mirror of
https://github.com/corda/corda.git
synced 2024-12-30 01:39:04 +00:00
Restoring apparently missing SIMM demo documentation (#2293)
(cherry picked from commit 2e84bad)
This commit is contained in:
Maksymilian Pawlak
Ben Abineri
parent
20683c3239
commit
5c85e80b17
@ -1,8 +1,180 @@
|
|||||||
# SIMM Valuation Demo
|
# SIMM and Portfolio Demo - aka the Initial Margin Agreement Demo
|
||||||
|
|
||||||
See our [main documentation site](https://docs.corda.net/initial-margin-agreement.html) regarding the SIMM valuation and agreement on a distributed ledger.
|
## Background and SIMM Introduction
|
||||||
|
|
||||||
|
This app is a demonstration of how Corda can be used for the real world requirement of initial margin calculation and
|
||||||
|
agreement; featuring the integration of complex and industry proven third party libraries into Corda nodes.
|
||||||
|
|
||||||
|
SIMM is an acronym for "Standard Initial Margin Model". It is effectively the calculation of a "margin" that is paid
|
||||||
|
by one party to another when they agree a trade on certain types of transaction.
|
||||||
|
|
||||||
|
The SIMM was introduced to standardise the calculation of how much margin counterparties charge each other on their
|
||||||
|
bilateral transactions. Before SIMM, each counterparty computed margins according to its own model and it was made it very
|
||||||
|
difficult to agree the exact margin with the counterparty that faces the same trade on the other side.
|
||||||
|
|
||||||
|
To enact this, in September 2016, the ISDA committee - with full backing from various governing bodies -
|
||||||
|
[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)
|
||||||
|
a way of fairly and consistently calculating this margin. Any parties wishing to trade a financial product that is
|
||||||
|
covered under this ruling would, independently, use this model and calculate their margin payment requirement,
|
||||||
|
agree it with their trading counterparty and then pay (or receive, depending on the results of this calculation)
|
||||||
|
this amount. In the case of disagreement that is not resolved in a timely fashion, this payment would increase
|
||||||
|
and so therefore it is in the parties' interest to reach agreement in as short as time frame as possible.
|
||||||
|
|
||||||
|
To be more accurate, the SIMM calculation is not performed on just one trade - it is calculated on an aggregate of
|
||||||
|
intermediary values (which in this model are sensitivities to risk factors) from a portfolio of trades; therefore
|
||||||
|
the input to a SIMM is actually this data, not the individual trades themselves.
|
||||||
|
|
||||||
|
Also note that implementations of the SIMM are actually protected and subject to license restrictions by ISDA
|
||||||
|
(this is due to the model itself being protected). We were fortunate enough to technically partner with
|
||||||
|
[OpenGamma](http://www.opengamma.com) who allowed us to demonstrate the SIMM process using their proprietary model.
|
||||||
|
In the source code released, we have replaced their analytics engine with very simple stub functions that allow
|
||||||
|
the process to run without actually calculating correct values, and can easily be swapped out in place for their real libraries.
|
||||||
|
|
||||||
|
## What happens in the demo (notionally)
|
||||||
|
|
||||||
|
|
||||||
|
Preliminaries
|
||||||
|
- Ensure that there are a number of live trades with another party based on financial products that are covered under the
|
||||||
|
ISDA SIMM agreement (if none, then use the demo to enter some simple trades as described below).
|
||||||
|
|
||||||
|
Initial Margin Agreement Process
|
||||||
|
- 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 flow but it does not matter which node does.
