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Merge pull request #85 from Julius278/feature/619
Feature/619
2 parents c167527 + 90379ce commit 3429d5c

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‎src/main/java/net/finmath/smartcontract/settlement/SettlementGenerator.java

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package net.finmath.smartcontract.settlement;
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import net.finmath.smartcontract.model.ExceptionId;
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import net.finmath.smartcontract.model.MarketDataList;
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import net.finmath.smartcontract.model.SDCException;
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import net.finmath.smartcontract.product.SmartDerivativeContractDescriptor;
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import net.finmath.smartcontract.product.xml.SDCXMLParser;
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import org.slf4j.Logger;
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import org.slf4j.LoggerFactory;
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import java.lang.reflect.Field;
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import java.math.BigDecimal;
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import java.time.ZonedDateTime;
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import java.util.Arrays;
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import java.util.List;
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import java.util.Objects;
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public class SettlementGenerator {
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private static final Logger logger = LoggerFactory.getLogger(SettlementGenerator.class);
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private Settlement settlement;
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public SettlementGenerator generateInitialSettlementXml(String marketDataXml, SmartDerivativeContractDescriptor sdc){
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generateSettlement(marketDataXml, Settlement.SettlementType.INITIAL, sdc, BigDecimal.ZERO);
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return this.settlementValuePrevious(BigDecimal.ZERO);
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}
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public SettlementGenerator generateRegularSettlementXml(String marketDataXml, SmartDerivativeContractDescriptor sdc, BigDecimal marginValue){
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return generateSettlement(marketDataXml, Settlement.SettlementType.REGULAR, sdc, marginValue);
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}
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private SettlementGenerator generateSettlement(String marketDataXml, Settlement.SettlementType settlementType, SmartDerivativeContractDescriptor sdc, BigDecimal marginValue){
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MarketDataList marketDataList = SDCXMLParser.unmarshalXml(marketDataXml, MarketDataList.class);
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settlement = new Settlement();
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settlement.setTradeId(sdc.getDltTradeId());
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settlement.setSettlementType(settlementType);
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settlement.setCurrency(sdc.getCurrency());
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settlement.setMarginValue(marginValue);
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settlement.setSettlementTime(ZonedDateTime.now());
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settlement.setMarketData(marketDataList);
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return this;
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}
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public SettlementGenerator marginLimits(List<BigDecimal> marginLimits){
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settlement.setMarginLimits(marginLimits);
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return this;
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}
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public SettlementGenerator settlementValue(BigDecimal settlementValue){
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settlement.setSettlementValue(settlementValue);
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return this;
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}
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public SettlementGenerator settlementValuePrevious(BigDecimal settlementValuePrevious){
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settlement.setSettlementValuePrevious(settlementValuePrevious);
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return this;
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}
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public SettlementGenerator settlementTimeNext(ZonedDateTime settlementTimeNext){
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settlement.setSettlementTimeNext(settlementTimeNext);
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return this;
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}
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public SettlementGenerator settlementValueNext(BigDecimal settlementValueNext){
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settlement.setSettlementValueNext(settlementValueNext);
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return this;
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}
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public String build(){
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String settlementString = SDCXMLParser.marshalClassToXMLString(settlement);
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if(allFieldsSet(settlement))
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return settlementString;
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else{
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logger.error("missing input for settlement, settlement string so far: {}", settlementString);
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throw new SDCException(ExceptionId.SDC_WRONG_INPUT, "settlement input incomplete", 400);
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}
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}
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private static boolean allFieldsSet(Settlement settlement){
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return Arrays.stream(settlement.getClass().getDeclaredFields())
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.peek(f -> f.setAccessible(true))
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.map(f -> getFieldValue(f, settlement))
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.allMatch(Objects::nonNull);
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}
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private static Object getFieldValue(Field field, Object target) {
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try {
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return field.get(target);
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} catch (IllegalAccessException e) {
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throw new RuntimeException(e);
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}
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}
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}

‎src/main/java/net/finmath/smartcontract/valuation/marketdata/generators/MarketDataGeneratorLauncher.java

