Develop - merge to main

pom.xml

@@ -923,7 +923,9 @@
                     </gitDescribe>
                 </configuration>
             </plugin>
-
+            <!--build does not work when this plugin is enabled
+            and the download is blocked by the IT department-->
+            <!--
             <plugin>
                 <groupId>org.apache.maven.plugins</groupId>
                 <artifactId>maven-gpg-plugin</artifactId>
@@ -938,6 +940,7 @@
                     </execution>
                 </executions>
             </plugin>
+            -->
             <plugin>
                 <groupId>org.sonatype.central</groupId>
                 <artifactId>central-publishing-maven-plugin</artifactId>

src/main/java/net/finmath/smartcontract/model/ExceptionId.java

@@ -37,4 +37,5 @@ public enum ExceptionId {
 	SDC_WEB3J_SEND_ERROR,
 	SDC_NO_DATA_FOUND,
 	SDC_WRONG_INPUT,
+	SDC_FLOW_SCHEDULE_ERROR,
 }

src/main/java/net/finmath/smartcontract/product/flowschedule/FlowScheduleSwap.java

@@ -0,0 +1,116 @@
+package net.finmath.smartcontract.product.flowschedule;
+
+
+import jakarta.xml.bind.annotation.XmlElement;
+import jakarta.xml.bind.annotation.XmlElementWrapper;
+import jakarta.xml.bind.annotation.XmlRootElement;
+import jakarta.xml.bind.annotation.XmlType;
+import net.finmath.smartcontract.product.xml.Smartderivativecontract;
+
+import java.util.List;
+
+
+/**
+ * Object for structuring the flow schedule of a swap, that is the underlying of a Smart Derivative Contract, as an XML string.
+ * Contains information from the parent SDC and a list of {@link FlowScheduleSwapLeg},
+ * each representing the flow schedule of a swap leg.
+ *
+ * @author  Raphael Prandtl
+ */
+@XmlRootElement(name = "flowScheduleSwap")
+@XmlType(name = "", propOrder = {
+		"dltTradeId",
+		"dltAddress",
+		"uniqueTradeIdentifier",
+		"settlementCurrency",
+		"tradeType",
+		"parties",
+		"receiverPartyID",
+		"flowScheduleSwapLegs"
+})
+public class FlowScheduleSwap {
+	String dltTradeId;
+	String dltAddress;
+	String uniqueTradeIdentifier;
+	String settlementCurrency;
+	String tradeType;
+	Smartderivativecontract.Parties parties;
+	String receiverPartyID;
+	List<FlowScheduleSwapLeg> flowScheduleSwapLegs;
+
+
+	@XmlElement(name = "dltTradeId")
+	public String getDltTradeId() {
+		return dltTradeId;
+	}
+
+	public void setDltTradeId(final String dltTradeId) {
+		this.dltTradeId = dltTradeId;
+	}
+
+	@XmlElement(name = "dltAddress")
+	public String getDltAddress() {
+		return dltAddress;
+	}
+
+	public void setDltAddress(final String dltAddress) {
+		this.dltAddress = dltAddress;
+	}
+
+
+	@XmlElement(name = "uniqueTradeIdentifier")
+	public String getUniqueTradeIdentifier() {
+		return uniqueTradeIdentifier;
+	}
+
+	public void setUniqueTradeIdentifier(final String uniqueTradeIdentifier) {
+		this.uniqueTradeIdentifier = uniqueTradeIdentifier;
+	}
+
+	@XmlElement(name = "settlementCurrency")
+	public String getSettlementCurrency() {
+		return settlementCurrency;
+	}
+
+	public void setSettlementCurrency(final String settlementCurrency) {
+		this.settlementCurrency = settlementCurrency;
+	}
+
+	@XmlElement(name = "tradeType")
+	public String getTradeType() {
+		return tradeType;
+	}
+
+	public void setTradeType(final String tradeType) {
+		this.tradeType = tradeType;
+	}
+
+	@XmlElement(name = "parties")
+	public Smartderivativecontract.Parties getParties() {
+		return parties;
+	}
+
+	public void setParties(final Smartderivativecontract.Parties parties) {
+		this.parties = parties;
+	}
+
+	@XmlElement(name = "receiverPartyID")
+	public String getReceiverPartyID() {
+		return receiverPartyID;
+	}
+
+	public void setReceiverPartyID(final String receiverPartyID) {
+		this.receiverPartyID = receiverPartyID;
+	}
+
+	@XmlElementWrapper(name = "flowScheduleSwapLegs")
+	@XmlElement(name = "flowScheduleSwapLeg")
+	public List<FlowScheduleSwapLeg> getFlowScheduleSwapLegs() {
+		return flowScheduleSwapLegs;
+	}
+
+	public void setFlowScheduleSwapLegs(List<FlowScheduleSwapLeg> flowScheduleSwapLegs) {
+		this.flowScheduleSwapLegs = flowScheduleSwapLegs;
+	}
+
+}