|
||||||
|
- 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
|
||||||
|
- Confirm with the other counterparty the dataset from the above set
|
||||||
|
- Calculate any intermediary steps and values needed for the margin calculation (ie sensitivities to risk factors)
|
||||||
|
- Agree on the results of these steps
|
||||||
|
- Calculate the initial margin
|
||||||
|
- Agree on the calculation of the above with the other party
|
||||||
|
- In practice, pay (or receive) this margin (omitted for the sake of complexity for this example)
|
||||||
|
|
||||||
|
## Demo execution (step by step)
|
||||||
|
|
||||||
|
|
||||||
|
**Setting up the Corda infrastructure**
|
||||||
|
|
||||||
|
To run from the command line in Unix:
|
||||||
|
|
||||||
|
1. Deploy the nodes using ``./gradlew samples:simm-valuation-demo:deployNodes``
|
||||||
|
2. Run the nodes using ``./samples/simm-valuation-demo/build/nodes/runnodes``
|
||||||
|
|
||||||
|
To run from the command line in Windows:
|
||||||
|
|
||||||
|
1. Deploy the nodes using ``gradlew samples:simm-valuation-demo:deployNodes``
|
||||||
|
2. Run the nodes using ``samples\simm-valuation-demo\build\nodes\runnodes``
|
||||||
|
|
||||||
|
**Getting Bank A's details**
|
||||||
|
|
||||||
|
From the command line run
|
||||||
|
|
||||||
|
curl http://localhost:10005/api/simmvaluationdemo/whoami
|
||||||
|
|
||||||
|
The response should be something like
|
||||||
|
|
||||||
|
{
|
||||||
|
"self" : {
|
||||||
|
"id" : "8Kqd4oWdx4KQGHGQW3FwXHQpjiv7cHaSsaAWMwRrK25bBJj792Z4rag7EtA",
|
||||||
|
"text" : "C=GB,L=London,O=Bank A"
|
||||||
|
},
|
||||||
|
"counterparties" : [
|
||||||
|
{
|
||||||
|
"id" : "8Kqd4oWdx4KQGHGL1DzULumUmZyyokeSGJDY1n5M6neUfAj2sjbf65wYwQM",
|
||||||
|
"text" : "C=JP,L=Tokyo,O=Bank C"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"id" : "8Kqd4oWdx4KQGHGTBm34eCM2nrpcWKeM1ZG3DUYat3JTFUQTwB3Lv2WbPM8",
|
||||||
|
"text" : "C=US,L=New York,O=Bank B"
|
||||||
|
}
|
||||||
|
]
|
||||||
|
}
|
||||||
|
|
||||||
|
Now, if we ask the same question of Bank C we will see that it's id matches the id for Bank C as a counter
|
||||||
|
party to Bank A and Bank A will appear as a counter party
|
||||||
|
|
||||||
|
curl -i -H "Content-Type: application/json" -X GET http://localhost:10011/api/simmvaluationdemo/whoami
|
||||||
|
|
||||||
|
**Creating a trade with Bank C**
|
||||||
|
|
||||||
|
In what follows, we assume we are Bank A (which is listening on port 10005)
|
||||||
|
|
||||||
|
Notice the id field in the output of the ``whoami`` command. We are going to use the id assocatied
|
||||||
|
with Bank C, one of our counter parties, to create a trade. The general command for this is:
|
||||||
|
|
||||||
|
curl -i -H "Content-Type: application/json" -X PUT -d <<<JSON representation of the trade>>> http://localhost:10005/api/simmvaluationdemo/<<<counter party id>>>/trades
|
||||||
|
|
||||||
|
where the representation of the trade is
|
||||||
|
|
||||||
|
|
||||||
|
{
|
||||||
|
"id" : "trade1",
|
||||||
|
"description" : "desc",
|
||||||
|
"tradeDate" : [ 2016, 6, 6 ],
|
||||||
|
"convention" : "EUR_FIXED_1Y_EURIBOR_3M",
|
||||||
|
"startDate" : [ 2016, 6, 6 ],
|
||||||
|
"endDate" : [ 2020, 1, 2 ],
|
||||||
|
"buySell" : "BUY",
|
||||||
|
"notional" : "1000",
|
||||||
|
"fixedRate" : "0.1"
|
||||||
