Merge pull request #85 from Julius278/feature/619

Feature/619

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

@@ -0,0 +1,95 @@
+package net.finmath.smartcontract.settlement;
+
+import net.finmath.smartcontract.model.ExceptionId;
+import net.finmath.smartcontract.model.MarketDataList;
+import net.finmath.smartcontract.model.SDCException;
+import net.finmath.smartcontract.product.SmartDerivativeContractDescriptor;
+import net.finmath.smartcontract.product.xml.SDCXMLParser;
+import org.slf4j.Logger;
+import org.slf4j.LoggerFactory;
+
+import java.lang.reflect.Field;
+import java.math.BigDecimal;
+import java.time.ZonedDateTime;
+import java.util.Arrays;
+import java.util.List;
+import java.util.Objects;
+
+public class SettlementGenerator {
+
+	private static final Logger logger = LoggerFactory.getLogger(SettlementGenerator.class);
+
+	private Settlement settlement;
+
+	public SettlementGenerator generateInitialSettlementXml(String marketDataXml, SmartDerivativeContractDescriptor sdc){
+		generateSettlement(marketDataXml, Settlement.SettlementType.INITIAL, sdc, BigDecimal.ZERO);
+		return this.settlementValuePrevious(BigDecimal.ZERO);
+	}
+
+	public SettlementGenerator generateRegularSettlementXml(String marketDataXml, SmartDerivativeContractDescriptor sdc, BigDecimal marginValue){
+		return generateSettlement(marketDataXml, Settlement.SettlementType.REGULAR, sdc, marginValue);
+	}
+
+	private SettlementGenerator generateSettlement(String marketDataXml, Settlement.SettlementType settlementType, SmartDerivativeContractDescriptor sdc, BigDecimal marginValue){
+		MarketDataList marketDataList = SDCXMLParser.unmarshalXml(marketDataXml, MarketDataList.class);
+		settlement = new Settlement();
+		settlement.setTradeId(sdc.getDltTradeId());
+		settlement.setSettlementType(settlementType);
+		settlement.setCurrency(sdc.getCurrency());
+		settlement.setMarginValue(marginValue);
+		settlement.setSettlementTime(ZonedDateTime.now());
+		settlement.setMarketData(marketDataList);
+
+		return this;
+	}
+
+	public SettlementGenerator marginLimits(List<BigDecimal> marginLimits){
+		settlement.setMarginLimits(marginLimits);
+		return this;
+	}
+
+	public SettlementGenerator settlementValue(BigDecimal settlementValue){
+		settlement.setSettlementValue(settlementValue);
+		return this;
+	}
+
+	public SettlementGenerator settlementValuePrevious(BigDecimal settlementValuePrevious){
+		settlement.setSettlementValuePrevious(settlementValuePrevious);
+		return this;
+	}
+
+	public SettlementGenerator settlementTimeNext(ZonedDateTime settlementTimeNext){
+		settlement.setSettlementTimeNext(settlementTimeNext);
+		return this;
+	}
+
+	public SettlementGenerator settlementValueNext(BigDecimal settlementValueNext){
+		settlement.setSettlementValueNext(settlementValueNext);
+		return this;
+	}
+
+	public String build(){
+		String settlementString = SDCXMLParser.marshalClassToXMLString(settlement);
+		if(allFieldsSet(settlement))
+			return settlementString;
+		else{
+			logger.error("missing input for settlement, settlement string so far: {}", settlementString);
+			throw new SDCException(ExceptionId.SDC_WRONG_INPUT, "settlement input incomplete", 400);
+		}
+	}
+
+	private static boolean allFieldsSet(Settlement settlement){
+		return Arrays.stream(settlement.getClass().getDeclaredFields())
+				.peek(f -> f.setAccessible(true))
+				.map(f -> getFieldValue(f, settlement))
+				.allMatch(Objects::nonNull);
+	}
+
+	private static Object getFieldValue(Field field, Object target) {
+		try {
+			return field.get(target);
+		} catch (IllegalAccessException e) {
+			throw new RuntimeException(e);
+		}
+	}
+}

