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https://github.com/corda/corda.git
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Merged in mike-fix-irs (pull request #244)
Fix how the IRS contract uses fix commands
This commit is contained in:
Mike Hearn
commit
5167ed7df2
@ -77,7 +77,7 @@ abstract class RatePaymentEvent(date: LocalDate,
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// TODO : Fix below (use daycount convention for division, not hardcoded 360 etc)
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val dayCountFactor: BigDecimal get() = (BigDecimal(days).divide(BigDecimal(360.0), 8, RoundingMode.HALF_UP)).setScale(4, RoundingMode.HALF_UP)
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open fun asCSV() = "$accrualStartDate,$accrualEndDate,$dayCountFactor,$days,$date,${notional.token},${notional},$rate,$flow"
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open fun asCSV() = "$accrualStartDate,$accrualEndDate,$dayCountFactor,$days,$date,${notional.token},$notional,$rate,$flow"
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override fun equals(other: Any?): Boolean {
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if (this === other) return true
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@ -114,8 +114,7 @@ class FixedRatePaymentEvent(date: LocalDate,
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val CSVHeader = RatePaymentEvent.CSVHeader
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}
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override val flow: Amount<Currency> get() =
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Amount<Currency>(dayCountFactor.times(BigDecimal(notional.quantity)).times(rate.ratioUnit!!.value).toLong(), notional.token)
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override val flow: Amount<Currency> get() = Amount(dayCountFactor.times(BigDecimal(notional.quantity)).times(rate.ratioUnit!!.value).toLong(), notional.token)
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override fun toString(): String =
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"FixedRatePaymentEvent $accrualStartDate -> $accrualEndDate : $dayCountFactor : $days : $date : $notional : $rate : $flow"
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@ -140,13 +139,13 @@ class FloatingRatePaymentEvent(date: LocalDate,
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override val flow: Amount<Currency> get() {
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// TODO: Should an uncalculated amount return a zero ? null ? etc.
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val v = rate.ratioUnit?.value ?: return Amount<Currency>(0, notional.token)
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return Amount<Currency>(dayCountFactor.times(BigDecimal(notional.quantity)).times(v).toLong(), notional.token)
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val v = rate.ratioUnit?.value ?: return Amount(0, notional.token)
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return Amount(dayCountFactor.times(BigDecimal(notional.quantity)).times(v).toLong(), notional.token)
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}
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override fun toString(): String = "FloatingPaymentEvent $accrualStartDate -> $accrualEndDate : $dayCountFactor : $days : $date : $notional : $rate (fix on $fixingDate): $flow"
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override fun asCSV(): String = "$accrualStartDate,$accrualEndDate,$dayCountFactor,$days,$date,${notional.token},${notional},$fixingDate,$rate,$flow"
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override fun asCSV(): String = "$accrualStartDate,$accrualEndDate,$dayCountFactor,$days,$date,${notional.token},$notional,$fixingDate,$rate,$flow"
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/**
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* Used for making immutables.
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@ -450,7 +449,7 @@ class InterestRateSwap() : ClauseVerifier() {
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override val clauses: List<SingleClause> = listOf(Clause.Timestamped(), Clause.Group())
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override fun extractCommands(tx: TransactionForContract): Collection<AuthenticatedObject<CommandData>>
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= tx.commands.select<Commands>() + tx.commands.select<TimestampCommand>()
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= tx.commands.select<Commands>() + tx.commands.select<TimestampCommand>()
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interface Clause {
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/**
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@ -498,8 +497,9 @@ class InterestRateSwap() : ClauseVerifier() {
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fun getFloatingLegPaymentsDifferences(payments1: Map<LocalDate, Event>, payments2: Map<LocalDate, Event>): List<Pair<LocalDate, Pair<FloatingRatePaymentEvent, FloatingRatePaymentEvent>>> {
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val diff1 = payments1.filter { payments1[it.key] != payments2[it.key] }
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val diff2 = payments2.filter { payments1[it.key] != payments2[it.key] }
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val ret = (diff1.keys + diff2.keys).map { it to Pair(diff1.get(it) as FloatingRatePaymentEvent, diff2.get(it) as FloatingRatePaymentEvent) }
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return ret
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return (diff1.keys + diff2.keys).map {
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it to Pair(diff1[it] as FloatingRatePaymentEvent, diff2[it] as FloatingRatePaymentEvent)
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}
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}
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}
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@ -513,6 +513,7 @@ class InterestRateSwap() : ClauseVerifier() {
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// Group by Trade ID for in / out states
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return tx.groupStates() { state: InterestRateSwap.State -> state.common.tradeID }
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}
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override val clauses: List<GroupClause<State, String>>
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get() = listOf(Agree(), Fix(), Pay(), Mature())
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}
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@ -530,12 +531,11 @@ class InterestRateSwap() : ClauseVerifier() {
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// derived as the correct notary
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@Suppress("DEPRECATION")
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val command = tx.commands.getTimestampByName("Mock Company 0", "Notary Service", "Bank A")
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val time = command?.midpoint
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if (time == null) throw IllegalArgumentException("must be timestamped")
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return setOf(command!!)
