backend/src/modules/investments/instruments/bonds/application/bond-income.service.ts

import { Injectable, NotFoundException } from '@nestjs/common';

import {
  decimalFromString,
  divide,
  formatDecimal,
  multiply,
} from '../../../../../common/decimal';
import { ISO_DATE_LENGTH, ISO_DATE_START } from '../../../../../common/time';
import { isTbankProtocolValue, TbankCouponType } from '../../../../../integrations/tbank/tbank-protocol';
import {
  TbankAccessService,
  type TbankBond,
  type TbankCoupon,
} from '../../../../../integrations/tbank/tbank.api';
import {
  ForecastService,
  PortfolioService,
} from '../../../portfolio/portfolio.api';
import {
  CatalogEnrichmentService,
  type CatalogPayload,
} from '../../application/catalog-enrichment.service';
import { moscowDay, timestamp } from '../../application/instrument-market';
import { instrumentPosition } from '../../application/instrument-position';
import { money } from '../infrastructure/bond-money.mapper';
import {
  BondCouponsDto,
  BondCouponsResourceDto,
  BondMetricsDto,
  BondMetricsResourceDto,
  BondPositionDto,
} from '../presentation/bond.dto';
import { bondQuote } from './bond-market.service';

const INCOME_FORECAST_YEARS = 1;
const ZERO_QUANTITY = 0n;
const MIN_COUPON_PERIOD_EXCLUSIVE = 0;
const ZERO_AMOUNT = 0n;

const ISO_YEAR_LENGTH = 4;
const INCOME_HISTORY_YEARS = 5;
const COUPON_YIELD_DECIMAL_PLACES = 4;
@Injectable()
export class BondIncomeService {
  constructor(
    private readonly portfolios: PortfolioService,
    private readonly sources: CatalogEnrichmentService,
    private readonly access: TbankAccessService,
    private readonly forecasts: ForecastService,
  ) {}

  async metrics(
    userId: string,
    uid: string,
    observe = false,
  ): Promise<BondMetricsResourceDto> {
    const result = await this.sources.section(
      userId,
      'bond',
      uid,
      'metrics',
      observe,
    );
    return {
      data: result.values.instrument
        ? bondMetrics(result.values, result.unavailable, result.observedAt)
        : null,
      meta: result.meta,
    };
  }

  async readPosition(userId: string, uid: string, observe = false) {
    const saved = await this.portfolios.read(userId, 'all', observe);
    return {
      data: saved.data ? instrumentPosition(saved.data, uid, 'BOND') : null,
      meta: { ...saved.meta, resourceKey: `bond/position/${uid}` },
    };
  }

  async coupons(
    userId: string,
    uid: string,
    observe = false,
  ): Promise<BondCouponsResourceDto> {
    const connection = await this.access.local(userId);
    const today = moscowDay(new Date().toISOString());
    const from = `${Number(today.slice(ISO_DATE_START, ISO_YEAR_LENGTH)) - INCOME_HISTORY_YEARS}${today.slice(ISO_YEAR_LENGTH)}`;
    const to = `${Number(today.slice(ISO_DATE_START, ISO_YEAR_LENGTH)) + INCOME_FORECAST_YEARS}${today.slice(ISO_YEAR_LENGTH)}`;
    const portfolio = await this.portfolios.read(userId, 'all', observe);
    const sources = await this.sources.readMany(
      userId,
      'bond',
      [uid],
      observe,
      ['detail', 'coupons'],
      { from, to },
    );
    if (sources[0].meta.availability === 'complete' && !sources[0].instrument) {
      throw new NotFoundException();
    }
    const events = sources[1].payload?.coupons;
    const position = portfolio.data
      ? instrumentPosition(portfolio.data, uid, 'BOND')
      : null;
    const projected = events
      ? bondCoupons(
          events,
          position,
          { from, to, today },
          sources[1].meta.lastSuccessfulAt ?? new Date().toISOString(),
          !portfolio.data,
        )
      : undefined;
    const result = await this.forecasts.result({
      userId,
      revision: connection.revision,
      membershipRevision: connection.membershipRevision,
      scopeKey: `bond/coupons/${JSON.stringify([uid, from, to])}`,
      portfolio: portfolio.meta,
      sources,
      candidate:
        portfolio.data && sources[0].instrument ? projected : undefined,
    });
    return result.data || !projected
      ? result
      : {
          data: bondCoupons(
            events ?? [],
            null,
            { from, to, today },
            projected.observedAt,
            true,
          ),
          meta: { ...result.meta, availability: 'partial' },
        };
  }
}

