noshowbonds.py

#!/usr/bin/env python

noShowBondsThatActuallyDidntShowInPreviousWindow = 3
totalNoShowBondsInPreviousWindow = 4

repPrice = 21
targetDesignatedReportNoShowsDivisor = 20
initalReportMinValue = 0.7
noShowBond = 0.7

def calculateFloatingValue(_totalBad, _total, _targetDivisor, _previousValue, _floor):
    if _total == 0:
        return _previousValue

    # Modify the amount based on the previous amount and the number of markets fitting the failure criteria.
    # We want the amount to be somewhere in the range of 0.9 to 2 times its previous value where ALL markets
    # with the condition results in 2x and 0 results in 0.9x.
    if _totalBad <= _total / _targetDivisor:
        # FXP formula: previous_amount * (actual_percent / (10 * target_percent) + 0.9)
        _newValue = _totalBad * _previousValue * _targetDivisor
        _newValue = _newValue / _total
        _newValue = _newValue / 10
        _newValue = _newValue + (_previousValue * 9 / 10)
    else:
        # FXP formula: previous_amount * ((1/(1 - target_percent)) * (actual_percent - target_percent) + 1)
        _newValue = _targetDivisor * (_previousValue*_totalBad/_total - _previousValue/_targetDivisor)
        _newValue = _newValue / (_targetDivisor - 1)
        _newValue = _newValue + _previousValue
    return max(_newValue, _floor)

for i in range(12):
    noShowBond = calculateFloatingValue(noShowBondsThatActuallyDidntShowInPreviousWindow, totalNoShowBondsInPreviousWindow, targetDesignatedReportNoShowsDivisor, noShowBond, initalReportMinValue)
    print("{}\t${}".format(noShowBond, noShowBond * repPrice))