Merged in mike-fix-irs (pull request #244)

Fix how the IRS contract uses fix commands

contracts/src/main/kotlin/com/r3corda/contracts/IRS.kt

@@ -77,7 +77,7 @@ abstract class RatePaymentEvent(date: LocalDate,
     // TODO : Fix below (use daycount convention for division, not hardcoded 360 etc)
     val dayCountFactor: BigDecimal get() = (BigDecimal(days).divide(BigDecimal(360.0), 8, RoundingMode.HALF_UP)).setScale(4, RoundingMode.HALF_UP)
 
-    open fun asCSV() = "$accrualStartDate,$accrualEndDate,$dayCountFactor,$days,$date,${notional.token},${notional},$rate,$flow"
+    open fun asCSV() = "$accrualStartDate,$accrualEndDate,$dayCountFactor,$days,$date,${notional.token},$notional,$rate,$flow"
 
     override fun equals(other: Any?): Boolean {
         if (this === other) return true
@@ -114,8 +114,7 @@ class FixedRatePaymentEvent(date: LocalDate,
         val CSVHeader = RatePaymentEvent.CSVHeader
     }
 
-    override val flow: Amount<Currency> get() =
+    override val flow: Amount<Currency> get() = Amount(dayCountFactor.times(BigDecimal(notional.quantity)).times(rate.ratioUnit!!.value).toLong(), notional.token)
-    Amount<Currency>(dayCountFactor.times(BigDecimal(notional.quantity)).times(rate.ratioUnit!!.value).toLong(), notional.token)
 
     override fun toString(): String =
             "FixedRatePaymentEvent $accrualStartDate -> $accrualEndDate : $dayCountFactor : $days : $date : $notional : $rate : $flow"
@@ -140,13 +139,13 @@ class FloatingRatePaymentEvent(date: LocalDate,
 
     override val flow: Amount<Currency> get() {
         // TODO: Should an uncalculated amount return a zero ? null ? etc.
-        val v = rate.ratioUnit?.value ?: return Amount<Currency>(0, notional.token)
+        val v = rate.ratioUnit?.value ?: return Amount(0, notional.token)
-        return Amount<Currency>(dayCountFactor.times(BigDecimal(notional.quantity)).times(v).toLong(), notional.token)
+        return Amount(dayCountFactor.times(BigDecimal(notional.quantity)).times(v).toLong(), notional.token)
     }
 
     override fun toString(): String = "FloatingPaymentEvent $accrualStartDate -> $accrualEndDate : $dayCountFactor : $days : $date : $notional : $rate (fix on $fixingDate): $flow"
 
-    override fun asCSV(): String = "$accrualStartDate,$accrualEndDate,$dayCountFactor,$days,$date,${notional.token},${notional},$fixingDate,$rate,$flow"
+    override fun asCSV(): String = "$accrualStartDate,$accrualEndDate,$dayCountFactor,$days,$date,${notional.token},$notional,$fixingDate,$rate,$flow"
 
     /**
      * Used for making immutables.
@@ -450,7 +449,7 @@ class InterestRateSwap() : ClauseVerifier() {
 
     override val clauses: List<SingleClause> = listOf(Clause.Timestamped(), Clause.Group())
     override fun extractCommands(tx: TransactionForContract): Collection<AuthenticatedObject<CommandData>>
-        = tx.commands.select<Commands>() + tx.commands.select<TimestampCommand>()
+            = tx.commands.select<Commands>() + tx.commands.select<TimestampCommand>()
 
     interface Clause {
         /**
@@ -498,8 +497,9 @@ class InterestRateSwap() : ClauseVerifier() {
             fun getFloatingLegPaymentsDifferences(payments1: Map<LocalDate, Event>, payments2: Map<LocalDate, Event>): List<Pair<LocalDate, Pair<FloatingRatePaymentEvent, FloatingRatePaymentEvent>>> {
                 val diff1 = payments1.filter { payments1[it.key] != payments2[it.key] }
                 val diff2 = payments2.filter { payments1[it.key] != payments2[it.key] }
-                val ret = (diff1.keys + diff2.keys).map { it to Pair(diff1.get(it) as FloatingRatePaymentEvent, diff2.get(it) as FloatingRatePaymentEvent) }
+                return (diff1.keys + diff2.keys).map {
-                return ret
+                    it to Pair(diff1[it] as FloatingRatePaymentEvent, diff2[it] as FloatingRatePaymentEvent)
+                }
             }
         }
 
