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Merge pull request #90 from Julius278/feature/633
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SDC-633, adjusted check for xml parser
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@Julius278
Julius278 authored Sep 26, 2024
2 parents 50b0732 + ac9eb17 commit 9c75314
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194 changes: 107 additions & 87 deletions src/main/java/net/finmath/smartcontract/product/xml/SDCXMLParser.java
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Expand Up @@ -28,100 +28,120 @@
*/
public class SDCXMLParser {

private static final Logger logger = LoggerFactory.getLogger(SDCXMLParser.class);
private static final Logger logger = LoggerFactory.getLogger(SDCXMLParser.class);

private SDCXMLParser() {
}
private SDCXMLParser() {
}

public static SmartDerivativeContractDescriptor parse(String sdcxml) throws ParserConfigurationException, IOException, SAXException {
public static SmartDerivativeContractDescriptor parse(String sdcxml) throws ParserConfigurationException, IOException, SAXException {

Smartderivativecontract sdc = unmarshalXml(sdcxml, Smartderivativecontract.class);
Smartderivativecontract sdc = unmarshalXml(sdcxml, Smartderivativecontract.class);

LocalDateTime settlementDateInitial = LocalDateTime.parse(sdc.getSettlement().settlementDateInitial.trim());
LocalDateTime settlementDateInitial = LocalDateTime.parse(sdc.getSettlement().settlementDateInitial.trim());

String uniqueTradeIdentifier = sdc.getUniqueTradeIdentifier().trim();
String dltAddress = sdc.getDltAddress() == null ? "" : sdc.getDltAddress().trim();
String dltTradeId = sdc.getDltTradeId() == null ? "" : sdc.getDltTradeId().trim();
String uniqueTradeIdentifier = sdc.getUniqueTradeIdentifier().trim();
String dltAddress = sdc.getDltAddress() == null ? "" : sdc.getDltAddress().trim();
String dltTradeId = sdc.getDltTradeId() == null ? "" : sdc.getDltTradeId().trim();

/*
Market Data
*/
List<CalibrationDataItem.Spec> marketdataItems = new ArrayList<>();
for(Smartderivativecontract.Settlement.Marketdata.Marketdataitems.Item item : sdc.getSettlement().getMarketdata().getMarketdataitems().getItem()){
String symbol = item.getSymbol().get(0).trim();
String curve = item.getCurve().get(0).trim();
String type = item.getType().get(0).trim();
String tenor = item.getTenor().get(0).trim();
CalibrationDataItem.Spec spec = new CalibrationDataItem.Spec(symbol, curve, type, tenor);
marketdataItems.add(spec);
}

/*
* Counterparties
*/
List<SmartDerivativeContractDescriptor.Party> parties = new ArrayList<>();
Map<String, Double> marginAccountInitialByPartyID = new HashMap<>();
Map<String, Double> penaltyFeeInitialByPartyID = new HashMap<>();

for(Smartderivativecontract.Parties.Party p : sdc.getParties().getParty()){
SmartDerivativeContractDescriptor.Party party = new SmartDerivativeContractDescriptor.Party(
p.getId().trim(),
p.getName().trim(),
null,
p.getAddress().trim()
);
parties.add(party);
marginAccountInitialByPartyID.put(party.getId(), p.getMarginAccount().getValue());
penaltyFeeInitialByPartyID.put(party.getId(), p.getPenaltyFee().getValue());
}

// Receiver party ID
String receiverPartyID = sdc.getReceiverPartyID().trim();

// TODO The parser needs to check that the field receiverPartyID of the SDC matched the field <receiverPartyReference href="party2"/> in the FPML

// TODO Support multiple underlyings

Document document = DocumentBuilderFactory.newInstance().newDocumentBuilder().parse(new ByteArrayInputStream(sdcxml.getBytes(StandardCharsets.UTF_8)));
document.getDocumentElement().normalize();

Node underlying = document
.getElementsByTagName("underlying")
.item(0)
.getFirstChild();
if (!underlying.getNodeName().equals("dataDocument")) {
underlying = underlying.getNextSibling();
}
Swap swap = (Swap) sdc.getUnderlyings().getUnderlying().getDataDocument().getTrade().get(0).getProduct().getValue();
String currency = swap.getSwapStream().get(0).getCalculationPeriodAmount().getCalculation().getNotionalSchedule().getNotionalStepSchedule().getCurrency().getValue().trim();