src/main/java/net/finmath/smartcontract/product/flowschedule/FlowScheduleSwapLeg.java

@@ -0,0 +1,47 @@
+package net.finmath.smartcontract.product.flowschedule;
+
+
+import jakarta.xml.bind.annotation.XmlElement;
+import jakarta.xml.bind.annotation.XmlElementWrapper;
+import jakarta.xml.bind.annotation.XmlRootElement;
+import jakarta.xml.bind.annotation.XmlType;
+
+import java.util.List;
+
+
+/**
+ * Object for structuring the flow schedule of a swap leg as an XML string.
+ * Contains the legType and a list of {@link FlowScheduleSwapLegPeriod},
+ * each representing the flow schedule of a single period.
+ *
+ * @author  Raphael Prandtl
+ */
+@XmlRootElement(name = "flowScheduleSwapLeg")
+@XmlType(name = "", propOrder = {
+		"legType",
+		"flowScheduleSwapLegPeriods"
+})
+public class FlowScheduleSwapLeg {
+	String legType;
+	List<FlowScheduleSwapLegPeriod> flowScheduleSwapLegPeriods;
+
+	@XmlElement(name = "legType")
+	public String getLegType() {
+		return legType;
+	}
+
+	public void setLegType(final String legType) {
+		this.legType = legType;
+	}
+
+	@XmlElementWrapper(name = "flowScheduleSwapLegPeriods")
+	@XmlElement(name = "flowScheduleSwapLegPeriod")
+	public List<FlowScheduleSwapLegPeriod> getFlowScheduleSwapLegPeriods() {
+		return flowScheduleSwapLegPeriods;
+	}
+
+	public void setFlowScheduleSwapLegPeriods(final List<FlowScheduleSwapLegPeriod> flowScheduleSwapLegPeriods) {
+		this.flowScheduleSwapLegPeriods = flowScheduleSwapLegPeriods;
+	}
+
+}

src/main/java/net/finmath/smartcontract/product/flowschedule/FlowScheduleSwapLegPeriod.java