@@ -513,6 +513,7 @@ class InterestRateSwap() : ClauseVerifier() {
                 // Group by Trade ID for in / out states
                 return tx.groupStates() { state: InterestRateSwap.State -> state.common.tradeID }
             }
+
             override val clauses: List<GroupClause<State, String>>
                 get() = listOf(Agree(), Fix(), Pay(), Mature())
         }
@@ -530,12 +531,11 @@ class InterestRateSwap() : ClauseVerifier() {
                 // derived as the correct notary
                 @Suppress("DEPRECATION")
                 val command = tx.commands.getTimestampByName("Mock Company 0", "Notary Service", "Bank A")
-                val time = command?.midpoint
+                        ?: throw IllegalArgumentException("must be timestamped")
-                if (time == null) throw IllegalArgumentException("must be timestamped")
+                return setOf(command)
-
-                return setOf(command!!)
             }
         }
+
         class Agree : AbstractIRSClause() {
             override val requiredCommands: Set<Class<out CommandData>>
                 get() = setOf(Commands.Agree::class.java)
@@ -572,16 +572,17 @@ class InterestRateSwap() : ClauseVerifier() {
                 return setOf(command.value)
             }
         }
+
         class Fix : AbstractIRSClause() {
             override val requiredCommands: Set<Class<out CommandData>>
-                get() = setOf(Commands.Fix::class.java)
+                get() = setOf(Commands.Refix::class.java)
 
             override fun verify(tx: TransactionForContract,
                                 inputs: List<State>,
                                 outputs: List<State>,
                                 commands: Collection<AuthenticatedObject<CommandData>>,
                                 token: String): Set<CommandData> {
-                val command = tx.commands.requireSingleCommand<Commands.Fix>()
+                val command = tx.commands.requireSingleCommand<Commands.Refix>()
                 val irs = outputs.filterIsInstance<State>().single()
                 val prevIrs = inputs.filterIsInstance<State>().single()
                 val paymentDifferences = getFloatingLegPaymentsDifferences(prevIrs.calculation.floatingLegPaymentSchedule, irs.calculation.floatingLegPaymentSchedule)
@@ -595,8 +596,7 @@ class InterestRateSwap() : ClauseVerifier() {
 
                 val changedRates = paymentDifferences.single().second // Ignore the date of the changed rate (we checked that earlier).
                 val (oldFloatingRatePaymentEvent, newFixedRatePaymentEvent) = changedRates
-                val fixCommand = tx.commands.requireSingleCommand<com.r3corda.core.contracts.Fix>()
+                val fixValue = command.value.fix
-                val fixValue = fixCommand.value
                 // Need to check that everything is the same apart from the new fixed rate entry.
                 requireThat {
                     "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
@@ -618,6 +618,7 @@ class InterestRateSwap() : ClauseVerifier() {
                 return setOf(command.value)
             }
         }
+
         class Pay : AbstractIRSClause() {
             override val requiredCommands: Set<Class<out CommandData>>
                 get() = setOf(Commands.Pay::class.java)
@@ -634,6 +635,7 @@ class InterestRateSwap() : ClauseVerifier() {
                 return setOf(command.value)
             }
         }
+
         class Mature : AbstractIRSClause() {
             override val requiredCommands: Set<Class<out CommandData>>
                 get() = setOf(Commands.Mature::class.java)
@@ -656,7 +658,7 @@ class InterestRateSwap() : ClauseVerifier() {
     }
 
     interface Commands : CommandData {
-        class Fix : TypeOnlyCommandData(), Commands    // Receive interest rate from oracle, Both sides agree
+        data class Refix(val fix: Fix) : Commands      // Receive interest rate from oracle, Both sides agree
         class Pay : TypeOnlyCommandData(), Commands    // Not implemented just yet
         class Agree : TypeOnlyCommandData(), Commands  // Both sides agree to trade
         class Mature : TypeOnlyCommandData(), Commands // Trade has matured; no more actions. Cleanup. // TODO: Do we need this?
@@ -713,7 +715,7 @@ class InterestRateSwap() : ClauseVerifier() {
         override fun generateAgreement(notary: Party): TransactionBuilder = InterestRateSwap().generateAgreement(floatingLeg, fixedLeg, calculation, common, notary)
 
         override fun generateFix(ptx: TransactionBuilder, oldState: StateAndRef<*>, fix: Fix) {
-            InterestRateSwap().generateFix(ptx, StateAndRef(TransactionState(this, oldState.state.notary), oldState.ref), Pair(fix.of.forDay, Rate(RatioUnit(fix.value))))
+            InterestRateSwap().generateFix(ptx, StateAndRef(TransactionState(this, oldState.state.notary), oldState.ref), fix)
         }
 
         override fun nextFixingOf(): FixOf? {
@@ -732,9 +734,9 @@ class InterestRateSwap() : ClauseVerifier() {
         fun evaluateCalculation(businessDate: LocalDate, expression: Expression = calculation.expression): Any {
             // TODO: Jexl is purely for prototyping. It may be replaced
             // TODO: Whatever we do use must be secure and sandboxed
-            var jexl = JexlBuilder().create()
+            val jexl = JexlBuilder().create()
-            var expr = jexl.createExpression(expression.expr)
+            val expr = jexl.createExpression(expression.expr)
-            var jc = MapContext()
+            val jc = MapContext()
             jc.set("fixedLeg", fixedLeg)
             jc.set("floatingLeg", floatingLeg)
             jc.set("calculation", calculation)
@@ -783,12 +785,12 @@ class InterestRateSwap() : ClauseVerifier() {
                 floatingLeg.rollConvention,
                 endDate = floatingLeg.terminationDate)
 