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

@@ -0,0 +1,62 @@
+package net.finmath.smartcontract.valuation.marketdata.generators;
+
+import com.neovisionaries.ws.client.WebSocket;
+import io.reactivex.rxjava3.functions.Consumer;
+import net.finmath.smartcontract.model.MarketDataList;
+import net.finmath.smartcontract.product.SmartDerivativeContractDescriptor;
+import net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationDataItem;
+import org.slf4j.Logger;
+import org.slf4j.LoggerFactory;
+
+import java.io.IOException;
+import java.util.List;
+import java.util.Properties;
+import java.util.concurrent.atomic.AtomicBoolean;
+import java.util.concurrent.atomic.AtomicReference;
+
+public class MarketDataGeneratorLauncher {
+
+	private static final Logger logger = LoggerFactory.getLogger(MarketDataGeneratorLauncher.class);
+
+	private MarketDataGeneratorLauncher() {}
+
+	public static MarketDataList instantiateMarketDataGeneratorWebsocket(Properties connectionProperties, SmartDerivativeContractDescriptor sdc) {
+		AtomicReference<MarketDataList> marketDataList = new AtomicReference<>(new MarketDataList());
+		AtomicBoolean finished = new AtomicBoolean(false);
+
+		logger.info("launching MarketDataGeneratorWebsocket");
+		List<CalibrationDataItem.Spec> mdItemList;
+		WebSocketConnector connector;
+		WebSocket socket;
+		MarketDataGeneratorWebsocket emitter;
+		try {
+			mdItemList = sdc.getMarketdataItemList();
+
+			// Init Websockect Connection
+			connector = new WebSocketConnector(connectionProperties);
+			socket = connector.getWebSocket();
+			emitter = new MarketDataGeneratorWebsocket(connector.getAuthJson(), connector.getPosition(), mdItemList);
+			socket.addListener(emitter);
+			socket.connect();
+
+			final Consumer<MarketDataList> marketDataWriter = s -> {
+				logger.info("websocket open: {}", socket.isOpen());
+				marketDataList.set(s);
+				finished.set(true);
+
+				emitter.closeStreamsAndLogoff(socket);
+				socket.sendClose();
+			};
+			emitter.asObservable().take(1).subscribe(marketDataWriter);
+			while (!finished.get()) {
+				logger.info("Waiting for Market Data List to finish retrieving");
+				Thread.sleep(1000);
+			}
+			return marketDataList.get();
+		} catch (IOException e) {
+			throw new RuntimeException(e);
+		} catch (Exception e) {
+			throw new RuntimeException(e);
+		}
+	}
+}