String marketDataProvider = sdc.getSettlement().getMarketdata().getProvider().trim();

return new SmartDerivativeContractDescriptor(dltTradeId, dltAddress, uniqueTradeIdentifier, settlementDateInitial, parties, marginAccountInitialByPartyID, penaltyFeeInitialByPartyID, receiverPartyID, underlying, marketdataItems, currency, marketDataProvider);
}

public static <T> T unmarshalXml(String xml, Class<T> t) {
try {
StringReader reader = new StringReader(xml);
JAXBContext jaxbContext = JAXBContext.newInstance(t);
Unmarshaller unmarshaller = jaxbContext.createUnmarshaller();
return (T) unmarshaller.unmarshal(reader);
} catch (JAXBException e) {
logger.error("unmarshalXml: jaxb error, ", e);
throw new SDCException(ExceptionId.SDC_JAXB_ERROR, e.getMessage(), 400);
}
}

public static <T> String marshalClassToXMLString(T t) {
try {
JAXBContext jaxbContextSettlement = JAXBContext.newInstance(t.getClass());
Marshaller jaxbMarshaller = jaxbContextSettlement.createMarshaller();
StringWriter writer = new StringWriter();
jaxbMarshaller.marshal(t, writer);
return writer.toString();
} catch (JAXBException e) {
logger.error("marshalClassToXMLString: jaxb error, ", e);
throw new SDCException(ExceptionId.SDC_JAXB_ERROR, e.getMessage(), 400);
}
}
List<CalibrationDataItem.Spec> marketdataItems = new ArrayList<>();
for (Smartderivativecontract.Settlement.Marketdata.Marketdataitems.Item item : sdc.getSettlement().getMarketdata().getMarketdataitems().getItem()) {
String symbol = item.getSymbol().get(0).trim();
String curve = item.getCurve().get(0).trim();
String type = item.getType().get(0).trim();
String tenor = item.getTenor().get(0).trim();
CalibrationDataItem.Spec spec = new CalibrationDataItem.Spec(symbol, curve, type, tenor);
marketdataItems.add(spec);
}

/*
* Counterparties
*/
List<SmartDerivativeContractDescriptor.Party> parties = new ArrayList<>();
Map<String, Double> marginAccountInitialByPartyID = new HashMap<>();
Map<String, Double> penaltyFeeInitialByPartyID = new HashMap<>();

for (Smartderivativecontract.Parties.Party p : sdc.getParties().getParty()) {
SmartDerivativeContractDescriptor.Party party = new SmartDerivativeContractDescriptor.Party(
p.getId().trim(),
p.getName().trim(),
null,
p.getAddress().trim()
);
parties.add(party);
marginAccountInitialByPartyID.put(party.getId(), p.getMarginAccount().getValue());
penaltyFeeInitialByPartyID.put(party.getId(), p.getPenaltyFee().getValue());
}

// Receiver party ID
String receiverPartyID = sdc.getReceiverPartyID().trim();

// TODO The parser needs to check that the field receiverPartyID of the SDC matched the field <receiverPartyReference href="party2"/> in the FPML

// TODO Support multiple underlyings

Document document = DocumentBuilderFactory.newInstance().newDocumentBuilder().parse(new ByteArrayInputStream(sdcxml.getBytes(StandardCharsets.UTF_8)));
document.getDocumentElement().normalize();

Node underlying = document
.getElementsByTagName("underlying")
.item(0)
.getFirstChild();
if (!underlying.getNodeName().contains("dataDocument")) {
underlying = underlying.getNextSibling();
}
Swap swap = (Swap) sdc.getUnderlyings().getUnderlying().getDataDocument().getTrade().get(0).getProduct().getValue();
String currency = swap.getSwapStream().get(0).getCalculationPeriodAmount().getCalculation().getNotionalSchedule().getNotionalStepSchedule().getCurrency().getValue().trim();

String marketDataProvider = sdc.getSettlement().getMarketdata().getProvider().trim();

return new SmartDerivativeContractDescriptor(dltTradeId, dltAddress, uniqueTradeIdentifier, settlementDateInitial, parties, marginAccountInitialByPartyID, penaltyFeeInitialByPartyID, receiverPartyID, underlying, marketdataItems, currency, marketDataProvider);
}

public static <T> T unmarshalXml(String xml, Class<T> t) {
try {
StringReader reader = new StringReader(xml);
JAXBContext jaxbContext = JAXBContext.newInstance(t);
Unmarshaller unmarshaller = jaxbContext.createUnmarshaller();
return (T) unmarshaller.unmarshal(reader);
} catch (JAXBException e) {
logger.error("unmarshalXml: jaxb error, ", e);
throw new SDCException(ExceptionId.SDC_JAXB_ERROR, e.getMessage(), 400);
}
}

