : undefined;
+        if (!v)
+            return null;
+        return new decimal_js_1.Decimal(v.getArbitraryPrecisionValue());
+    }
+    /** Original face value at issuance. */
+    getOriginalFaceValue() {
+        const ext = this.getMbsExtension();
+        const v = ext ? ext.getOriginalFaceValue() : undefined;
+        if (!v)
+            return null;
+        return new decimal_js_1.Decimal(v.getArbitraryPrecisionValue());
+    }
+    /** Current Unpaid Principal Balance. */
+    getCurrentUpb() {
+        const ext = this.getMbsExtension();
+        const v = ext ? ext.getCurrentUpb() : undefined;
+        if (!v)
+            return null;
+        return new decimal_js_1.Decimal(v.getArbitraryPrecisionValue());
+    }
+    /** PSA prepayment speed assumption. */
+    getPsaSpeed() {
+        const ext = this.getMbsExtension();
+        const v = ext ? ext.getPsaSpeed() : undefined;
+        if (!v)
+            return null;
+        return new decimal_js_1.Decimal(v.getArbitraryPrecisionValue());
+    }
+    /**
+     * Build a fresh SecurityProto for an agency MBS pass-through. product_type
+     * is set to MORTGAGE_BACKED so Security.create routes back to this wrapper.
+     */
+    static fromPricerInputs(args) {
+        const bond = (0, BondSecurity_1.buildBondDetails)(args);
+        const mbs = new security_pb_1.MbsExtensionProto()
+            .setPoolNumber(args.poolNumber)
+            .setAgency(args.agency)
+            .setWac((0, BondSecurity_1.decimalToProto)(args.wac))
+            .setWam(args.wam)
+            .setPassThroughRate((0, BondSecurity_1.decimalToProto)(args.passThroughRate))
+            .setCurrentFactor((0, BondSecurity_1.decimalToProto)(args.currentFactor))
+            .setOriginalFaceValue((0, BondSecurity_1.decimalToProto)(args.originalFaceValue))
+            .setCurrentUpb((0, BondSecurity_1.decimalToProto)(args.currentUpb))
+            .setPsaSpeed((0, BondSecurity_1.decimalToProto)(args.psaSpeed));
+        return new security_pb_1.SecurityProto()
+            .setProductType(product_type_pb_1.ProductTypeProto.MORTGAGE_BACKED)
+            .setBondDetails(bond)
+            .setMbsExtension(mbs);
+    }
+}
+exports.default = MortgageBackedSecurity;
+//# sourceMappingURL=MortgageBackedSecurity.js.map

package/node/wrappers/models/security/MortgageBackedSecurity.js.map

@@ -0,0 +1 @@
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package/node/wrappers/models/security/MortgageBackedSecurity.ts