|
}
|
||||||
|
|
||||||
|
Continuing our example, the specific command we would run is
|
||||||
|
|
||||||
|
curl -i -H "Content-Type: application/json" \
|
||||||
|
-X PUT \
|
||||||
|
-d '{"id":"trade1","description" : "desc","tradeDate" : [ 2016, 6, 6 ], "convention" : "EUR_FIXED_1Y_EURIBOR_3M", "startDate" : [ 2016, 6, 6 ], "endDate" : [ 2020, 1, 2 ], "buySell" : "BUY", "notional" : "1000", "fixedRate" : "0.1"}' \
|
||||||
|
http://localhost:10005/api/simmvaluationdemo/8Kqd4oWdx4KQGHGL1DzULumUmZyyokeSGJDY1n5M6neUfAj2sjbf65wYwQM/trades
|
||||||
|
|
||||||
|
With an expected response of
|
||||||
|
|
||||||
|
HTTP/1.1 202 Accepted
|
||||||
|
Date: Thu, 28 Sep 2017 17:19:39 GMT
|
||||||
|
Content-Type: text/plain
|
||||||
|
Access-Control-Allow-Origin: *
|
||||||
|
Content-Length: 2
|
||||||
|
Server: Jetty(9.3.9.v20160517)
|
||||||
|
|
||||||
|
**Verifying trade completion**
|
||||||
|
|
||||||
|
With the trade completed and stored by both parties, the complete list of trades with our couterparty can be seen with the following command
|
||||||
|
|
||||||
|
curl -X GET http://localhost:10005/api/simmvaluationdemo/<<<counter party id>>>/trades
|
||||||
|
|
||||||
|
The command for our example, using Bank A, would thus be
|
||||||
|
|
||||||
|
curl -X GET http://localhost:10005/api/simmvaluationdemo/8Kqd4oWdx4KQGHGL1DzULumUmZyyokeSGJDY1n5M6neUfAj2sjbf65wYwQM/trades
|
||||||
|
|
||||||
|
whilst a specific trade can be seen with
|
||||||
|
|
||||||
|
|
||||||
|
curl -X GET http://localhost:10005/api/simmvaluationdemo/<<<counter party id>>>/trades/<<<trade id>>>
|
||||||
|
|
||||||
|
If we look at the trade we created above, we assigned it the id "trade1", the complete command in this case would be
|
||||||
|
|
||||||
|
curl -X GET http://localhost:10005/api/simmvaluationdemo/8Kqd4oWdx4KQGHGL1DzULumUmZyyokeSGJDY1n5M6neUfAj2sjbf65wYwQM/trades/trade1
|
||||||
|
|
||||||
|
**Generating a valuation**
|
||||||
|
|
||||||
|
curl -i -H "Content-Type: application/json" \
|
||||||
|
-X POST \
|
||||||
|
-d <<<JSON representation>>>
|
||||||
|
http://localhost:10005/api/simmvaluationdemo/<<<counter party id>>>/portfolio/valuations/calculate
|
||||||
|
|
||||||
|
Again, the specific command to continue our example would be
|
||||||
|
|
||||||
|
curl -i -H "Content-Type: application/json" \
|
||||||
|
-X POST \
|
||||||
|
-d '{"valuationDate":[2016,6,6]}' \
|
||||||
|
http://localhost:10005/api/simmvaluationdemo/8Kqd4oWdx4KQGHGL1DzLumUmZyyokeSGJDY1n5M6neUfAj2sjbf65wYwQM/portfolio/valuations/calculate
|
||||||
|
|
||||||
|
**Viewing a valuation**
|
||||||
|
|
||||||
|
In the same way we can ask for specific instances of trades with a counter party, we can request details of valuations
|
||||||
|
|
||||||
|
curl -i -H "Content-Type: application/json" -X GET http://localhost:10005/api/simmvaluationdemo/<<<counter party id>>>/portfolio/valuations
|
||||||
|
|
||||||
|
The specific command for out Bank A example is
|
||||||
|
|
||||||
|
curl -i -H "Content-Type: application/json" \
|
||||||
|
-X GET http://localhost:10005/api/simmvaluationdemo/8Kqd4oWdx4KQGHGL1DzULumUmZyyokeSGJDY1n5M6neUfAj2sjbf65YwQM/portfolio/valuations
|
||||||
|
|
||||||
|
|
||||||
## SIMM Library Licensing
|
## SIMM Library Licensing
|
||||||
|
|||||||
Loading…
Reference in New Issue
Block a user