-        var floatingLegPaymentSchedule: MutableMap<LocalDate, FloatingRatePaymentEvent> = HashMap()
+        val floatingLegPaymentSchedule: MutableMap<LocalDate, FloatingRatePaymentEvent> = HashMap()
         periodStartDate = floatingLeg.effectiveDate
 
         // Now create a schedule for the floating and fixes.
         for (periodEndDate in dates) {
-            val paymentDate = BusinessCalendar.getOffsetDate(periodEndDate, Frequency.Daily, floatingLeg.paymentDelay) 
+            val paymentDate = BusinessCalendar.getOffsetDate(periodEndDate, Frequency.Daily, floatingLeg.paymentDelay)
             val paymentEvent = FloatingRatePaymentEvent(
                     paymentDate,
                     periodStartDate,
@@ -818,13 +820,13 @@ class InterestRateSwap() : ClauseVerifier() {
         }
     }
 
-    // TODO: Replace with rates oracle
+    fun generateFix(tx: TransactionBuilder, irs: StateAndRef<State>, fixing: Fix) {
-    fun generateFix(tx: TransactionBuilder, irs: StateAndRef<State>, fixing: Pair<LocalDate, Rate>) {
         tx.addInputState(irs)
+        val fixedRate = FixedRate(RatioUnit(fixing.value))
         tx.addOutputState(
-                irs.state.data.copy(calculation = irs.state.data.calculation.applyFixing(fixing.first, FixedRate(fixing.second))),
+                irs.state.data.copy(calculation = irs.state.data.calculation.applyFixing(fixing.of.forDay, fixedRate)),
                 irs.state.notary
         )
-        tx.addCommand(Commands.Fix(), listOf(irs.state.data.floatingLeg.floatingRatePayer.owningKey, irs.state.data.fixedLeg.fixedRatePayer.owningKey))
+        tx.addCommand(Commands.Refix(fixing), listOf(irs.state.data.floatingLeg.floatingRatePayer.owningKey, irs.state.data.fixedLeg.fixedRatePayer.owningKey))
     }
 }

contracts/src/main/kotlin/com/r3corda/contracts/IRSUtils.kt

@@ -11,21 +11,10 @@ import java.util.*
 /**
  * A utility class to prevent the various mixups between percentages, decimals, bips etc.
  */
-open class RatioUnit(value: BigDecimal) { // TODO: Discuss this type
+open class RatioUnit(val value: BigDecimal) { // TODO: Discuss this type
-    val value = value
+    override fun equals(other: Any?) = (other as? RatioUnit)?.value == value
-
-    override fun equals(other: Any?): Boolean {
-        if (this === other) return true
-        if (other?.javaClass != javaClass) return false
-
-        other as RatioUnit
-
-        if (value != other.value) return false
-
-        return true
-    }
-
     override fun hashCode() = value.hashCode()
+    override fun toString() = value.toString()
 }
 
 /**
@@ -63,21 +52,16 @@ open class Rate(val ratioUnit: RatioUnit? = null) {
      * for equality.
      */
     override fun hashCode() = ratioUnit?.hashCode() ?: 0
+    override fun toString() = ratioUnit.toString()
 }
 
 /**
  * A very basic subclass to represent a fixed rate.
  */
 class FixedRate(ratioUnit: RatioUnit) : Rate(ratioUnit) {
-
-    constructor(otherRate: Rate) : this(ratioUnit = otherRate.ratioUnit!!)
-
-    override fun toString(): String = "$ratioUnit"
-
     fun isPositive(): Boolean = ratioUnit!!.value > BigDecimal("0.0")
 
     override fun equals(other: Any?) = other?.javaClass == javaClass && super.equals(other)
-
     override fun hashCode() = super.hashCode()
 }
 