@@ -0,0 +1,107 @@
+package net.finmath.smartcontract.product.flowschedule;
+
+
+import jakarta.xml.bind.annotation.XmlElement;
+import jakarta.xml.bind.annotation.XmlRootElement;
+import jakarta.xml.bind.annotation.XmlType;
+import jakarta.xml.bind.annotation.adapters.XmlJavaTypeAdapter;
+import net.finmath.smartcontract.valuation.marketdata.data.LocalDateTimeAdapter;
+
+import java.time.LocalDateTime;
+
+
+/**
+ * Object for structuring the flow schedule of a swap leg period as an XML string.
+ * Contains the rolled-out schedule for the period and information on cash-flow.
+ *
+ * @author  Raphael Prandtl
+ */
+@XmlRootElement(name = "flowScheduleSwapLegPeriod")
+@XmlType(name = "", propOrder = {
+		"fixingDate",
+		"periodStartDate",
+		"periodEndDate",
+		"paymentDate",
+		"notional",
+		"rate",
+		"flowAmount"
+})
+public class FlowScheduleSwapLegPeriod {
+	LocalDateTime 	fixingDate;
+	LocalDateTime 	periodStartDate;
+	LocalDateTime 	periodEndDate;
+	LocalDateTime 	paymentDate;
+	double		  	notional;
+	double 		 	rate;
+	double 		  	flowAmount;
+
+	@XmlElement(name = "fixingDate")
+	@XmlJavaTypeAdapter(LocalDateTimeAdapter.class)
+	public LocalDateTime getFixingDate() {
+		return fixingDate;
+	}
+
+	public void setFixingDate(final LocalDateTime fixingDate) {
+		this.fixingDate = fixingDate;
+	}
+
+	@XmlElement(name = "periodStartDate")
+	@XmlJavaTypeAdapter(LocalDateTimeAdapter.class)
+	public LocalDateTime getPeriodStartDate() {
+		return periodStartDate;
+	}
+
+	public void setPeriodStartDate(final LocalDateTime periodStartDate) {
+		this.periodStartDate = periodStartDate;
+	}
+
+	@XmlElement(name = "periodEndDate")
+	@XmlJavaTypeAdapter(LocalDateTimeAdapter.class)
+	public LocalDateTime getPeriodEndDate() {
+		return periodEndDate;
+	}
+
+	public void setPeriodEndDate(final LocalDateTime periodEndDate) {
+		this.periodEndDate = periodEndDate;
+	}
+
+	@XmlElement(name = "paymentDate")
+	@XmlJavaTypeAdapter(LocalDateTimeAdapter.class)
+	public LocalDateTime getPaymentDate() {
+		return paymentDate;
+	}
+
+	public void setPaymentDate(final LocalDateTime paymentDate) {
+		this.paymentDate = paymentDate;
+	}
+
+	@XmlElement(name = "notional")
+	public double getNotional() {
+		return notional;
+	}
+
+	public void setNotional(final double notional) {
+		this.notional = notional;
+	}
+
+	@XmlElement(name = "rate")
+	public double getRate() {
+		return rate;
+	}
+
+	public void setRate(final double rate) {
+		this.rate = rate;
+	}
+
+	@XmlElement(name = "flowAmount")
+	public double getFlowAmount() {
+		return flowAmount;
+	}
+
+	public void setFlowAmount(final double flowAmount) {
+		this.flowAmount = flowAmount;
+	}
+
+
+
+}

src/main/java/net/finmath/smartcontract/product/xml/PlainSwapEditorHandler.java

@@ -187,15 +187,26 @@ public PlainSwapEditorHandler(final PlainSwapOperationRequest plainSwapOperation
 			fixedLeg.receiverPartyReference.href = smartDerivativeContract.underlyings.underlying.dataDocument.party.get(1);
 		}
 
-
-		floatingLeg.resetDates.fixingDates.periodMultiplier = BigInteger.valueOf(plainSwapOperationRequest.getFloatingFixingDayOffset().longValue());
+		if(plainSwapOperationRequest.getFloatingFixingDayOffset() != null){
+			logger.info("floatingFixingDayOffSet manually set to: '{}'", plainSwapOperationRequest.getFloatingFixingDayOffset());
+			floatingLeg.resetDates.fixingDates.periodMultiplier = BigInteger.valueOf(plainSwapOperationRequest.getFloatingFixingDayOffset().longValue());
+		}
 		logger.info("Reading back floating fixing date offset: {}", floatingLeg.resetDates.fixingDates.periodMultiplier);
-		floatingLeg.calculationPeriodAmount.calculation.dayCountFraction.value = plainSwapOperationRequest.getFloatingDayCountFraction();
+		if(plainSwapOperationRequest.getFloatingDayCountFraction() != null && !plainSwapOperationRequest.getFloatingDayCountFraction().isEmpty()) {
+			logger.info("floatingDayCountFraction manually set to: '{}'", plainSwapOperationRequest.getFloatingDayCountFraction());
+			floatingLeg.calculationPeriodAmount.calculation.dayCountFraction.value = plainSwapOperationRequest.getFloatingDayCountFraction();
+		}
 		logger.info("Reading back floating day count fraction: {}", floatingLeg.calculationPeriodAmount.calculation.dayCountFraction.value);
 