@@ -0,0 +1,125 @@
+import BondSecurity, {
+  BondPricerInputs,
+  buildBondDetails,
+  decimalToProto,
+} from './BondSecurity';
+import { SecurityProto, MbsExtensionProto } from '../../../fintekkers/models/security/security_pb';
+import { AgencyProto } from '../../../fintekkers/models/security/bond/agency_pb';
+import { ProductTypeProto } from '../../../fintekkers/models/security/product_type_pb';
+import { Decimal } from 'decimal.js';
+
+/**
+ * MBS-specific accessors layered on top of BondSecurity. Pool-level fields
+ * (agency, WAC, WAM, pass-through rate, factors, balances, PSA) live in
+ * the parallel mbs_extension sub-message; bond_details still carries the
+ * canonical coupon/dates/face value.
+ */
+class MortgageBackedSecurity extends BondSecurity {
+  constructor(proto: SecurityProto) {
+    super(proto);
+  }
+
+  private getMbsExtension(): MbsExtensionProto | undefined {
+    return this.proto.getMbsExtension() ?? undefined;
+  }
+
+  /** Pool identifier (e.g. "FN AS1234"). */
+  getPoolNumber(): string {
+    const ext = this.getMbsExtension();
+    return ext ? ext.getPoolNumber() : '';
+  }
+
+  /** Issuing agency (FNMA / FHLMC / GNMA). */
+  getAgency(): AgencyProto {
+    const ext = this.getMbsExtension();
+    return ext ? ext.getAgency() : AgencyProto.AGENCY_UNKNOWN;
+  }
+
+  /** Weighted Average Coupon across underlying loans. */
+  getWac(): Decimal | null {
+    const ext = this.getMbsExtension();
+    const v = ext ? ext.getWac() : undefined;
+    if (!v) return null;
+    return new Decimal(v.getArbitraryPrecisionValue());
+  }
+
+  /** Weighted Average Maturity, in months. */
+  getWam(): number {
+    const ext = this.getMbsExtension();
+    return ext ? ext.getWam() : 0;
+  }
+
+  /** Pass-through rate paid to investors (net of servicing/guarantee fees). */
+  getPassThroughRate(): Decimal | null {
+    const ext = this.getMbsExtension();
+    const v = ext ? ext.getPassThroughRate() : undefined;
+    if (!v) return null;
+    return new Decimal(v.getArbitraryPrecisionValue());
+  }
+
+  /** Current pool factor (remaining UPB / original face). */
+  getCurrentFactor(): Decimal | null {
+    const ext = this.getMbsExtension();
+    const v = ext ? ext.getCurrentFactor() : undefined;
+    if (!v) return null;
+    return new Decimal(v.getArbitraryPrecisionValue());
+  }
+
+  /** Original face value at issuance. */
+  getOriginalFaceValue(): Decimal | null {
+    const ext = this.getMbsExtension();
+    const v = ext ? ext.getOriginalFaceValue() : undefined;
+    if (!v) return null;
+    return new Decimal(v.getArbitraryPrecisionValue());
+  }
+
+  /** Current Unpaid Principal Balance. */
+  getCurrentUpb(): Decimal | null {
+    const ext = this.getMbsExtension();
+    const v = ext ? ext.getCurrentUpb() : undefined;
+    if (!v) return null;
+    return new Decimal(v.getArbitraryPrecisionValue());
+  }
+
+  /** PSA prepayment speed assumption. */
+  getPsaSpeed(): Decimal | null {
+    const ext = this.getMbsExtension();
+    const v = ext ? ext.getPsaSpeed() : undefined;
+    if (!v) return null;
+    return new Decimal(v.getArbitraryPrecisionValue());
+  }
+
+  /**
+   * Build a fresh SecurityProto for an agency MBS pass-through. product_type
+   * is set to MORTGAGE_BACKED so Security.create routes back to this wrapper.
+   */
+  static fromPricerInputs(args: BondPricerInputs & {
+    poolNumber: string;
+    agency: AgencyProto;
+    wac: Decimal;
+    wam: number;
+    passThroughRate: Decimal;
+    currentFactor: Decimal;
+    originalFaceValue: Decimal;
+    currentUpb: Decimal;
+    psaSpeed: Decimal;
+  }): SecurityProto {
+    const bond = buildBondDetails(args);
+    const mbs = new MbsExtensionProto()
+      .setPoolNumber(args.poolNumber)
+      .setAgency(args.agency)
+      .setWac(decimalToProto(args.wac))
+      .setWam(args.wam)
+      .setPassThroughRate(decimalToProto(args.passThroughRate))
+      .setCurrentFactor(decimalToProto(args.currentFactor))
+      .setOriginalFaceValue(decimalToProto(args.originalFaceValue))
+      .setCurrentUpb(decimalToProto(args.currentUpb))
+      .setPsaSpeed(decimalToProto(args.psaSpeed));
+    return new SecurityProto()
+      .setProductType(ProductTypeProto.MORTGAGE_BACKED)
+      .setBondDetails(bond)
+      .setMbsExtension(mbs);
+  }
+}
+
+export default MortgageBackedSecurity;