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?: throw IllegalArgumentException("must be timestamped")
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return setOf(command)
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}
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}
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class Agree : AbstractIRSClause() {
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override val requiredCommands: Set<Class<out CommandData>>
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get() = setOf(Commands.Agree::class.java)
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@ -572,16 +572,17 @@ class InterestRateSwap() : ClauseVerifier() {
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return setOf(command.value)
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}
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}
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class Fix : AbstractIRSClause() {
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override val requiredCommands: Set<Class<out CommandData>>
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get() = setOf(Commands.Fix::class.java)
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get() = setOf(Commands.Refix::class.java)
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override fun verify(tx: TransactionForContract,
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inputs: List<State>,
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outputs: List<State>,
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commands: Collection<AuthenticatedObject<CommandData>>,
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token: String): Set<CommandData> {
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val command = tx.commands.requireSingleCommand<Commands.Fix>()
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val command = tx.commands.requireSingleCommand<Commands.Refix>()
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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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@ -595,8 +596,7 @@ class InterestRateSwap() : ClauseVerifier() {
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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<com.r3corda.core.contracts.Fix>()
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val fixValue = fixCommand.value
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val fixValue = command.value.fix
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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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@ -618,6 +618,7 @@ class InterestRateSwap() : ClauseVerifier() {
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return setOf(command.value)
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}
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}
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class Pay : AbstractIRSClause() {
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override val requiredCommands: Set<Class<out CommandData>>
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get() = setOf(Commands.Pay::class.java)
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@ -634,6 +635,7 @@ class InterestRateSwap() : ClauseVerifier() {
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return setOf(command.value)
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}
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}
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class Mature : AbstractIRSClause() {
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override val requiredCommands: Set<Class<out CommandData>>
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get() = setOf(Commands.Mature::class.java)
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@ -656,7 +658,7 @@ class InterestRateSwap() : ClauseVerifier() {
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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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data class Refix(val fix: Fix) : 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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class Agree : TypeOnlyCommandData(), Commands // Both sides agree to trade
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class Mature : TypeOnlyCommandData(), Commands // Trade has matured; no more actions. Cleanup. // TODO: Do we need this?
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@ -713,7 +715,7 @@ class InterestRateSwap() : ClauseVerifier() {
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override fun generateAgreement(notary: Party): TransactionBuilder = InterestRateSwap().generateAgreement(floatingLeg, fixedLeg, calculation, common, notary)
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override fun generateFix(ptx: TransactionBuilder, oldState: StateAndRef<*>, fix: Fix) {
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InterestRateSwap().generateFix(ptx, StateAndRef(TransactionState(this, oldState.state.notary), oldState.ref), Pair(fix.of.forDay, Rate(RatioUnit(fix.value))))
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InterestRateSwap().generateFix(ptx, StateAndRef(TransactionState(this, oldState.state.notary), oldState.ref), fix)
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}
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override fun nextFixingOf(): FixOf? {
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@ -732,9 +734,9 @@ class InterestRateSwap() : ClauseVerifier() {
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fun evaluateCalculation(businessDate: LocalDate, expression: Expression = calculation.expression): Any {
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// TODO: Jexl is purely for prototyping. It may be replaced
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// TODO: Whatever we do use must be secure and sandboxed
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var jexl = JexlBuilder().create()
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var expr = jexl.createExpression(expression.expr)
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var jc = MapContext()
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val jexl = JexlBuilder().create()
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val expr = jexl.createExpression(expression.expr)
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val jc = MapContext()
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jc.set("fixedLeg", fixedLeg)
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jc.set("floatingLeg", floatingLeg)
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jc.set("calculation", calculation)
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@ -783,12 +785,12 @@ class InterestRateSwap() : ClauseVerifier() {
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floatingLeg.rollConvention,
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endDate = floatingLeg.terminationDate)
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var floatingLegPaymentSchedule: MutableMap<LocalDate, FloatingRatePaymentEvent> = HashMap()
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val floatingLegPaymentSchedule: MutableMap<LocalDate, FloatingRatePaymentEvent> = HashMap()
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periodStartDate = floatingLeg.effectiveDate
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// Now create a schedule for the floating and fixes.
