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Merged in clint-vegacore (pull request #430)
Added core changes and docs required for simm valuation demo.
This commit is contained in:
Clinton Alexander
commit
3705c90be2
@ -288,4 +288,9 @@ fun <T> Observable<T>.bufferUntilSubscribed(): Observable<T> {
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val subject = UnicastSubject.create<T>()
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val subscription = subscribe(subject)
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return subject.doOnUnsubscribe { subscription.unsubscribe() }
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}
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}
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/** Allows summing big decimals that are in iterable collections */
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fun Iterable<BigDecimal>.sum(): BigDecimal {
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return this.fold(BigDecimal.valueOf(0)) { a: BigDecimal, b: BigDecimal -> a + b }
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}
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73
docs/source/initialmarginagreement.rst
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73
docs/source/initialmarginagreement.rst
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Initial Margin Agreement Demo
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=============================
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This app is a demonstration of how Corda can be used for the real world requirement of initial margin calculation and
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agreement; featuring the integration of complex and industry proven third party libraries into Corda nodes.
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SIMM Introduction
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-----------------
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SIMM is an acronym for "Standard Initial Margin Model". It is effectively the calculation of a "margin" that is paid
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by one party to another when they agree a trade on certain types of transaction. This margin is
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paid such that, in the event of one of the counterparties suffering a credit event
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(a financial term and a polite way to say defaulting, not paying the debts that are due, or potentially even bankruptcy),
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then the party that is owed any sum already has some of the amount that it should have been paid. This payment to the
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receiving party is a preventative measure in order to reduce the risk of a potentially catastrophic default domino
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effect that caused the `Great Financial Crisis <https://en.wikipedia.org/wiki/Financial_crisis_of_2007%E2%80%932008>`_,
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as it means that they can be assured that if they need to pay another party, they will have a proportion of the funds
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that they have been relying on.
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To enact this, in September 2016, the ISDA committee - with full backing from various governing bodies -
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`issued a ruling on what is known as the ISDA SIMM ™ model <http://www2.isda.org/news/isda-simm-deployed-today-new-industry-standard-for-calculating-initial-margin-widely-adopted-by-market-participants>`_,
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a way of fairly and consistently calculating this margin. Any parties wishing to trade a financial product that is
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covered under this ruling would, independently, use this model and calculate their margin payment requirement,
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agree it with their trading counterparty and then pay (or receive, depending on the results of this calculation)
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this amount. In the case of disagreement that is not resolved in a timely fashion, this payment would increase
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and so therefore it is in the parties interest to reach agreement in a short as time frame as possible.
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To be more accurate, the SIMM calculation is not performed on just one trade - it is calculated on an aggregate of
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intermediary values (which in this model are sensitivities to risk factors) from a portfolio of trades; therefore
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the input to a SIMM is actually this data, not the individual trades itself.
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Also note that implementations of the SIMM are actually protected and subject to license restrictions by ISDA
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(this is due to the model itself being protected). We were fortunate enough to technically partner with
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`OpenGamma <http://www.opengamma.com>`_ who allowed us to demonstrate the SIMM process using their proprietary model.
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In the source code released, we have replaced their analytics engine with very simple stub functions that allow
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the process to run and can easily be swapped out in place for their real libraries.
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Process steps
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-------------
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Preliminaries
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- Ensure that there are a number of live trades with another party financial products that are covered under the
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ISDA SIMM agreement (if none, then use the demo to enter some simple trades as described below).
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Initial Margin Agreement Process
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- Agree that one will be performing the margining calculation against a portfolio of trades with another party, and agree the trades in that portfolio. In practice, one node will start the protocol but it does not matter which node does.
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- Individually (at the node level), identify the data (static, reference etc) one will need in order to be able to calculate the metrics on those trades
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- Confirm with the other counterparty the dataset from the above set
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- Calculate any intermediary steps and values needed for the margin calculation (ie sensitivities to risk factors)
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- Agree on the results of these steps
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- Calculate the initial margin
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- Agree on the calculation of the above with the other party
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- In practice, pay (or receive) this margin (omitted for the sake of complexity for this example)
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Running the app
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---------------
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The demonstration can be run in two ways - via IntelliJ (which will allow you to add breakpoints, debug, etc), or via gradle and the command line.
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Run with IntelliJ::
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1. Open the `cordapp-samples` project with IntelliJ
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2. Run the shared run configuration "SIMM Valuation Demo"
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3. Browse to http://localhost:10005/web/simmvaluationdemo
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Run via CLI::
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1. Navigate to the `cordapp-samples` directory in your shell
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2. Run the gradle target `deployNodes` (ie; ./gradlew deployNodes for Unix or gradlew.bat on Windows)
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1. Unix: `cd simm-valuation-demo/build/nodes && ./runnodes`.
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2. Windows: Open a command line window in each subdirectory of `simm-valuation-demo/build/nodes` and run `java -jar corda.jar`
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4. Browse to http://localhost:10005/web/simmvaluationdemo
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@ -174,3 +174,48 @@ In the second terminal, run:
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./build/install/r3prototyping/bin/attachment-demo --role=SENDER
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You should see some log lines scroll past, and within a few seconds the message "File received - we're happy!" should be printed.
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SIMM and Portfolio Demo
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-----------------------
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.. note:: Read more about this demo at :doc:`initialmarginagreement`.
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To run the demo run:
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**Windows**
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Open a terminal window and navigate to the root directory of Corda and run:
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.. sourcecode:: shell
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gradlew apps:vega:installTemplateNodes
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cd build\nodes\nameserver
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java -jar corda.jar
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Now open another terminal in the root directory of Corda and run:
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.. sourcecode:: shell
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cd build\nodes\nodea
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java -jar corda.jar
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Now open a third terminal in the root directory of Corda and run:
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.. sourcecode:: shell
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cd build\nodes\nodeb
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java -jar corda.jar
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**Other**
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Open one terminal window and run the following commands from the root directory of Corda:
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.. sourcecode:: shell
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./gradlew apps:vega:installTemplateNodes
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cd build/nodes
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./runnodes
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Now open http://localhost:31339/web/vega and http://localhost:31340/web/vega to view the two nodes that this
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will have started respectively.
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