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universal: swaption

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This commit is contained in:
Sofus Mortensen 2017-01-09 22:57:44 +01:00
parent bfd7aa4fc2
commit 336ce362e8
3 changed files with 59 additions and 103 deletions
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3
experimental/src/main/kotlin/net/corda/contracts/universal/Perceivable.kt
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@ -151,9 +151,6 @@ class DummyPerceivable<T> : Perceivable<T>
data class Interest(val amount: Perceivable<BigDecimal>, val dayCountConvention: String,
val interest: Perceivable<BigDecimal>, val start: Perceivable<Instant>, val end: Perceivable<Instant>) : Perceivable<BigDecimal>
fun libor(@Suppress("UNUSED_PARAMETER") amount: BigDecimal, @Suppress("UNUSED_PARAMETER") start: String, @Suppress("UNUSED_PARAMETER") end: String): Perceivable<BigDecimal> = DummyPerceivable()
fun libor(@Suppress("UNUSED_PARAMETER") amount: BigDecimal, @Suppress("UNUSED_PARAMETER") start: Perceivable<Instant>, @Suppress("UNUSED_PARAMETER") end: Perceivable<Instant>): Perceivable<BigDecimal> = DummyPerceivable()
fun interest(@Suppress("UNUSED_PARAMETER") amount: BigDecimal, @Suppress("UNUSED_PARAMETER") dayCountConvention: String, @Suppress("UNUSED_PARAMETER") interest: BigDecimal /* todo - appropriate type */,
@Suppress("UNUSED_PARAMETER") start: String, @Suppress("UNUSED_PARAMETER") end: String): Perceivable<BigDecimal> = Interest(Const(amount), dayCountConvention, Const(interest), const(parseDate(start).toInstant()), const(parseDate(end).toInstant()))

2
experimental/src/main/kotlin/net/corda/contracts/universal/PrettyPrint.kt
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@ -158,7 +158,7 @@ private class PrettyPrint(arr : Arrangement) {
fun prettyPrint(arr: Arrangement) {
when (arr) {
is Zero -> print("zero")
is Zero -> println("zero")
is RollOut -> {
println("rollOut(\"${arr.startDate}\".ld, \"${arr.endDate}\".ld, Frequency.${arr.frequency}) { ")
indent {

157
experimental/src/test/kotlin/net/corda/contracts/universal/Swaption.kt
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@ -1,125 +1,84 @@
package net.corda.contracts.universal
import net.corda.core.contracts.Frequency
import net.corda.core.contracts.Tenor
import net.corda.core.utilities.DUMMY_NOTARY
import net.corda.testing.transaction
import org.junit.Ignore
import org.junit.Test
import java.time.Instant
import java.time.LocalDate
class Swaption {
val notional = 10.M
val currency = USD
val coupon = 1.5.bd
val dreary_contract = arrange {
val TEST_TX_TIME_1: Instant get() = Instant.parse("2017-09-02T12:00:00.00Z")
val notional = 50.M
val currency = EUR
val tradeDate: LocalDate = LocalDate.of(2016, 9, 1)
val contractInitial = arrange {
actions {
(highStreetBank or acmeCorp) may {
"proceed".givenThat(after("01/07/2015")) {
highStreetBank.owes(acmeCorp, libor(notional, "01/04/2015", "01/07/2015"), currency)
acmeCorp.owes(highStreetBank, interest(notional, "act/365", coupon, "01/04/2015", "01/07/2015"), currency)
actions {
(highStreetBank or acmeCorp) may {
"proceed".givenThat(after("01/10/2015")) {
highStreetBank.owes(acmeCorp, libor(notional, "01/07/2015", "01/10/2015"), currency)
acmeCorp.owes(highStreetBank, interest(notional, "act/365", coupon, "01/07/2015", "01/10/2015"), currency)
actions {
(highStreetBank or acmeCorp) may {
"dummy" anytime { zero }
// etc ...
}
}
}
}
}
actions {
acmeCorp may {
"cancel" anytime {
acmeCorp.owes(highStreetBank, 10.K, USD)
}
}
}
}
}
acmeCorp may {
"cancel" anytime {
acmeCorp.owes(highStreetBank, 10.K, USD)
}
}
}
}
val elegant_contract = arrange {
rollOut("01/04/2015".ld, "01/04/2025".ld, Frequency.Quarterly) {
actions {
(highStreetBank or acmeCorp) may {
"proceed".givenThat(after(start)) {
highStreetBank.owes(acmeCorp, libor(notional, start, end), currency)
acmeCorp.owes(highStreetBank, interest(notional, "act/365", coupon, start, end), currency)
next()
}
}
acmeCorp may {
"cancel" anytime {
acmeCorp.owes(highStreetBank, 10.K, currency)
}
}
}
}
}
val strike = 1.2
val tarf = arrange {
rollOut("01/04/2015".ld, "01/04/2016".ld, Frequency.Quarterly, object {
val cap = variable(150.K)
}) {
actions {
acmeCorp may {
"exercise".givenThat(before(end)) {
val payout = (EUR / USD - strike).plus() * notional
"exercise" anytime {
rollOut("2016-09-01".ld, "2018-09-01".ld, Frequency.Quarterly) {
actions {
(acmeCorp or highStreetBank) may {
"proceed".givenThat(after(end)) {
highStreetBank.owes(acmeCorp, payout, USD)
next(vars.cap to vars.cap - payout)
val floating = interest(notional, "act/365", fix("LIBOR", start, Tenor("3M")), start, end)
val fixed = interest(notional, "act/365", 0.5.bd, start, end)
"pay floating" anytime {
highStreetBank.owes(acmeCorp, floating - fixed, currency)
next()
}
"pay fixed" anytime {
highStreetBank.owes(acmeCorp, fixed - floating, currency)
next()
}
}
}
}
}
(acmeCorp or highStreetBank) may {
"proceedWithoutExercise".givenThat(after(end)) {
next()
}
}
highStreetBank may {
"expire".givenThat(after("2016-09-01"))
{
zero
}
}
}
}
val tarf2 = arrange {
rollOut("01/04/2015".ld, "01/04/2016".ld, Frequency.Quarterly, object {
val uses = variable(4)
}) {
actions {
acmeCorp may {
"exercise".givenThat(before(end)) {
val payout = (EUR / USD - strike).plus() * notional
val stateInitial = UniversalContract.State(listOf(DUMMY_NOTARY.owningKey), contractInitial)
actions {
(acmeCorp or highStreetBank) may {
"proceed".givenThat(after(end)) {
highStreetBank.owes(acmeCorp, payout, currency)
next(vars.uses to vars.uses - 1)
}
}
}
}
}
(acmeCorp or highStreetBank) may {
"proceedWithoutExercise".givenThat(after(end)) {
next()
}
}
@Test
fun issue() {
transaction {
output { stateInitial }
timestamp(TEST_TX_TIME_1)
this `fails with` "transaction has a single command"
tweak {
command(acmeCorp.owningKey) { UniversalContract.Commands.Issue() }
this `fails with` "the transaction is signed by all liable parties"
}
command(highStreetBank.owningKey) { UniversalContract.Commands.Issue() }
this.verifies()
}
}
@Test @Ignore
fun `pretty print`() {
println ( prettyPrint(contractInitial) )
}
}