YTM in asset details (#2116)

* Rename face value and add YTM to tx table

* Add weighted YTM to asset detail

* Fix math

* Show YTM only for external assets

* Exclude repaid transactions from YTM and weighted YTM average

centrifuge-app/src/pages/Loan/TransactionTable.tsx

@@ -6,8 +6,8 @@ import Decimal from 'decimal.js-light'
 import { useMemo } from 'react'
 import { Column, DataTable } from '../../components/DataTable'
 import { Dec } from '../../utils/Decimal'
-import { formatDate } from '../../utils/date'
-import { formatBalance } from '../../utils/formatting'
+import { daysBetween, formatDate } from '../../utils/date'
+import { formatBalance, formatPercentage } from '../../utils/formatting'
 
 type Props = {
   transactions: AssetTransaction[]
@@ -16,6 +16,8 @@ type Props = {
   loanType: 'external' | 'internal'
   pricing: PricingInfo
   poolType: 'publicCredit' | 'privateCredit' | undefined
+  maturityDate: Date
+  originationDate: Date | undefined
 }
 
 type Row = {
@@ -24,11 +26,21 @@ type Row = {
   quantity: CurrencyBalance | null
   transactionDate: string
   settlePrice: CurrencyBalance | null
-  faceFlow: Decimal | null
+  faceValue: Decimal | null
   position: Decimal
+  yieldToMaturity: Decimal | null
 }
 
-export const TransactionTable = ({ transactions, currency, loanType, decimals, pricing, poolType }: Props) => {
+export const TransactionTable = ({
+  transactions,
+  currency,
+  loanType,
+  decimals,
+  pricing,
+  poolType,
+  maturityDate,
+  originationDate,
+}: Props) => {
   const assetTransactions = useMemo(() => {
     const sortedTransactions = transactions.sort((a, b) => {
       if (a.timestamp > b.timestamp) {
@@ -46,46 +58,62 @@ export const TransactionTable = ({ transactions, currency, loanType, decimals, p
       return 0
     })
 
-    return sortedTransactions.map((transaction, index, array) => ({
-      type: transaction.type,
-      amount: transaction.amount,
-      quantity: transaction.quantity ? new CurrencyBalance(transaction.quantity, 18) : null,
-      transactionDate: transaction.timestamp,
-      settlePrice: transaction.settlementPrice
-        ? new CurrencyBalance(new BN(transaction.settlementPrice), decimals)
-        : null,
-      faceFlow:
+    return sortedTransactions.map((transaction, index, array) => {
+      const termDays = originationDate
+        ? daysBetween(originationDate, maturityDate)
+        : daysBetween(new Date(), maturityDate)
+      const yearsBetweenDates = termDays / 365
+
+      const faceValue =
         transaction.quantity && (pricing as ExternalPricingInfo).notional
           ? new CurrencyBalance(transaction.quantity, 18)
               .toDecimal()
               .mul((pricing as ExternalPricingInfo).notional.toDecimal())
+          : null
+
+      return {
+        type: transaction.type,
+        amount: transaction.amount,
+        quantity: transaction.quantity ? new CurrencyBalance(transaction.quantity, 18) : null,
+        transactionDate: transaction.timestamp,
+        yieldToMaturity:
+          transaction.amount && faceValue && transaction.type !== 'REPAID'
+            ? Dec(2)
+                .mul(faceValue?.sub(transaction.amount.toDecimal()))
+                .div(Dec(yearsBetweenDates).mul(faceValue.add(transaction.amount.toDecimal())))
+                .mul(100)
+            : null,
+        settlePrice: transaction.settlementPrice
+          ? new CurrencyBalance(new BN(transaction.settlementPrice), decimals)
           : null,
-      position: array.slice(0, index + 1).reduce((sum, trx) => {
-        if (trx.type === 'BORROWED') {
-          sum = sum.add(
-            trx.quantity
-              ? new CurrencyBalance(trx.quantity, 18)
-                  .toDecimal()
-                  .mul((pricing as ExternalPricingInfo).notional.toDecimal())
-              : trx.amount
-              ? trx.amount.toDecimal()
-              : Dec(0)
-          )
-        }
-        if (trx.type === 'REPAID') {
-          sum = sum.sub(
-            trx.quantity
-              ? new CurrencyBalance(trx.quantity, 18)
-                  .toDecimal()
-                  .mul((pricing as ExternalPricingInfo).notional.toDecimal())
-              : trx.amount
-              ? trx.amount.toDecimal()
-              : Dec(0)
-          )
-        }
-        return sum
-      }, Dec(0)),
-    }))
+        faceValue,
+        position: array.slice(0, index + 1).reduce((sum, trx) => {
+          if (trx.type === 'BORROWED') {
+            sum = sum.add(
+              trx.quantity
+                ? new CurrencyBalance(trx.quantity, 18)
+                    .toDecimal()
+                    .mul((pricing as ExternalPricingInfo).notional.toDecimal())
+                : trx.amount
+                ? trx.amount.toDecimal()
+                : Dec(0)
+            )
+          }
+          if (trx.type === 'REPAID') {
+            sum = sum.sub(
+              trx.quantity
+                ? new CurrencyBalance(trx.quantity, 18)
+                    .toDecimal()
+                    .mul((pricing as ExternalPricingInfo).notional.toDecimal())
+                : trx.amount
+                ? trx.amount.toDecimal()
+                : Dec(0)
+            )
+          }
+          return sum
+        }, Dec(0)),
+      }
+    })
   }, [transactions, decimals, pricing])
 