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for (periodEndDate in dates) {
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val paymentDate = BusinessCalendar.getOffsetDate(periodEndDate, Frequency.Daily, floatingLeg.paymentDelay)
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val paymentDate = BusinessCalendar.getOffsetDate(periodEndDate, Frequency.Daily, floatingLeg.paymentDelay)
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val paymentEvent = FloatingRatePaymentEvent(
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paymentDate,
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periodStartDate,
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@ -818,13 +820,13 @@ class InterestRateSwap() : ClauseVerifier() {
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}
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}
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// TODO: Replace with rates oracle
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fun generateFix(tx: TransactionBuilder, irs: StateAndRef<State>, fixing: Pair<LocalDate, Rate>) {
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fun generateFix(tx: TransactionBuilder, irs: StateAndRef<State>, fixing: Fix) {
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tx.addInputState(irs)
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val fixedRate = FixedRate(RatioUnit(fixing.value))
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tx.addOutputState(
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irs.state.data.copy(calculation = irs.state.data.calculation.applyFixing(fixing.first, FixedRate(fixing.second))),
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irs.state.data.copy(calculation = irs.state.data.calculation.applyFixing(fixing.of.forDay, fixedRate)),
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irs.state.notary
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)
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tx.addCommand(Commands.Fix(), listOf(irs.state.data.floatingLeg.floatingRatePayer.owningKey, irs.state.data.fixedLeg.fixedRatePayer.owningKey))
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tx.addCommand(Commands.Refix(fixing), listOf(irs.state.data.floatingLeg.floatingRatePayer.owningKey, irs.state.data.fixedLeg.fixedRatePayer.owningKey))
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}
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}
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@ -11,21 +11,10 @@ import java.util.*
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/**
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* A utility class to prevent the various mixups between percentages, decimals, bips etc.
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*/
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open class RatioUnit(value: BigDecimal) { // TODO: Discuss this type
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val value = value
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override fun equals(other: Any?): Boolean {
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if (this === other) return true
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if (other?.javaClass != javaClass) return false
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other as RatioUnit
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if (value != other.value) return false
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return true
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}
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open class RatioUnit(val value: BigDecimal) { // TODO: Discuss this type
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override fun equals(other: Any?) = (other as? RatioUnit)?.value == value
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override fun hashCode() = value.hashCode()
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override fun toString() = value.toString()
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}
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/**
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@ -63,21 +52,16 @@ open class Rate(val ratioUnit: RatioUnit? = null) {
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* for equality.
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*/
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override fun hashCode() = ratioUnit?.hashCode() ?: 0
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override fun toString() = ratioUnit.toString()
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}
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/**
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* A very basic subclass to represent a fixed rate.
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*/
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class FixedRate(ratioUnit: RatioUnit) : Rate(ratioUnit) {
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constructor(otherRate: Rate) : this(ratioUnit = otherRate.ratioUnit!!)
