Fix ValuationOraclePlainSwap.java

For further information ask Raphael Prandtl

Author: Kourouta

Dockerfile

@@ -7,5 +7,5 @@ RUN mvn -f /usr/src/app/pom.xml clean package spring-boot:repackage -DskipTests
 
 # Run Stage: Copy fat-jar and define Entrypoint
 FROM openjdk:17 as RunStage
-COPY --from=BuildStage /usr/src/app/target/finmath-smart-derivative-contract-1.2.7-SNAPSHOT.jar /usr/app/finmath-smart-derivative-contract-1.2.7-SNAPSHOT.jar
-ENTRYPOINT ["java", "-jar", "/usr/app/finmath-smart-derivative-contract-1.2.7-SNAPSHOT.jar"]
+COPY --from=BuildStage /usr/src/app/target/finmath-smart-derivative-contract-1.2.7.jar /usr/app/finmath-smart-derivative-contract-1.2.7.jar
+ENTRYPOINT ["java", "-jar", "/usr/app/finmath-smart-derivative-contract-1.2.7.jar"]

pom.xml

@@ -1,13 +1,6 @@
 <project xmlns="http://maven.apache.org/POM/4.0.0" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 http://maven.apache.org/xsd/maven-4.0.0.xsd">
     <modelVersion>4.0.0</modelVersion>
 
-    <!-- For publishing to sonatype / central maven repo -->
-    <parent>
-        <groupId>org.sonatype.oss</groupId>
-        <artifactId>oss-parent</artifactId>
-        <version>7</version>
-    </parent>
-
     <groupId>net.finmath</groupId>
     <artifactId>finmath-smart-derivative-contract</artifactId>
     <version>1.2.7</version>

src/main/java/net/finmath/smartcontract/valuation/oracle/interestrates/ValuationOraclePlainSwap.java

@@ -91,8 +91,7 @@ public Map<String, BigDecimal> getValues(final LocalDateTime evaluationDate, fin
 				final Stream<CalibrationSpecProvider> allCalibrationItems =
 						scenario.getDataAsCalibrationDataPointStream(parser);
 				List<CalibrationDataItem> fixings = scenario.getDataPoints().stream().filter(
-						cdi -> cdi.getSpec().getProductName().equals("Fixing") || cdi.getSpec().getProductName().equals(
-								"Deposit")).toList();
+						cdi -> cdi.getSpec().getProductName().equals("Fixing")).toList();
 				Calibrator calibrator = new Calibrator(fixings, new CalibrationContextImpl(marketDataTime, 1E-9));
 				// TODO check conventions for 1-day OIS -> uses CalibrationSpecProviderOis
 				final Optional<CalibrationResult> optionalCalibrationResult =
@@ -146,4 +145,4 @@ private void addMissingOverNightRate(CalibrationDataset calibrationDataset) {
 			}
 		}
 	}
-}
+}

src/test/java/net/finmath/smartcontract/product/xml/JAXBTests.java

@@ -188,7 +188,7 @@ void handlerTest() throws java.lang.Exception {
 
 		double value = valuationResult.getValue().doubleValue();
 
-		assertEquals(-881044.86, value, 0.005, "Valuation");
+		assertEquals(-890732.84, value, 0.005, "Valuation");
 		assertTrue(fpml.contains("<address>"+PARTY1_DLT_ADDRESS+"</address>"));
 		assertTrue(fpml.contains("<address>"+PARTY2_DLT_ADDRESS+"</address>"));
 		System.out.println(valuationResult);

src/test/java/net/finmath/smartcontract/valuation/implementation/MarginCalculatorTest.java

@@ -30,7 +30,7 @@ void testMargin() throws Exception {
 
 		double value = valuationResult.getValue().doubleValue();
 
-		Assertions.assertEquals(9932.71, value, 0.005, "Margin");
+		Assertions.assertEquals(14877.83, value, 0.005, "Margin");
 		System.out.println(valuationResult);
 	}
 

src/test/java/net/finmath/smartcontract/valuation/service/utils/SettlementServiceTest.java

@@ -131,7 +131,7 @@ void generateRegularSettlement_multipleFixing() throws IOException {
 
 		assertTrue(settlementString.contains("REGULAR"));
 		assertFalse(settlementString.contains("INITIAL"));
-		assertTrue(settlementString.contains("<marginValue>1390792.42</marginValue>"));
+		assertTrue(settlementString.contains("<marginValue>1393334.34</marginValue>"));
 		assertTrue(settlementString.contains("EUB6FIX6M"));
 		assertTrue(settlementString.contains("ESTRFIX1D"));
 		assertTrue(settlementString.contains("<item><id>EUB6FIX6M</id><value>0.0521</value><timeStamp>20080917-170000</timeStamp></item>"));
@@ -253,4 +253,4 @@ void generateRegularSettlement_includes_FixingOfLastSettlement_twice() throws IO
 		assertTrue(settlementString.contains("<settlementType>REGULAR</settlementType>"));
 	}
 
-}
+}