contracts/src/test/kotlin/com/r3corda/contracts/IRSTests.kt

@@ -294,14 +294,16 @@ class IRSTests {
     @Test
     fun generateIRSandFixSome() {
         var previousTXN = generateIRSTxn(1)
-        var currentIRS = previousTXN.outputs.map { it.data }.filterIsInstance<InterestRateSwap.State>().single()
+        fun currentIRS() = previousTXN.outputs.map { it.data }.filterIsInstance<InterestRateSwap.State>().single()
-        println(currentIRS.prettyPrint())
+
+        val txns = HashSet<LedgerTransaction>()
+        txns += previousTXN
+
         while (true) {
-            val nextFixingDate = currentIRS.calculation.nextFixingDate() ?: break
+            val nextFix: FixOf = currentIRS().nextFixingOf() ?: break
-            println("\n\n\n ***** Applying a fixing to $nextFixingDate \n\n\n")
             val fixTX: LedgerTransaction = run {
                 val tx = TransactionType.General.Builder()
-                val fixing = Pair(nextFixingDate, FixedRate("0.052".percent))
+                val fixing = Fix(nextFix, "0.052".percent.value)
                 InterestRateSwap().generateFix(tx, previousTXN.outRef(0), fixing)
                 with(tx) {
                     setTime(TEST_TX_TIME, DUMMY_NOTARY, 30.seconds)
@@ -311,10 +313,10 @@ class IRSTests {
                 }
                 tx.toSignedTransaction().verifyToLedgerTransaction(MOCK_IDENTITY_SERVICE, attachments)
             }
-            currentIRS = previousTXN.outputs.map { it.data }.filterIsInstance<InterestRateSwap.State>().single()
-            println(currentIRS.prettyPrint())
             previousTXN = fixTX
+            txns += fixTX
         }
+        TransactionGroup(txns, emptySet()).verify()
     }
 
     // Move these later as they aren't IRS specific.
@@ -385,10 +387,7 @@ class IRSTests {
                     )
                 }
                 command(ORACLE_PUBKEY) {
-                    InterestRateSwap.Commands.Fix()
+                    InterestRateSwap.Commands.Refix(Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd))
-                }
-                command(ORACLE_PUBKEY) {
-                    Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd)
                 }
                 timestamp(TEST_TX_TIME)
                 this.verifies()
@@ -580,32 +579,25 @@ class IRSTests {
             // Templated tweak for reference. A corrent fixing applied should be ok
             tweak {
                 command(ORACLE_PUBKEY) {
-                    InterestRateSwap.Commands.Fix()
+                    InterestRateSwap.Commands.Refix(Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd))
                 }
                 timestamp(TEST_TX_TIME)
-                command(ORACLE_PUBKEY) {
-                    Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd)
-                }
                 output() { newIRS }
                 this.verifies()
             }
 
             // This test makes sure that verify confirms the fixing was applied and there is a difference in the old and new
             tweak {
-                command(ORACLE_PUBKEY) { InterestRateSwap.Commands.Fix() }
+                command(ORACLE_PUBKEY) { InterestRateSwap.Commands.Refix(Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd)) }
                 timestamp(TEST_TX_TIME)
-                command(ORACLE_PUBKEY) { Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd) }
                 output() { oldIRS }
                 this `fails with` "There is at least one difference in the IRS floating leg payment schedules"
             }
 
             // This tests tries to sneak in a change to another fixing (which may or may not be the latest one)
             tweak {
-                command(ORACLE_PUBKEY) { InterestRateSwap.Commands.Fix() }
+                command(ORACLE_PUBKEY) { InterestRateSwap.Commands.Refix(Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd)) }
                 timestamp(TEST_TX_TIME)
-                command(ORACLE_PUBKEY) {
-                    Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd)
-                }
 
                 val firstResetKey = newIRS.calculation.floatingLegPaymentSchedule.keys.first()
                 val firstResetValue = newIRS.calculation.floatingLegPaymentSchedule[firstResetKey]
@@ -625,9 +617,8 @@ class IRSTests {
 
             // This tests modifies the payment currency for the fixing
             tweak {
-                command(ORACLE_PUBKEY) { InterestRateSwap.Commands.Fix() }
+                command(ORACLE_PUBKEY) { InterestRateSwap.Commands.Refix(Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd)) }
                 timestamp(TEST_TX_TIME)
-                command(ORACLE_PUBKEY) { Fix(FixOf("ICE LIBOR", ld, Tenor("3M")), bd) }
 
                 val latestReset = newIRS.calculation.floatingLegPaymentSchedule.filter { it.value.rate is FixedRate }.maxBy { it.key }
                 val modifiedLatestResetValue = latestReset!!.value.copy(notional = Amount(latestReset.value.notional.quantity, Currency.getInstance("JPY")))
@@ -711,10 +702,7 @@ class IRSTests {
                 }
 
                 command(ORACLE_PUBKEY) {
-                    InterestRateSwap.Commands.Fix()
+                    InterestRateSwap.Commands.Refix(Fix(FixOf("ICE LIBOR", ld1, Tenor("3M")), bd1))
-                }
-                command(ORACLE_PUBKEY) {
-                    Fix(FixOf("ICE LIBOR", ld1, Tenor("3M")), bd1)
                 }
                 timestamp(TEST_TX_TIME)
                 this.verifies()