   const getStatusChipType = (type: AssetTransactionType) => {
@@ -127,10 +155,10 @@ export const TransactionTable = ({ transactions, currency, loanType, decimals, p
         ? [
             {
               align: 'left',
-              header: `Face flow (${currency})`,
+              header: `Face value (${currency})`,
               cell: (row: Row) =>
-                row.faceFlow
-                  ? `${row.type === 'REPAID' ? '-' : ''}${formatBalance(row.faceFlow, undefined, 2, 2)}`
+                row.faceValue
+                  ? `${row.type === 'REPAID' ? '-' : ''}${formatBalance(row.faceValue, undefined, 2, 2)}`
                   : '-',
             },
             {
@@ -143,6 +171,16 @@ export const TransactionTable = ({ transactions, currency, loanType, decimals, p
               header: `Settle price (${currency})`,
               cell: (row: Row) => (row.settlePrice ? formatBalance(row.settlePrice, undefined, 6, 2) : '-'),
             },
+            ...(loanType === 'external'
+              ? [
+                  {
+                    align: 'left',
+                    header: `YTM`,
+                    cell: (row: Row) =>
+                      !row.yieldToMaturity || row.yieldToMaturity?.lt(0) ? '-' : formatPercentage(row.yieldToMaturity),
+                  },
+                ]
+              : []),
             {
               align: 'left',
               header: `Net cash flow (${currency})`,
@@ -170,6 +208,16 @@ export const TransactionTable = ({ transactions, currency, loanType, decimals, p
                   ? `${row.type === 'REPAID' ? '-' : ''}${formatBalance(row.position, undefined, 2, 2)}`
                   : '-',
             },
+            ...(loanType === 'external'
+              ? [
+                  {
+                    align: 'left',
+                    header: `YTM`,
+                    cell: (row: Row) =>
+                      !row.yieldToMaturity || row.yieldToMaturity?.lt(0) ? '-' : formatPercentage(row.yieldToMaturity),
+                  },
+                ]
+              : []),
           ]),
     ] as Column[]
   }, [])