-		((FloatingRateCalculation) floatingLeg.calculationPeriodAmount.calculation.getRateCalculation().getValue()).floatingRateIndex.value = plainSwapOperationRequest.getFloatingRateIndex();
+		if(plainSwapOperationRequest.getFloatingRateIndex() != null && !plainSwapOperationRequest.getFloatingRateIndex().isEmpty()) {
+			logger.info("floatingRateIndex manually set to: '{}'", plainSwapOperationRequest.getFloatingRateIndex());
+			((FloatingRateCalculation) floatingLeg.calculationPeriodAmount.calculation.getRateCalculation().getValue()).floatingRateIndex.value = plainSwapOperationRequest.getFloatingRateIndex();
+		}
 		logger.info("Reading back floating rate index: {}", ((FloatingRateCalculation) floatingLeg.calculationPeriodAmount.calculation.getRateCalculation().getValue()).floatingRateIndex.value);
-		fixedLeg.calculationPeriodAmount.calculation.dayCountFraction.value = plainSwapOperationRequest.getFixedDayCountFraction();
+		if(plainSwapOperationRequest.getFixedDayCountFraction() != null && !plainSwapOperationRequest.getFixedDayCountFraction().isEmpty()) {
+			logger.info("fixedDayCountFraction manually set to: '{}'", plainSwapOperationRequest.getFixedDayCountFraction());
+			fixedLeg.calculationPeriodAmount.calculation.dayCountFraction.value = plainSwapOperationRequest.getFixedDayCountFraction();
+		}
 		logger.info("Reading back fixed day count fraction {}", fixedLeg.calculationPeriodAmount.calculation.dayCountFraction.value);
 		fixedLeg.calculationPeriodAmount.calculation.fixedRateSchedule.initialValue = BigDecimal.valueOf(plainSwapOperationRequest.getFixedRate()).setScale(12, RoundingMode.HALF_EVEN).divide(BigDecimal.valueOf(100L).setScale(12, RoundingMode.HALF_EVEN), RoundingMode.HALF_EVEN);
 		logger.info("Reading back fixed rate: {}", fixedLeg.calculationPeriodAmount.calculation.fixedRateSchedule.initialValue);
@@ -294,6 +305,8 @@ private static void setSdcSettlementHeaderProvidedSymbols(final PlainSwapOperati
 	}
 
 	private static void setSdcSettlementHeaderTemplate(final PlainSwapOperationRequest plainSwapOperationRequest, final Smartderivativecontract sdc, Smartderivativecontract templateContract) {
+		logger.info("setSdcSettlementHeaderTemplate with template");
+
 		Smartderivativecontract.Settlement settlementHeader = new Smartderivativecontract.Settlement();
 
 		settlementHeader.settlementTime = new Smartderivativecontract.Settlement.SettlementTime();

src/main/java/net/finmath/smartcontract/product/xml/SDCXMLParser.java

@@ -8,6 +8,7 @@
 import net.finmath.smartcontract.model.MarketDataList;
 import net.finmath.smartcontract.model.SDCException;
 import net.finmath.smartcontract.product.SmartDerivativeContractDescriptor;
+import net.finmath.smartcontract.product.flowschedule.FlowScheduleSwap;
 import net.finmath.smartcontract.settlement.Settlement;
 import net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationDataItem;
 import org.slf4j.Logger;
@@ -52,10 +53,10 @@ public class SDCXMLParser {
 
 			new ConcurrentHashMap<>(
 					Map.of(
-							Smartderivativecontract.class.getCanonicalName(),
-							createContext(Smartderivativecontract.class),//
-							MarketDataList.class.getCanonicalName(), createContext(MarketDataList.class),//
-							Settlement.class.getCanonicalName(), createContext(Settlement.class)//
+							Smartderivativecontract.class.getCanonicalName(), createContext(Smartderivativecontract.class),
+							MarketDataList.class.getCanonicalName(), createContext(MarketDataList.class),
+							Settlement.class.getCanonicalName(), createContext(Settlement.class),
+							FlowScheduleSwap.class.getCanonicalName(), createContext(FlowScheduleSwap.class)
 					)
 			);