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package net.finmath.smartcontract.valuation.marketdata.generators;
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import com.neovisionaries.ws.client.WebSocket;
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import io.reactivex.rxjava3.functions.Consumer;
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import net.finmath.smartcontract.model.MarketDataList;
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import net.finmath.smartcontract.product.SmartDerivativeContractDescriptor;
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import net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationDataItem;
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import org.slf4j.Logger;
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import org.slf4j.LoggerFactory;
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import java.io.IOException;
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import java.util.List;
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import java.util.Properties;
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import java.util.concurrent.atomic.AtomicBoolean;
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import java.util.concurrent.atomic.AtomicReference;
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public class MarketDataGeneratorLauncher {
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private static final Logger logger = LoggerFactory.getLogger(MarketDataGeneratorLauncher.class);
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private MarketDataGeneratorLauncher() {}
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public static MarketDataList instantiateMarketDataGeneratorWebsocket(Properties connectionProperties, SmartDerivativeContractDescriptor sdc) {
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AtomicReference<MarketDataList> marketDataList = new AtomicReference<>(new MarketDataList());
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AtomicBoolean finished = new AtomicBoolean(false);
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logger.info("launching MarketDataGeneratorWebsocket");
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List<CalibrationDataItem.Spec> mdItemList;
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WebSocketConnector connector;
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WebSocket socket;
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MarketDataGeneratorWebsocket emitter;
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try {
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mdItemList = sdc.getMarketdataItemList();
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// Init Websockect Connection
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connector = new WebSocketConnector(connectionProperties);
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socket = connector.getWebSocket();
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emitter = new MarketDataGeneratorWebsocket(connector.getAuthJson(), connector.getPosition(), mdItemList);
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socket.addListener(emitter);
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socket.connect();
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final Consumer<MarketDataList> marketDataWriter = s -> {
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logger.info("websocket open: {}", socket.isOpen());
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marketDataList.set(s);
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finished.set(true);
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emitter.closeStreamsAndLogoff(socket);
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socket.sendClose();
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};
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emitter.asObservable().take(1).subscribe(marketDataWriter);
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while (!finished.get()) {
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logger.info("Waiting for Market Data List to finish retrieving");
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Thread.sleep(1000);
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}
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return marketDataList.get();
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} catch (IOException e) {
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throw new RuntimeException(e);
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} catch (Exception e) {
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throw new RuntimeException(e);
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}
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}
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}