centrifuge-app/src/pages/Loan/index.tsx

@@ -1,4 +1,11 @@
-import { CurrencyBalance, Loan as LoanType, Pool, PricingInfo, TinlakeLoan } from '@centrifuge/centrifuge-js'
+import {
+  CurrencyBalance,
+  ExternalPricingInfo,
+  Loan as LoanType,
+  Pool,
+  PricingInfo,
+  TinlakeLoan,
+} from '@centrifuge/centrifuge-js'
 import {
   Box,
   Button,
@@ -25,9 +32,10 @@ import { RouterLinkButton } from '../../components/RouterLinkButton'
 import { Tooltips } from '../../components/Tooltips'
 import { nftMetadataSchema } from '../../schemas'
 import { LoanTemplate } from '../../types'
+import { Dec } from '../../utils/Decimal'
 import { copyToClipboard } from '../../utils/copyToClipboard'
 import { daysBetween, formatDate, isValidDate } from '../../utils/date'
-import { formatBalance, truncateText } from '../../utils/formatting'
+import { formatBalance, formatPercentage, truncateText } from '../../utils/formatting'
 import { useLoan, useNftDocumentId } from '../../utils/useLoans'
 import { useMetadata } from '../../utils/useMetadata'
 import { useCentNFT } from '../../utils/useNFTs'
@@ -139,6 +147,52 @@ function Loan() {
     return 0
   }, [originationDate, loan?.pricing.maturityDate])
 
+  const weightedYTM = React.useMemo(() => {
+    if (
+      loan?.pricing &&
+      'valuationMethod' in loan.pricing &&
+      loan.pricing.valuationMethod === 'oracle' &&
+      loan.pricing.interestRate.isZero()
+    ) {
+      const termDays = originationDate
+        ? daysBetween(originationDate, loan?.pricing.maturityDate)
+        : daysBetween(new Date(), loan?.pricing.maturityDate)
+      const yearsBetweenDates = termDays / 365
+
+      return borrowerAssetTransactions
+        ?.filter((tx) => tx.type !== 'REPAID')
+        .reduce((prev, curr) => {
+          const faceValue =
+            curr.quantity && (loan.pricing as ExternalPricingInfo).notional
+              ? new CurrencyBalance(curr.quantity, 18)
+                  .toDecimal()
+                  .mul((loan.pricing as ExternalPricingInfo).notional.toDecimal())
+              : null
+
+          const yieldToMaturity =
+            curr.amount && faceValue
+              ? Dec(2)
+                  .mul(faceValue?.sub(curr.amount.toDecimal()))
+                  .div(Dec(yearsBetweenDates).mul(faceValue.add(curr.amount.toDecimal())))
+                  .mul(100)
+              : null
+          return yieldToMaturity?.mul(curr.quantity!).add(prev) || prev
+        }, Dec(0))
+    }
+    return null
+  }, [loan, borrowerAssetTransactions])
+
+  const averageWeightedYTM = React.useMemo(() => {
+    if (borrowerAssetTransactions?.length && weightedYTM) {
+      const sum = borrowerAssetTransactions
+        .filter((tx) => tx.type !== 'REPAID')
+        .reduce((prev, curr) => {
+          return curr.quantity ? Dec(curr.quantity).add(prev) : prev
+        }, Dec(0))
+      return sum.isZero() ? Dec(0) : weightedYTM.div(sum)
+    }
+  }, [weightedYTM])
+
   return (
     <Stack>
       <Box mt={2} ml={2}>
@@ -194,6 +248,12 @@ function Loan() {
                     )}`,
                   },
                 ],
+                ...(loan.pricing.maturityDate &&
+                'valuationMethod' in loan.pricing &&
+                loan.pricing.valuationMethod === 'oracle' &&
+                averageWeightedYTM
+                  ? [{ label: 'Average YTM', value: formatPercentage(averageWeightedYTM) }]
+                  : []),
               ]}
             />
 
@@ -272,6 +332,8 @@ function Loan() {
                   poolType={poolMetadata?.pool?.asset.class as 'publicCredit' | 'privateCredit' | undefined}
                   decimals={pool.currency.decimals}
                   pricing={loan.pricing as PricingInfo}
+                  maturityDate={new Date(loan.pricing.maturityDate)}
+                  originationDate={originationDate ? new Date(originationDate) : undefined}
                 />
               </PageSection>
             ) : null}