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override fun toString(): String = "$ratioUnit"
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fun isPositive(): Boolean = ratioUnit!!.value > BigDecimal("0.0")
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override fun equals(other: Any?) = other?.javaClass == javaClass && super.equals(other)
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override fun hashCode() = super.hashCode()
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}
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@ -294,14 +294,16 @@ class IRSTests {
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@Test
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fun generateIRSandFixSome() {
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var previousTXN = generateIRSTxn(1)
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var currentIRS = previousTXN.outputs.map { it.data }.filterIsInstance<InterestRateSwap.State>().single()
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println(currentIRS.prettyPrint())
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fun currentIRS() = previousTXN.outputs.map { it.data }.filterIsInstance<InterestRateSwap.State>().single()
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val txns = HashSet<LedgerTransaction>()
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txns += previousTXN
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while (true) {
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val nextFixingDate = currentIRS.calculation.nextFixingDate() ?: break
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println("\n\n\n ***** Applying a fixing to $nextFixingDate \n\n\n")
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val nextFix: FixOf = currentIRS().nextFixingOf() ?: break
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val fixTX: LedgerTransaction = run {
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val tx = TransactionType.General.Builder()
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val fixing = Pair(nextFixingDate, FixedRate("0.052".percent))
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val fixing = Fix(nextFix, "0.052".percent.value)
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InterestRateSwap().generateFix(tx, previousTXN.outRef(0), fixing)
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with(tx) {
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setTime(TEST_TX_TIME, DUMMY_NOTARY, 30.seconds)
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@ -311,10 +313,10 @@ class IRSTests {
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}
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tx.toSignedTransaction().verifyToLedgerTransaction(MOCK_IDENTITY_SERVICE, attachments)
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}
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currentIRS = previousTXN.outputs.map { it.data }.filterIsInstance<InterestRateSwap.State>().single()
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println(currentIRS.prettyPrint())
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previousTXN = fixTX
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txns += fixTX
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}
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TransactionGroup(txns, emptySet()).verify()
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}
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// Move these later as they aren't IRS specific.
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@ -385,10 +387,7 @@ class IRSTests {
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)
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}
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command(ORACLE_PUBKEY) {
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InterestRateSwap.Commands.Fix()
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}
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command(ORACLE_PUBKEY) {
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Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd)
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InterestRateSwap.Commands.Refix(Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd))
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}
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timestamp(TEST_TX_TIME)
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this.verifies()
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@ -580,32 +579,25 @@ class IRSTests {
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// Templated tweak for reference. A corrent fixing applied should be ok
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tweak {
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command(ORACLE_PUBKEY) {
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InterestRateSwap.Commands.Fix()
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InterestRateSwap.Commands.Refix(Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd))
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}
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timestamp(TEST_TX_TIME)
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command(ORACLE_PUBKEY) {
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Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd)
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}
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output() { newIRS }
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this.verifies()
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}
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// This test makes sure that verify confirms the fixing was applied and there is a difference in the old and new
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tweak {
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command(ORACLE_PUBKEY) { InterestRateSwap.Commands.Fix() }
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command(ORACLE_PUBKEY) { InterestRateSwap.Commands.Refix(Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd)) }
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timestamp(TEST_TX_TIME)
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command(ORACLE_PUBKEY) { Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd) }
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output() { oldIRS }
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this `fails with` "There is at least one difference in the IRS floating leg payment schedules"
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}
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// This tests tries to sneak in a change to another fixing (which may or may not be the latest one)
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tweak {
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command(ORACLE_PUBKEY) { InterestRateSwap.Commands.Fix() }
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command(ORACLE_PUBKEY) { InterestRateSwap.Commands.Refix(Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd)) }
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timestamp(TEST_TX_TIME)
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command(ORACLE_PUBKEY) {
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Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd)
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}
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val firstResetKey = newIRS.calculation.floatingLegPaymentSchedule.keys.first()
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val firstResetValue = newIRS.calculation.floatingLegPaymentSchedule[firstResetKey]
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@ -625,9 +617,8 @@ class IRSTests {
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// This tests modifies the payment currency for the fixing
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tweak {
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command(ORACLE_PUBKEY) { InterestRateSwap.Commands.Fix() }
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command(ORACLE_PUBKEY) { InterestRateSwap.Commands.Refix(Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd)) }
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timestamp(TEST_TX_TIME)
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command(ORACLE_PUBKEY) { Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd) }
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val latestReset = newIRS.calculation.floatingLegPaymentSchedule.filter { it.value.rate is FixedRate }.maxBy { it.key }
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val modifiedLatestResetValue = latestReset!!.value.copy(notional = Amount(latestReset.value.notional.quantity, Currency.getInstance("JPY")))
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@ -711,10 +702,7 @@ class IRSTests {
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}
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command(ORACLE_PUBKEY) {
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InterestRateSwap.Commands.Fix()
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}
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command(ORACLE_PUBKEY) {
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Fix(FixOf("ICE LIBOR", ld1, Tenor("3M")), bd1)
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InterestRateSwap.Commands.Refix(Fix(FixOf("ICE LIBOR", ld1, Tenor("3M")), bd1))
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}
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timestamp(TEST_TX_TIME)
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this.verifies()
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