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Added more type information to various API endpoints to make it possible to test. Integration test passes.
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Clinton Alexander
parent
234ffb141c
commit
008fcf50fd
@ -9,28 +9,38 @@ import net.corda.testing.IntegrationTestCategory
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import net.corda.testing.getHostAndPort
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import net.corda.testing.http.HttpApi
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import net.corda.vega.api.PortfolioApi
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import net.corda.vega.api.PortfolioApiUtils
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import net.corda.vega.api.SwapDataModel
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import net.corda.vega.portfolio.Portfolio
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import org.junit.Test
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import java.math.BigDecimal
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import java.time.LocalDate
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import java.util.*
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class SimmValuationTest: IntegrationTestCategory {
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private companion object {
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// SIMM demo can only currently handle one valuation date due to a lack of market data or a market data source.
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val valuationDate = LocalDate.parse("2016-06-06")
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val nodeALegalName = "Bank A"
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val nodeBLegalName = "Bank B"
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}
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@Test fun `runs SIMM valuation demo`() {
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driver(isDebug = true) {
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val nodeBLegalName = "Bank B"
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val controller = startNode("Controller", setOf(ServiceInfo(SimpleNotaryService.type))).getOrThrow()
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val nodeAAddr = startNode("Bank A").getOrThrow().config.getHostAndPort("webAddress")
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startNode("Controller", setOf(ServiceInfo(SimpleNotaryService.type))).getOrThrow()
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val nodeAAddr = startNode(nodeALegalName).getOrThrow().config.getHostAndPort("webAddress")
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val nodeBAddr = startNode(nodeBLegalName).getOrThrow().config.getHostAndPort("webAddress")
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val nodeA = HttpApi.fromHostAndPort(nodeAAddr, "api/simmvaluationdemo")
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val nodeB = HttpApi.fromHostAndPort(nodeBAddr, "api/simmvaluationdemo")
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val parties = getAvailablePartiesFor(nodeA)
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val nodeB = parties.counterparties.single { it.text == nodeBLegalName}
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assert(createTradeBetween(nodeA, nodeB))
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assert(runValuationsBetween(nodeA, nodeB))
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waitForAllNodesToFinish()
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val nodeBParty = getAvailablePartiesFor(nodeA).counterparties.single { it.text == nodeBLegalName }
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val nodeAParty = getAvailablePartiesFor(nodeB).counterparties.single { it.text == nodeALegalName }
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assert(createTradeBetween(nodeA, nodeBParty))
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assert(tradeExists(nodeB, nodeAParty))
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assert(runValuationsBetween(nodeA, nodeBParty))
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assert(valuationExists(nodeB, nodeAParty))
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}
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}
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@ -39,12 +49,22 @@ class SimmValuationTest: IntegrationTestCategory {
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}
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private fun createTradeBetween(api: HttpApi, counterparty: PortfolioApi.ApiParty): Boolean {
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val trade = SwapDataModel("trade1", "desc", LocalDate.parse("2016-01-01"), "EUR_FIXED_1Y_EURIBOR_3M",
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LocalDate.parse("2016-01-02"), LocalDate.parse("2020-01-02"), BuySell.BUY, BigDecimal.valueOf(1000), BigDecimal.valueOf(0.1))
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val trade = SwapDataModel("trade1", "desc", valuationDate, "EUR_FIXED_1Y_EURIBOR_3M",
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valuationDate, LocalDate.parse("2020-01-02"), BuySell.BUY, BigDecimal.valueOf(1000), BigDecimal.valueOf(0.1))
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return api.putJson("${counterparty.id}/trades", trade)
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}
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private fun tradeExists(api: HttpApi, counterparty: PortfolioApi.ApiParty): Boolean {
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val trades = api.getJson<List<Map<String, Any>>>("${counterparty.id}/trades")
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return (!trades.isEmpty())
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}
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private fun runValuationsBetween(api: HttpApi, counterparty: PortfolioApi.ApiParty): Boolean {
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return api.postJson("${counterparty.id}/trade/TODO/valuations/calculate")
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return api.postJson("${counterparty.id}/portfolio/valuations/calculate", PortfolioApi.ValuationCreationParams(valuationDate))
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}
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private fun valuationExists(api: HttpApi, counterparty: PortfolioApi.ApiParty): Boolean {
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val valuations = api.getJson<PortfolioApiUtils.ValuationsView>("${counterparty.id}/portfolio/valuations")
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return (valuations.initialMargin.call["total"] != 0.0)
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}
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}
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@ -15,7 +15,16 @@ import java.time.LocalDate
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* API JSON generation functions for larger JSON outputs.
