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Rebuild IRS contract using clauses
This commit is contained in:
Ross Nicoll
parent
49b58d8a43
commit
e03dd19979
@ -1,6 +1,7 @@
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package com.r3corda.contracts
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import com.r3corda.core.contracts.*
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import com.r3corda.core.contracts.clauses.*
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import com.r3corda.core.crypto.Party
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import com.r3corda.core.crypto.SecureHash
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import com.r3corda.core.protocols.ProtocolLogicRefFactory
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@ -183,7 +184,7 @@ class FloatingRatePaymentEvent(date: LocalDate,
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* Currently, we are not interested (excuse pun) in valuing the swap, calculating the PVs, DFs and all that good stuff (soon though).
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* This is just a representation of a vanilla Fixed vs Floating (same currency) IRS in the R3 prototype model.
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*/
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class InterestRateSwap() : Contract {
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class InterestRateSwap() : ClauseVerifier() {
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override val legalContractReference: SecureHash = SecureHash.sha256("is_this_the_text_of_the_contract ? TBD")
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/**
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@ -447,143 +448,211 @@ class InterestRateSwap() : Contract {
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fixingCalendar, index, indexSource, indexTenor)
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}
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// These functions may make more sense to use for basket types, but for now let's leave them here
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fun checkLegDates(legs: Array<CommonLeg>) {
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requireThat {
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"Effective date is before termination date" by legs.all { it.effectiveDate < it.terminationDate }
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"Effective dates are in alignment" by legs.all { it.effectiveDate == legs[0].effectiveDate }
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"Termination dates are in alignment" by legs.all { it.terminationDate == legs[0].terminationDate }
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}
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}
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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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fun checkLegAmounts(legs: Array<CommonLeg>) {
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requireThat {
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"The notional is non zero" by legs.any { it.notional.quantity > (0).toLong() }
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"The notional for all legs must be the same" by legs.all { it.notional == legs[0].notional }
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}
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for (leg: CommonLeg in legs) {
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if (leg is FixedLeg) {
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interface Clause {
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/**
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* Common superclass for IRS contract clauses, which defines behaviour on match/no-match, and provides
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* helper functions for the clauses.
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*/
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abstract class AbstractIRSClause : GroupClause<State, String> {
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override val ifMatched: MatchBehaviour
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get() = MatchBehaviour.END
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override val ifNotMatched: MatchBehaviour
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get() = MatchBehaviour.CONTINUE
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// These functions may make more sense to use for basket types, but for now let's leave them here
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fun checkLegDates(legs: Array<CommonLeg>) {
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requireThat {
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// TODO: Confirm: would someone really enter a swap with a negative fixed rate?
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"Fixed leg rate must be positive" by leg.fixedRate.isPositive()
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"Effective date is before termination date" by legs.all { it.effectiveDate < it.terminationDate }
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"Effective dates are in alignment" by legs.all { it.effectiveDate == legs[0].effectiveDate }
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"Termination dates are in alignment" by legs.all { it.terminationDate == legs[0].terminationDate }
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}
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}
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}
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}
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fun checkLegAmounts(legs: Array<CommonLeg>) {
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requireThat {
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"The notional is non zero" by legs.any { it.notional.quantity > (0).toLong() }
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"The notional for all legs must be the same" by legs.all { it.notional == legs[0].notional }
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}
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for (leg: CommonLeg in legs) {
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if (leg is FixedLeg) {
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requireThat {
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// TODO: Confirm: would someone really enter a swap with a negative fixed rate?
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"Fixed leg rate must be positive" by leg.fixedRate.isPositive()
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}
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}
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}
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}
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// TODO: After business rules discussion, add further checks to the schedules and rates
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fun checkSchedules(@Suppress("UNUSED_PARAMETER") legs: Array<CommonLeg>): Boolean = true
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// TODO: After business rules discussion, add further checks to the schedules and rates
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fun checkSchedules(@Suppress("UNUSED_PARAMETER") legs: Array<CommonLeg>): Boolean = true
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fun checkRates(@Suppress("UNUSED_PARAMETER") legs: Array<CommonLeg>): Boolean = true
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fun checkRates(@Suppress("UNUSED_PARAMETER") legs: Array<CommonLeg>): Boolean = true
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/**
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* Compares two schedules of Floating Leg Payments, returns the difference (i.e. omissions in either leg or changes to the values).
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*/
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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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}
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/**
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* verify() with some examples of what needs to be checked.
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*/
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override fun verify(tx: TransactionForContract) {
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// Group by Trade ID for in / out states
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val groups = tx.groupStates() { state: InterestRateSwap.State -> state.common.tradeID }
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val command = tx.commands.requireSingleCommand<InterestRateSwap.Commands>()
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// TODO: This needs to either be the notary used for the inputs, or otherwise
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// derived as the correct notary
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@Suppress("DEPRECATION")
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val time = tx.commands.getTimestampByName("Mock Company 0", "Notary Service", "Bank A")?.midpoint
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if (time == null) throw IllegalArgumentException("must be timestamped")
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for ((inputs, outputs, key) in groups) {
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when (command.value) {
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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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* Compares two schedules of Floating Leg Payments, returns the difference (i.e. omissions in either leg or changes to the values).
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*/
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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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}
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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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class Group : GroupClauseVerifier<State, String>() {
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override val ifMatched: MatchBehaviour
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get() = MatchBehaviour.END
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override val ifNotMatched: MatchBehaviour
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get() = MatchBehaviour.ERROR
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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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override fun extractGroups(tx: TransactionForContract): List<TransactionForContract.InOutGroup<State, String>> {
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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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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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class Timestamped : SingleClause {
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override val ifMatched: MatchBehaviour
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get() = MatchBehaviour.CONTINUE
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override val ifNotMatched: MatchBehaviour
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get() = MatchBehaviour.ERROR
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override val requiredCommands: Set<Class<out CommandData>>
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get() = emptySet()
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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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override fun verify(tx: TransactionForContract, commands: Collection<AuthenticatedObject<CommandData>>): Set<CommandData> {
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// TODO: This needs to either be the notary used for the inputs, or otherwise
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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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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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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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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.Agree>()
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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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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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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 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<com.r3corda.core.contracts.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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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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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.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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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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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.Mature>()
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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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return setOf(command.value)
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}
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}
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}
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interface Commands : CommandData {
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