‎src/test/java/net/finmath/smartcontract/settlement/SettlementGeneratorTest.java

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package net.finmath.smartcontract.settlement;
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import net.finmath.smartcontract.model.SDCException;
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import net.finmath.smartcontract.product.SmartDerivativeContractDescriptor;
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import net.finmath.smartcontract.product.xml.SDCXMLParser;
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import org.junit.jupiter.api.Test;
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import org.xml.sax.SAXException;
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import javax.xml.parsers.ParserConfigurationException;
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import java.io.IOException;
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import java.io.InputStream;
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import java.math.BigDecimal;
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import java.time.ZonedDateTime;
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import java.util.List;
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import static org.junit.jupiter.api.Assertions.*;
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class SettlementGeneratorTest {
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@Test
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void generateInitialSettlement() throws IOException, ParserConfigurationException, SAXException {
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InputStream inputStream = SettlementGeneratorTest.class.getClassLoader().getResourceAsStream("net/finmath/smartcontract/valuation/historicalMarketData/marketdata_2008-05-02.xml");
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String marketDataString = new String(inputStream.readAllBytes());
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inputStream = SettlementGeneratorTest.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.product.xml/smartderivativecontract_with_rics.xml");
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String productString = new String(inputStream.readAllBytes());
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SmartDerivativeContractDescriptor sdc = SDCXMLParser.parse(productString);
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String settlementString = new SettlementGenerator().generateInitialSettlementXml(marketDataString, sdc)
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.marginLimits(List.of(BigDecimal.ONE, BigDecimal.ZERO))
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.settlementValue(BigDecimal.ZERO)
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//.settlementValuePrevious(BigDecimal.ZERO)
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.settlementTimeNext(ZonedDateTime.now())
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.settlementValueNext(BigDecimal.ZERO)
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.build();
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System.out.println(settlementString);
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assertTrue(settlementString.contains("ESTRSWP3Y"));
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assertTrue(settlementString.contains("ESTRSWP1W"));
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assertTrue(settlementString.contains("INITIAL"));
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assertFalse(settlementString.contains("REGULAR"));
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assertTrue(settlementString.contains("<marginValue>0</marginValue>"));
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assertTrue(settlementString.contains("<marketData>"));
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assertTrue(settlementString.contains("<requestTimeStamp>"));
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assertTrue(settlementString.contains("<item>"));
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assertTrue(settlementString.contains("<value>"));
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assertTrue(settlementString.contains("<settlementTimeNext>"));
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assertTrue(settlementString.contains("<settlementValueNext>"));
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assertTrue(settlementString.contains("<settlementValuePrevious>"));
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assertTrue(settlementString.contains("<settlementValue>"));
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assertTrue(settlementString.contains("<marginLimits>"));
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}
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@Test
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void generateRegularSettlement() throws IOException, ParserConfigurationException, SAXException {
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InputStream inputStream = SettlementGeneratorTest.class.getClassLoader().getResourceAsStream("net/finmath/smartcontract/valuation/historicalMarketData/marketdata_2008-05-02.xml");
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String marketDataString = new String(inputStream.readAllBytes());
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inputStream = SettlementGeneratorTest.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.product.xml/smartderivativecontract_with_rics.xml");
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String productString = new String(inputStream.readAllBytes());
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SmartDerivativeContractDescriptor sdc = SDCXMLParser.parse(productString);
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String settlementString = new SettlementGenerator().generateRegularSettlementXml(marketDataString, sdc, BigDecimal.ONE)
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.marginLimits(List.of(BigDecimal.ONE, BigDecimal.ZERO))
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.settlementValue(BigDecimal.ZERO)
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.settlementValuePrevious(BigDecimal.ZERO)
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.settlementTimeNext(ZonedDateTime.now())
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.settlementValueNext(BigDecimal.ZERO)
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.build();
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System.out.println(settlementString);
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assertTrue(settlementString.contains("ESTRSWP3Y"));
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assertTrue(settlementString.contains("ESTRSWP1W"));
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assertTrue(settlementString.contains("REGULAR"));
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assertFalse(settlementString.contains("INITIAL"));
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assertTrue(settlementString.contains("<marginValue>1</marginValue>"));
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assertTrue(settlementString.contains("<marketData>"));
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assertTrue(settlementString.contains("<requestTimeStamp>"));
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assertTrue(settlementString.contains("<item>"));
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assertTrue(settlementString.contains("<value>"));
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assertTrue(settlementString.contains("<settlementTimeNext>"));
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assertTrue(settlementString.contains("<settlementValueNext>"));
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assertTrue(settlementString.contains("<settlementValuePrevious>"));
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assertTrue(settlementString.contains("<settlementValue>"));
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assertTrue(settlementString.contains("<marginLimits>"));
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}
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@Test
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void generateIncompleteSettlement_Exception() throws IOException, ParserConfigurationException, SAXException {
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InputStream inputStream = SettlementGeneratorTest.class.getClassLoader().getResourceAsStream("net/finmath/smartcontract/valuation/historicalMarketData/marketdata_2008-05-02.xml");
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String marketDataString = new String(inputStream.readAllBytes());
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inputStream = SettlementGeneratorTest.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.product.xml/smartderivativecontract_with_rics.xml");
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String productString = new String(inputStream.readAllBytes());
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SmartDerivativeContractDescriptor sdc = SDCXMLParser.parse(productString);
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SettlementGenerator generator = new SettlementGenerator().generateRegularSettlementXml(marketDataString, sdc, BigDecimal.ONE)
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.marginLimits(List.of(BigDecimal.ONE, BigDecimal.ZERO))
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.settlementValue(BigDecimal.ZERO)
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.settlementValuePrevious(BigDecimal.ZERO)
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.settlementTimeNext(ZonedDateTime.now());
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//.settlementValueNext(BigDecimal.ZERO);
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assertThrows(SDCException.class, generator::build);
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}
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}

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