/**
* Generic object-to-XML-string converter for all annotated classes
* @param t object to be converted to an XML string
* @return XML formatted String
* @param <T> generic Type, which has the correct XML bind annotations
*/
public static <T> String marshalClassToXMLString(T t) {
try {
JAXBContext jaxbContextSettlement = JAXBContext.newInstance(t.getClass());
Marshaller jaxbMarshaller = jaxbContextSettlement.createMarshaller();
if (t instanceof Smartderivativecontract)
jaxbMarshaller.setProperty(Marshaller.JAXB_SCHEMA_LOCATION, "uri:sdc smartderivativecontract.xsd");
StringWriter writer = new StringWriter();
jaxbMarshaller.marshal(t, writer);
return writer.toString();
} catch (JAXBException e) {
logger.error("marshalClassToXMLString: jaxb error, ", e);
throw new SDCException(ExceptionId.SDC_JAXB_ERROR, e.getMessage(), 400);
}
}

/**
* this version of an SDC-object-to-XML-string conversion includes text replacements to get rid of XML namespace tags like "fpml:dataDocument"
* @param smartderivativecontract SDC product data object which will be transformed into an XML string
* @return formatted xml string
*/
public static String marshalSDCToXMLString(Smartderivativecontract smartderivativecontract) {
//TODO took over an old implementation, please review
return marshalClassToXMLString(smartderivativecontract)
.replaceAll("<fpml:dataDocument fpmlVersion=\"5-9\">", "<dataDocument fpmlVersion=\"5-9\" xmlns=\"http://www.fpml.org/FpML-5/confirmation\">")
.replaceAll("fpml:", "");
}
}
29 changes: 29 additions & 0 deletions src/test/java/net/finmath/smartcontract/product/xml/SDCXMLParserTest.java
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Expand Up @@ -9,6 +9,7 @@
import net.finmath.smartcontract.settlement.Settlement;
import net.finmath.smartcontract.valuation.client.ValuationClient;
import net.finmath.smartcontract.valuation.marketdata.data.MarketDataPoint;
import org.apache.commons.lang3.StringUtils;
import org.junit.jupiter.api.Assertions;
import org.junit.jupiter.api.Test;
import org.w3c.dom.Node;
Expand Down Expand Up @@ -115,4 +116,32 @@ void marshalClassToXMLString() {
Assertions.assertTrue(xmlString.contains("</marketData>"));
}

@Test
void marshalSDCToXMLString() throws IOException, ParserConfigurationException, SAXException {
//given
String fpml = new String(SDCXMLParserTest.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.product.xml/smartderivativecontract.xml").readAllBytes(), StandardCharsets.UTF_8);
Smartderivativecontract sdc = SDCXMLParser.unmarshalXml(fpml, Smartderivativecontract.class);

//when
String xmlString = SDCXMLParser.marshalSDCToXMLString(sdc);
String xmlStringNameSpaceTags = SDCXMLParser.marshalClassToXMLString(sdc);
SmartDerivativeContractDescriptor sdcDescriptor = SDCXMLParser.parse(xmlString);

//then
//xml based
Assertions.assertTrue(xmlStringNameSpaceTags.contains("<fpml:dataDocument fpmlVersion=\"5-9\">"));
Assertions.assertEquals(1, StringUtils.countMatches(xmlStringNameSpaceTags,"<fpml:dataDocument fpmlVersion=\"5-9\">"));
Assertions.assertFalse(xmlString.contains("<fpml:dataDocument fpmlVersion=\"5-9\">"));
Assertions.assertTrue(xmlString.contains("<dataDocument fpmlVersion=\"5-9\" xmlns=\"http://www.fpml.org/FpML-5/confirmation\">"));
Assertions.assertTrue(xmlStringNameSpaceTags.contains("</fpml:"));
Assertions.assertFalse(xmlString.contains("</fpml:"));

//parsed back
Assertions.assertEquals("UTI12345", sdcDescriptor.getUniqueTradeIdentifier());
Assertions.assertEquals("ID-Test123", sdcDescriptor.getDltTradeId());
Assertions.assertEquals("0x000000001", sdcDescriptor.getDltAddress());
Assertions.assertEquals("EUR", sdcDescriptor.getCurrency());
Assertions.assertEquals("internal", sdcDescriptor.getMarketDataProvider());
}

}

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