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Split IRS verification into individual functions
This commit is contained in:
Ross Nicoll
parent
3257640e7f
commit
49b58d8a43
@ -504,81 +504,88 @@ class InterestRateSwap() : Contract {
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for ((inputs, outputs, key) in groups) {
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when (command.value) {
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is Commands.Agree -> {
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val irs = outputs.filterIsInstance<InterestRateSwap.State>().single()
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requireThat {
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"There are no in states for an agreement" by inputs.isEmpty()
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"There are events in the fix schedule" by (irs.calculation.fixedLegPaymentSchedule.size > 0)
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"There are events in the float schedule" by (irs.calculation.floatingLegPaymentSchedule.size > 0)
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"All notionals must be non zero" by (irs.fixedLeg.notional.quantity > 0 && irs.floatingLeg.notional.quantity > 0)
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"The fixed leg rate must be positive" by (irs.fixedLeg.fixedRate.isPositive())
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"The currency of the notionals must be the same" by (irs.fixedLeg.notional.token == irs.floatingLeg.notional.token)
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"All leg notionals must be the same" by (irs.fixedLeg.notional == irs.floatingLeg.notional)
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"The effective date is before the termination date for the fixed leg" by (irs.fixedLeg.effectiveDate < irs.fixedLeg.terminationDate)
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"The effective date is before the termination date for the floating leg" by (irs.floatingLeg.effectiveDate < irs.floatingLeg.terminationDate)
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"The effective dates are aligned" by (irs.floatingLeg.effectiveDate == irs.fixedLeg.effectiveDate)
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"The termination dates are aligned" by (irs.floatingLeg.terminationDate == irs.fixedLeg.terminationDate)
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"The rates are valid" by checkRates(arrayOf(irs.fixedLeg, irs.floatingLeg))
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"The schedules are valid" by checkSchedules(arrayOf(irs.fixedLeg, irs.floatingLeg))
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"The fixing period date offset cannot be negative" by (irs.floatingLeg.fixingPeriodOffset >= 0)
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// TODO: further tests
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}
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checkLegAmounts(arrayOf(irs.fixedLeg, irs.floatingLeg))
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checkLegDates(arrayOf(irs.fixedLeg, irs.floatingLeg))
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}
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is Commands.Fix -> {
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val irs = outputs.filterIsInstance<InterestRateSwap.State>().single()
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val prevIrs = inputs.filterIsInstance<InterestRateSwap.State>().single()
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val paymentDifferences = getFloatingLegPaymentsDifferences(prevIrs.calculation.floatingLegPaymentSchedule, irs.calculation.floatingLegPaymentSchedule)
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// Having both of these tests are "redundant" as far as verify() goes, however, by performing both
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// we can relay more information back to the user in the case of failure.
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requireThat {
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"There is at least one difference in the IRS floating leg payment schedules" by !paymentDifferences.isEmpty()
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"There is only one change in the IRS floating leg payment schedule" by (paymentDifferences.size == 1)
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}
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val changedRates = paymentDifferences.single().second // Ignore the date of the changed rate (we checked that earlier).
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val (oldFloatingRatePaymentEvent, newFixedRatePaymentEvent) = changedRates
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val fixCommand = tx.commands.requireSingleCommand<Fix>()
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val fixValue = fixCommand.value
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// Need to check that everything is the same apart from the new fixed rate entry.
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requireThat {
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"The fixed leg parties are constant" by (irs.fixedLeg.fixedRatePayer == prevIrs.fixedLeg.fixedRatePayer) // Although superseded by the below test, this is included for a regression issue
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"The fixed leg is constant" by (irs.fixedLeg == prevIrs.fixedLeg)
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"The floating leg is constant" by (irs.floatingLeg == prevIrs.floatingLeg)
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"The common values are constant" by (irs.common == prevIrs.common)
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"The fixed leg payment schedule is constant" by (irs.calculation.fixedLegPaymentSchedule == prevIrs.calculation.fixedLegPaymentSchedule)
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"The expression is unchanged" by (irs.calculation.expression == prevIrs.calculation.expression)
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"There is only one changed payment in the floating leg" by (paymentDifferences.size == 1)
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"There changed payment is a floating payment" by (oldFloatingRatePaymentEvent.rate is ReferenceRate)
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"The new payment is a fixed payment" by (newFixedRatePaymentEvent.rate is FixedRate)
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"The changed payments dates are aligned" by (oldFloatingRatePaymentEvent.date == newFixedRatePaymentEvent.date)
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"The new payment has the correct rate" by (newFixedRatePaymentEvent.rate.ratioUnit!!.value == fixValue.value)
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"The fixing is for the next required date" by (prevIrs.calculation.nextFixingDate() == fixValue.of.forDay)
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"The fix payment has the same currency as the notional" by (newFixedRatePaymentEvent.flow.token == irs.floatingLeg.notional.token)
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// "The fixing is not in the future " by (fixCommand) // The oracle should not have signed this .