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*/
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class PortfolioApiUtils(private val ownParty: Party) {
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fun createValuations(state: PortfolioState, portfolio: Portfolio): Any {
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data class InitialMarginView(val baseCurrency: String, val post: Map<String, Double>, val call: Map<String, Double>, val agreed: Boolean)
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data class ValuationsView(
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val businessDate: LocalDate,
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val portfolio: Map<String, Any>,
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val marketData: Map<String, Any>,
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val sensitivities: Map<String, Any>,
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val initialMargin: InitialMarginView,
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val confirmation: Map<String, Any>)
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fun createValuations(state: PortfolioState, portfolio: Portfolio): ValuationsView {
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val valuation = state.valuation!!
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val currency = if (portfolio.trades.isNotEmpty()) {
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@ -61,10 +70,28 @@ class PortfolioApiUtils(private val ownParty: Party) {
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val processedSensitivities = valuation.totalSensivities.sensitivities.map { it.marketDataName to it.parameterMetadata.map { it.label }.zip(it.sensitivity.toList()).toMap() }.toMap()
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return json {
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val initialMarginView = InitialMarginView(
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baseCurrency = currency,
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post = mapOf(
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"IRFX" to valuation.margin.first,
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"commodity" to 0.0,
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"equity" to 0.0,
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"credit" to 0.0,
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"total" to valuation.margin.first
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),
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call = mapOf(
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"IRFX" to valuation.margin.first,
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"commodity" to 0.0,
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"equity" to 0.0,
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"credit" to 0.0,
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"total" to valuation.margin.first
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),
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agreed = true)
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return ValuationsView(
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businessDate = LocalDate.now(),
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portfolio = json {
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obj(
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"businessDate" to LocalDate.now(),
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"portfolio" to obj(
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"trades" to tradeCount,
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"baseCurrency" to currency,
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"IRFX" to tradeCount,
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@ -73,13 +100,17 @@ class PortfolioApiUtils(private val ownParty: Party) {
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"credit" to 0,
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"total" to tradeCount,
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"agreed" to true
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),
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"marketData" to obj(
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)
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},
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marketData = json {
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obj(
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"yieldCurves" to yieldCurves,
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"fixings" to fixings,
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"agreed" to true
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),
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"sensitivities" to obj("curves" to processedSensitivities,
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)
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},
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sensitivities = json {
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obj("curves" to processedSensitivities,
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"currency" to valuation.currencySensitivies.amounts.toList().map {
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obj(
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"currency" to it.currency.code,
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@ -87,31 +118,16 @@ class PortfolioApiUtils(private val ownParty: Party) {
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)
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},
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"agreed" to true
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),
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"initialMargin" to obj(
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"baseCurrency" to currency,
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"post" to obj(
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"IRFX" to valuation.margin.first,
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"commodity" to 0,
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"equity" to 0,
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"credit" to 0,
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"total" to valuation.margin.first
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),
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"call" to obj(
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"IRFX" to valuation.margin.first,
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"commodity" to 0,
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"equity" to 0,
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"credit" to 0,
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"total" to valuation.margin.first
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),
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"agreed" to true
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),
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"confirmation" to obj(
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)
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},
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initialMargin = initialMarginView,
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confirmation = json {
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obj(
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"hash" to state.hash().toString(),
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"agreed" to true
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)
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)
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}
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)
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}
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fun createTradeView(state: IRSState): Any {
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