package/node/wrappers/models/security/TIPSBond.d.ts

@@ -1,7 +1,6 @@
 import BondSecurity, { BondPricerInputs } from './BondSecurity';
 import { SecurityProto } from '../../../fintekkers/models/security/security_pb';
 import { IndexTypeProto } from '../../../fintekkers/models/security/index/index_type_pb';
-import { LocalDate } from '../utils/date';
 import { Decimal } from 'decimal.js';
 /**
  * TIPS-specific accessors layered on top of BondSecurity. The inflation
@@ -14,7 +13,7 @@ declare class TIPSBond extends BondSecurity {
     /** Base CPI value at issue, used to scale inflation-adjusted principal. */
     getBaseCpi(): Decimal | null;
     /** Reference date for the base CPI fixing. */
-    getIndexDate(): LocalDate | null;
+    getIndexDate(): Date | null;
     /** Which inflation index drives accruals (CPI_U on US TIPS). */
     getInflationIndexType(): IndexTypeProto;
     /**
@@ -23,7 +22,7 @@ declare class TIPSBond extends BondSecurity {
      */
     static fromPricerInputs(args: BondPricerInputs & {
         baseCpi: Decimal;
-        indexDate: LocalDate;
+        indexDate: Date;
         inflationIndexType: IndexTypeProto;
     }): SecurityProto;
 }

package/node/wrappers/models/security/TIPSBond.js

@@ -54,9 +54,7 @@ class TIPSBond extends BondSecurity_1.default {
     getIndexDate() {
         const ext = this.getTipsExtension();
         const d = ext ? ext.getIndexDate() : undefined;
-        if (!d)
-            return null;
-        return new date_1.LocalDate(d);
+        return (0, date_1.localDateProtoToDate)(d);
     }
     /** Which inflation index drives accruals (CPI_U on US TIPS). */
     getInflationIndexType() {
@@ -71,7 +69,7 @@ class TIPSBond extends BondSecurity_1.default {
         const bond = (0, BondSecurity_1.buildBondDetails)(args);
         const tips = new security_pb_1.TipsExtensionProto()
             .setBaseCpi((0, BondSecurity_1.decimalToProto)(args.baseCpi))
-            .setIndexDate((0, BondSecurity_1.localDateToProto)(args.indexDate))
+            .setIndexDate((0, date_1.dateToLocalDateProto)(args.indexDate))
             .setInflationIndexType(args.inflationIndexType);
         return new security_pb_1.SecurityProto()
             .setProductType(product_type_pb_1.ProductTypeProto.TIPS)