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}
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}
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is Commands.Pay -> {
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requireThat {
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"Payments not supported / verifiable yet" by false
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}
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}
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is Commands.Mature -> {
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val irs = inputs.filterIsInstance<InterestRateSwap.State>().single()
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requireThat {
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"No more fixings to be applied" by (irs.calculation.nextFixingDate() == null)
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}
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}
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is Commands.Agree -> verifyAgree(inputs, outputs)
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is Commands.Fix -> verifyFix(inputs, outputs, tx)
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is Commands.Pay -> verifyPay()
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is Commands.Mature -> verifyMature(inputs)
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else -> throw IllegalArgumentException("Unrecognised verifiable command: ${command.value}")
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}
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}
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}
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private fun verifyAgree(inputs: List<State>, outputs: List<State>) {
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val irs = outputs.filterIsInstance<State>().single()
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requireThat {
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"There are no in states for an agreement" by inputs.isEmpty()
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"There are events in the fix schedule" by (irs.calculation.fixedLegPaymentSchedule.size > 0)
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"There are events in the float schedule" by (irs.calculation.floatingLegPaymentSchedule.size > 0)
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"All notionals must be non zero" by (irs.fixedLeg.notional.quantity > 0 && irs.floatingLeg.notional.quantity > 0)
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"The fixed leg rate must be positive" by (irs.fixedLeg.fixedRate.isPositive())
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"The currency of the notionals must be the same" by (irs.fixedLeg.notional.token == irs.floatingLeg.notional.token)
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"All leg notionals must be the same" by (irs.fixedLeg.notional == irs.floatingLeg.notional)
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"The effective date is before the termination date for the fixed leg" by (irs.fixedLeg.effectiveDate < irs.fixedLeg.terminationDate)
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"The effective date is before the termination date for the floating leg" by (irs.floatingLeg.effectiveDate < irs.floatingLeg.terminationDate)
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"The effective dates are aligned" by (irs.floatingLeg.effectiveDate == irs.fixedLeg.effectiveDate)
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"The termination dates are aligned" by (irs.floatingLeg.terminationDate == irs.fixedLeg.terminationDate)
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"The rates are valid" by checkRates(arrayOf(irs.fixedLeg, irs.floatingLeg))
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"The schedules are valid" by checkSchedules(arrayOf(irs.fixedLeg, irs.floatingLeg))
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"The fixing period date offset cannot be negative" by (irs.floatingLeg.fixingPeriodOffset >= 0)
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// TODO: further tests
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}
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checkLegAmounts(arrayOf(irs.fixedLeg, irs.floatingLeg))
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checkLegDates(arrayOf(irs.fixedLeg, irs.floatingLeg))
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}
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private fun verifyFix(inputs: List<State>, outputs: List<State>, tx: TransactionForContract) {
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val irs = outputs.filterIsInstance<State>().single()
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val prevIrs = inputs.filterIsInstance<State>().single()
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val paymentDifferences = getFloatingLegPaymentsDifferences(prevIrs.calculation.floatingLegPaymentSchedule, irs.calculation.floatingLegPaymentSchedule)
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// Having both of these tests are "redundant" as far as verify() goes, however, by performing both
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// we can relay more information back to the user in the case of failure.
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requireThat {
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"There is at least one difference in the IRS floating leg payment schedules" by !paymentDifferences.isEmpty()
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"There is only one change in the IRS floating leg payment schedule" by (paymentDifferences.size == 1)
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}
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val changedRates = paymentDifferences.single().second // Ignore the date of the changed rate (we checked that earlier).
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val (oldFloatingRatePaymentEvent, newFixedRatePaymentEvent) = changedRates
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val fixCommand = tx.commands.requireSingleCommand<Fix>()
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val fixValue = fixCommand.value
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// Need to check that everything is the same apart from the new fixed rate entry.
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requireThat {
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"The fixed leg parties are constant" by (irs.fixedLeg.fixedRatePayer == prevIrs.fixedLeg.fixedRatePayer) // Although superseded by the below test, this is included for a regression issue
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"The fixed leg is constant" by (irs.fixedLeg == prevIrs.fixedLeg)
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"The floating leg is constant" by (irs.floatingLeg == prevIrs.floatingLeg)
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"The common values are constant" by (irs.common == prevIrs.common)
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"The fixed leg payment schedule is constant" by (irs.calculation.fixedLegPaymentSchedule == prevIrs.calculation.fixedLegPaymentSchedule)
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"The expression is unchanged" by (irs.calculation.expression == prevIrs.calculation.expression)
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"There is only one changed payment in the floating leg" by (paymentDifferences.size == 1)
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"There changed payment is a floating payment" by (oldFloatingRatePaymentEvent.rate is ReferenceRate)
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"The new payment is a fixed payment" by (newFixedRatePaymentEvent.rate is FixedRate)
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"The changed payments dates are aligned" by (oldFloatingRatePaymentEvent.date == newFixedRatePaymentEvent.date)
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"The new payment has the correct rate" by (newFixedRatePaymentEvent.rate.ratioUnit!!.value == fixValue.value)
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"The fixing is for the next required date" by (prevIrs.calculation.nextFixingDate() == fixValue.of.forDay)
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"The fix payment has the same currency as the notional" by (newFixedRatePaymentEvent.flow.token == irs.floatingLeg.notional.token)
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// "The fixing is not in the future " by (fixCommand) // The oracle should not have signed this .
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}
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}
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private fun verifyPay() {
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requireThat {
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"Payments not supported / verifiable yet" by false
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}
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}
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private fun verifyMature(inputs: List<State>) {
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val irs = inputs.filterIsInstance<State>().single()
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requireThat {
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"No more fixings to be applied" by (irs.calculation.nextFixingDate() == null)
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}
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}
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interface Commands : CommandData {
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class Fix : TypeOnlyCommandData(), Commands // Receive interest rate from oracle, Both sides agree
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class Pay : TypeOnlyCommandData(), Commands // Not implemented just yet
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