export function bondCoupons(
  events: TbankCoupon[],
  position: BondPositionDto | null,
  window: { from: string; to: string; today: string },
  observedAt: string,
  positionUnavailable: boolean,
): BondCouponsDto {
  const { from, to, today } = window;
  const quantity =
    position?.accounts.length &&
    position.accounts.every((p) => decimalFromString(p.quantity).value > ZERO_QUANTITY)
      ? decimalFromString(position.quantity)
      : null;
  const coupons = events
    .map((event) => {
      const paymentDate = timestamp(event.couponDate)?.slice(ISO_DATE_START, ISO_DATE_LENGTH) ?? null;
      const recordDate = timestamp(event.fixDate)?.slice(ISO_DATE_START, ISO_DATE_LENGTH) ?? null;
      const perBond = money(event.payOneBond);
      const timing = !paymentDate
        ? ('undated' as const)
        : paymentDate >= today
          ? ('upcoming' as const)
          : ('past' as const);
      return {
        number: event.couponNumber ?? null,
        paymentDate,
        recordDate,
        perBond,
        couponType: event.couponType ?? null,
        periodDays: event.couponPeriod ?? null,
        timing,
        estimatedAmount:
          quantity &&
          perBond &&
          timing === 'upcoming' &&
          recordDate &&
          recordDate >= today
            ? {
                currency: perBond.currency,
                value: formatDecimal(
                  multiply(quantity, decimalFromString(perBond.value)),
                ),
              }
            : null,
      };
    })
    .sort((a, b) => (a.paymentDate ?? '').localeCompare(b.paymentDate ?? ''));
  return {
    coupons,
    from,
    to,
    observedAt: observedAt,
    positionAt: quantity ? (position?.observedAt ?? null) : null,
    estimateUnavailable: positionUnavailable,
    positionIsStale: position?.isStale ?? false,
  };
}

export function bondMetrics(
  values: CatalogPayload,
  unavailable: string[],
  observedAt: string,
): BondMetricsDto {
  const instrument = values.instrument as TbankBond;
  const events = values.coupons;
  const quote = bondQuote(values, unavailable, observedAt);
  const effectiveYield = values.effectiveYield ?? null;
  const creditRating = values.creditRating ?? null;
  const today = moscowDay(new Date().toISOString());
  const to = `${Number(today.slice(ISO_DATE_START, ISO_YEAR_LENGTH)) + INCOME_FORECAST_YEARS}${today.slice(ISO_YEAR_LENGTH)}`;
  const next = events
    ?.filter((event) => {
      const date = timestamp(event.couponDate)?.slice(ISO_DATE_START, ISO_DATE_LENGTH);
      return date && date >= today && date <= to;
    })
    .sort(
      (a, b) => Number(a.couponDate?.seconds) - Number(b.couponDate?.seconds),
    )[0];
  const coupon = money(next?.payOneBond);
  const period = next?.couponPeriod;
  const couponPeriodDays =
    period && Number.isInteger(period) && period > MIN_COUPON_PERIOD_EXCLUSIVE ? period : null;
  const clean = quote?.cleanPrice;
  const couponYieldPercent =
    coupon &&
    couponPeriodDays &&
    clean &&
    coupon.currency === clean.currency &&
    decimalFromString(coupon.value).value >= ZERO_AMOUNT &&
    decimalFromString(clean.value).value > ZERO_AMOUNT
      ? formatDecimal(
          divide(
            multiply(
              decimalFromString(coupon.value),
              decimalFromString('36500'),
            ),
            multiply(
              decimalFromString(String(couponPeriodDays)),
              decimalFromString(clean.value),
            ),
            COUPON_YIELD_DECIMAL_PLACES,
          ),
        )
      : null;
  const couponType =
    next?.couponType && !isTbankProtocolValue(next.couponType, TbankCouponType.Unspecified)
      ? next.couponType
      : instrument.floatingCouponFlag === true
        ? TbankCouponType.Floating
        : null;
  return {
    creditRating,
    coupon,
    couponDate: timestamp(next?.couponDate)?.slice(ISO_DATE_START, ISO_DATE_LENGTH) ?? null,
    couponType,
    couponPeriodDays,
    couponYieldPercent,
    couponYieldPriceAt:
      couponYieldPercent !== null ? (quote?.priceAt ?? null) : null,
    effectiveYield,
    unavailable,
    observedAt,
  };
}