package/node/wrappers/models/security/TIPSBond.js.map

@@ -1 +1 @@
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+{"version":3,"file":"TIPSBond.js","sourceRoot":"","sources":["TIPSBond.ts"],"names":[],"mappings":";;;;;;;;;;;;;;;;;;;;;;;;;AAAA,+DAIwB;AACxB,iFAAoG;AACpG,yFAAuF;AACvF,2FAAyF;AACzF,wCAA2E;AAC3E,2CAAqC;AAErC;;;;GAIG;AACH,MAAM,QAAS,SAAQ,sBAAY;IACjC,YAAY,KAAoB;QAC9B,KAAK,CAAC,KAAK,CAAC,CAAC;IACf,CAAC;IAEO,gBAAgB;;QACtB,OAAO,MAAA,IAAI,CAAC,KAAK,CAAC,gBAAgB,EAAE,mCAAI,SAAS,CAAC;IACpD,CAAC;IAED,2EAA2E;IAC3E,UAAU;QACR,MAAM,GAAG,GAAG,IAAI,CAAC,gBAAgB,EAAE,CAAC;QACpC,MAAM,CAAC,GAAG,GAAG,CAAC,CAAC,CAAC,GAAG,CAAC,UAAU,EAAE,CAAC,CAAC,CAAC,SAAS,CAAC;QAC7C,IAAI,CAAC,CAAC;YAAE,OAAO,IAAI,CAAC;QACpB,OAAO,IAAI,oBAAO,CAAC,CAAC,CAAC,0BAA0B,EAAE,CAAC,CAAC;IACrD,CAAC;IAED,8CAA8C;IAC9C,YAAY;QACV,MAAM,GAAG,GAAG,IAAI,CAAC,gBAAgB,EAAE,CAAC;QACpC,MAAM,CAAC,GAAG,GAAG,CAAC,CAAC,CAAC,GAAG,CAAC,YAAY,EAAE,CAAC,CAAC,CAAC,SAAS,CAAC;QAC/C,OAAO,IAAA,2BAAoB,EAAC,CAAC,CAAC,CAAC;IACjC,CAAC;IAED,gEAAgE;IAChE,qBAAqB;QACnB,MAAM,GAAG,GAAG,IAAI,CAAC,gBAAgB,EAAE,CAAC;QACpC,OAAO,GAAG,CAAC,CAAC,CAAC,GAAG,CAAC,qBAAqB,EAAE,CAAC,CAAC,CAAC,8BAAc,CAAC,kBAAkB,CAAC;IAC/E,CAAC;IAED;;;OAGG;IACH,MAAM,CAAC,gBAAgB,CAAC,IAIvB;QACC,MAAM,IAAI,GAAG,IAAA,+BAAgB,EAAC,IAAI,CAAC,CAAC;QACpC,MAAM,IAAI,GAAG,IAAI,gCAAkB,EAAE;aAClC,UAAU,CAAC,IAAA,6BAAc,EAAC,IAAI,CAAC,OAAO,CAAC,CAAC;aACxC,YAAY,CAAC,IAAA,2BAAoB,EAAC,IAAI,CAAC,SAAS,CAAC,CAAC;aAClD,qBAAqB,CAAC,IAAI,CAAC,kBAAkB,CAAC,CAAC;QAClD,OAAO,IAAI,2BAAa,EAAE;aACvB,cAAc,CAAC,kCAAgB,CAAC,IAAI,CAAC;aACrC,cAAc,CAAC,IAAI,CAAC;aACpB,gBAAgB,CAAC,IAAI,CAAC,CAAC;IAC5B,CAAC;CACF;AAED,kBAAe,QAAQ,CAAC"}

package/node/wrappers/models/security/TIPSBond.ts

@@ -2,12 +2,11 @@ import BondSecurity, {
   BondPricerInputs,
   buildBondDetails,
   decimalToProto,
-  localDateToProto,
 } from './BondSecurity';
 import { SecurityProto, TipsExtensionProto } from '../../../fintekkers/models/security/security_pb';
 import { ProductTypeProto } from '../../../fintekkers/models/security/product_type_pb';
 import { IndexTypeProto } from '../../../fintekkers/models/security/index/index_type_pb';
-import { LocalDate } from '../utils/date';
+import { dateToLocalDateProto, localDateProtoToDate } from '../utils/date';
 import { Decimal } from 'decimal.js';
 
 /**
@@ -33,11 +32,10 @@ class TIPSBond extends BondSecurity {
   }
 
   /** Reference date for the base CPI fixing. */
-  getIndexDate(): LocalDate | null {
+  getIndexDate(): Date | null {
     const ext = this.getTipsExtension();
     const d = ext ? ext.getIndexDate() : undefined;
-    if (!d) return null;
-    return new LocalDate(d);
+    return localDateProtoToDate(d);
   }
 
   /** Which inflation index drives accruals (CPI_U on US TIPS). */
@@ -52,13 +50,13 @@ class TIPSBond extends BondSecurity {
    */
   static fromPricerInputs(args: BondPricerInputs & {
     baseCpi: Decimal;
-    indexDate: LocalDate;
+    indexDate: Date;
     inflationIndexType: IndexTypeProto;
   }): SecurityProto {
     const bond = buildBondDetails(args);
     const tips = new TipsExtensionProto()
       .setBaseCpi(decimalToProto(args.baseCpi))
-      .setIndexDate(localDateToProto(args.indexDate))
+      .setIndexDate(dateToLocalDateProto(args.indexDate))
       .setInflationIndexType(args.inflationIndexType);
     return new SecurityProto()
       .setProductType(ProductTypeProto.TIPS)