Survival curves

use std::sync::Arc;

use chrono::NaiveDate;
use helixio_docs_sheets::{SOFR_CLOSE_DATE, USD_SOFR_CLOSE};
use helixrs::{
    CollateralSpec, CreditCurveId, DayCountFraction, DensitySurvival, FlatHazard, MarketContext,
    PiecewiseSurvival, QuoteSheet, Survival, SurvivalProbability,
};

type Outcome<T> = Result<T, Box<dyn std::error::Error>>;

fn date((year, month, day): (i32, u32, u32)) -> NaiveDate {
    NaiveDate::from_ymd_opt(year, month, day).expect("a real calendar date")
}

fn main() -> Outcome<()> {
    let reference = date(SOFR_CLOSE_DATE);
    let (three, five) = (date((2028, 10, 2)), date((2031, 10, 1)));
    let years = |d: NaiveDate| (d - reference).num_days() as f64 / 365.0;
    let act365 = DayCountFraction::Act365Fixed;

    // Survival of 96% to three years and 90% to five: returned exactly at the
    // pillars, and between them read from the log survival.
    let pillars = Survival::Piecewise(PiecewiseSurvival::new(reference, &[(three, 0.96), (five, 0.90)], act365)?);
    let view = pillars.view::<f64>();
    println!("survival 2030-01-02 {:.10}", view.survival_probability(date((2030, 1, 2)))?);

    // One hazard of 2% a year: survival exp(-h t).
    let hazard = Survival::FlatHazard(FlatHazard::new(reference, 0.02, act365)?);
    let at_five = hazard.view::<f64>().survival_probability(five)?;
    println!("survival 5Y       {at_five:.10}");
    println!("exp(-h t)         {:.10}", (-0.02 * years(five)).exp());

    // A default density rising from 2% a year today to 3% at five years. Linear
    // density integrates to the average of its ends times the span.
    let density = Survival::Density(DensitySurvival::new(reference, &[(reference, 0.020), (five, 0.030)], act365)?);
    let expected = 1.0 - 0.5 * (0.020 + 0.030) * years(five);
    let survived = density.view::<f64>().survival_probability(five)?;
    println!("survival 5Y       {survived:.10}");
    println!("by the density    {expected:.10}");

    // A market files a survival curve under a full credit identity — entity,
    // seniority, documentation clause, currency — and keeps the recovery beside it.
    let credit: CreditCurveId = "ACME/SeniorUnSec/XR14/USD".parse()?;
    let sheet = QuoteSheet::from_rows(USD_SOFR_CLOSE.iter().copied())?;
    let market = MarketContext::as_of(reference)
        .with_recipe_quotes(&CollateralSpec::Currency("USD".parse()?), &sheet)?
        .with_credit_curve(credit.clone(), Arc::new(pillars.clone()), Some(0.40));
    for (role, key) in market.contents() {
        println!("{role:<11} {key}");
    }
    let (curve, recovery) = market.credit_curve(&credit)?;
    let recovery = recovery.expect("stated");
    println!("filed 5Y          {:.10}", curve.view::<f64>().survival_probability(five)?);
    println!("recovery          {recovery:.2}");

    Ok(())
}

import datetime as dt
import math

import helixio as hlx
from desk_sheets import SOFR_CLOSE_DATE, USD_SOFR_CLOSE

REFERENCE = SOFR_CLOSE_DATE
THREE, FIVE = dt.date(2028, 10, 2), dt.date(2031, 10, 1)

def years(d: dt.date) -> float:
    return (d - REFERENCE).days / 365.0

# Survival of 96% to three years and 90% to five: returned exactly at the
# pillars, and between them read from the log survival.
pillars = hlx.curves.SurvivalCurve(REFERENCE, [(THREE, 0.96), (FIVE, 0.90)])
print(f"survival 2030-01-02 {pillars.survival(dt.date(2030, 1, 2)):.10f}")

# One hazard of 2% a year: survival exp(-h t).
hazard = hlx.curves.SurvivalCurve.flat_hazard(REFERENCE, 0.02)
print(f"survival 5Y       {hazard.survival(FIVE):.10f}")
print(f"exp(-h t)         {math.exp(-0.02 * years(FIVE)):.10f}")

# A default density rising from 2% a year today to 3% at five years. Linear
# density integrates to the average of its ends times the span.
density = hlx.curves.SurvivalCurve.default_density(REFERENCE, [(REFERENCE, 0.020), (FIVE, 0.030)])
expected = 1.0 - 0.5 * (0.020 + 0.030) * years(FIVE)
print(f"survival 5Y       {density.survival(FIVE):.10f}")
print(f"by the density    {expected:.10f}")

# A market files a survival curve under a full credit identity — entity,
# seniority, documentation clause, currency — and keeps the recovery beside it.
credit = "ACME/SeniorUnSec/XR14/USD"
market = (
    hlx.MarketContext(REFERENCE)
    .with_recipe_quotes("USD", USD_SOFR_CLOSE)
    .with_credit_curve(credit, pillars, recovery=0.40)
)
for role, key in market.contents():
    print(f"{role:<11} {key}")
curve, recovery = market.credit_curve(credit)
print(f"filed 5Y          {curve.survival(FIVE):.10f}")
print(f"recovery          {recovery:.2f}")