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

@@ -0,0 +1,108 @@
+package net.finmath.smartcontract.settlement;
+
+import net.finmath.smartcontract.model.SDCException;
+import net.finmath.smartcontract.product.SmartDerivativeContractDescriptor;
+import net.finmath.smartcontract.product.xml.SDCXMLParser;
+import org.junit.jupiter.api.Test;
+import org.xml.sax.SAXException;
+
+import javax.xml.parsers.ParserConfigurationException;
+import java.io.IOException;
+import java.io.InputStream;
+import java.math.BigDecimal;
+import java.time.ZonedDateTime;
+import java.util.List;
+
+import static org.junit.jupiter.api.Assertions.*;
+
+class SettlementGeneratorTest {
+
+	@Test
+	void generateInitialSettlement() throws IOException, ParserConfigurationException, SAXException {
+		InputStream inputStream = SettlementGeneratorTest.class.getClassLoader().getResourceAsStream("net/finmath/smartcontract/valuation/historicalMarketData/marketdata_2008-05-02.xml");
+		String marketDataString = new String(inputStream.readAllBytes());
+
+		inputStream = SettlementGeneratorTest.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.product.xml/smartderivativecontract_with_rics.xml");
+		String productString = new String(inputStream.readAllBytes());
+		SmartDerivativeContractDescriptor sdc = SDCXMLParser.parse(productString);
+
+		String settlementString = new SettlementGenerator().generateInitialSettlementXml(marketDataString, sdc)
+				.marginLimits(List.of(BigDecimal.ONE, BigDecimal.ZERO))
+				.settlementValue(BigDecimal.ZERO)
+				//.settlementValuePrevious(BigDecimal.ZERO)
+				.settlementTimeNext(ZonedDateTime.now())
+				.settlementValueNext(BigDecimal.ZERO)
+				.build();
+
+		System.out.println(settlementString);
+
+		assertTrue(settlementString.contains("ESTRSWP3Y"));
+		assertTrue(settlementString.contains("ESTRSWP1W"));
+		assertTrue(settlementString.contains("INITIAL"));
+		assertFalse(settlementString.contains("REGULAR"));
+		assertTrue(settlementString.contains("<marginValue>0</marginValue>"));
+		assertTrue(settlementString.contains("<marketData>"));
+		assertTrue(settlementString.contains("<requestTimeStamp>"));
+		assertTrue(settlementString.contains("<item>"));
+		assertTrue(settlementString.contains("<value>"));
+		assertTrue(settlementString.contains("<settlementTimeNext>"));
+		assertTrue(settlementString.contains("<settlementValueNext>"));
+		assertTrue(settlementString.contains("<settlementValuePrevious>"));
+		assertTrue(settlementString.contains("<settlementValue>"));
+		assertTrue(settlementString.contains("<marginLimits>"));
+	}
+
+	@Test
+	void generateRegularSettlement() throws IOException, ParserConfigurationException, SAXException {
+		InputStream inputStream = SettlementGeneratorTest.class.getClassLoader().getResourceAsStream("net/finmath/smartcontract/valuation/historicalMarketData/marketdata_2008-05-02.xml");
+		String marketDataString = new String(inputStream.readAllBytes());
+
+		inputStream = SettlementGeneratorTest.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.product.xml/smartderivativecontract_with_rics.xml");
+		String productString = new String(inputStream.readAllBytes());
+		SmartDerivativeContractDescriptor sdc = SDCXMLParser.parse(productString);
+
+		String settlementString = new SettlementGenerator().generateRegularSettlementXml(marketDataString, sdc, BigDecimal.ONE)
+				.marginLimits(List.of(BigDecimal.ONE, BigDecimal.ZERO))
+				.settlementValue(BigDecimal.ZERO)
+				.settlementValuePrevious(BigDecimal.ZERO)
+				.settlementTimeNext(ZonedDateTime.now())
+				.settlementValueNext(BigDecimal.ZERO)
+				.build();
+
+		System.out.println(settlementString);
+
+		assertTrue(settlementString.contains("ESTRSWP3Y"));
+		assertTrue(settlementString.contains("ESTRSWP1W"));
+		assertTrue(settlementString.contains("REGULAR"));
+		assertFalse(settlementString.contains("INITIAL"));
+		assertTrue(settlementString.contains("<marginValue>1</marginValue>"));
+		assertTrue(settlementString.contains("<marketData>"));
+		assertTrue(settlementString.contains("<requestTimeStamp>"));
+		assertTrue(settlementString.contains("<item>"));
+		assertTrue(settlementString.contains("<value>"));
+		assertTrue(settlementString.contains("<settlementTimeNext>"));
+		assertTrue(settlementString.contains("<settlementValueNext>"));
+		assertTrue(settlementString.contains("<settlementValuePrevious>"));
+		assertTrue(settlementString.contains("<settlementValue>"));
+		assertTrue(settlementString.contains("<marginLimits>"));
+	}
+
+	@Test
+	void generateIncompleteSettlement_Exception() throws IOException, ParserConfigurationException, SAXException {
+		InputStream inputStream = SettlementGeneratorTest.class.getClassLoader().getResourceAsStream("net/finmath/smartcontract/valuation/historicalMarketData/marketdata_2008-05-02.xml");
+		String marketDataString = new String(inputStream.readAllBytes());
+
+		inputStream = SettlementGeneratorTest.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.product.xml/smartderivativecontract_with_rics.xml");
+		String productString = new String(inputStream.readAllBytes());
+		SmartDerivativeContractDescriptor sdc = SDCXMLParser.parse(productString);
+
+		SettlementGenerator generator = new SettlementGenerator().generateRegularSettlementXml(marketDataString, sdc, BigDecimal.ONE)
+				.marginLimits(List.of(BigDecimal.ONE, BigDecimal.ZERO))
+				.settlementValue(BigDecimal.ZERO)
+				.settlementValuePrevious(BigDecimal.ZERO)
+				.settlementTimeNext(ZonedDateTime.now());
+				//.settlementValueNext(BigDecimal.ZERO);
+
+		assertThrows(SDCException.class, generator::build);
+	}
+}