Merge branch 'feature/leg_valuation_and_code_cleanup' into develop

src/main/java/net/finmath/smartcontract/demo/VisualiserSDC.java

@@ -8,11 +8,11 @@
 import javafx.scene.layout.FlowPane;
 import net.finmath.marketdata.products.Swap;
 import net.finmath.plots.*;
+import net.finmath.smartcontract.product.IRSwapGenerator;
 import net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationDataset;
 import net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationParserDataItems;
 import net.finmath.smartcontract.valuation.oracle.SmartDerivativeContractSettlementOracle;
 import net.finmath.smartcontract.valuation.oracle.interestrates.ValuationOraclePlainSwap;
-import net.finmath.smartcontract.product.IRSwapGenerator;
 
 import javax.swing.*;
 import java.awt.*;
@@ -23,6 +23,7 @@
 import java.time.format.DateTimeFormatter;
 import java.util.ArrayList;
 import java.util.List;
+import java.util.Map;
 import java.util.stream.Collectors;
 
 /**
@@ -68,9 +69,9 @@ public static void main(final String[] args) throws Exception {
 						datapoint.getSpec().getProductName().equals("Swap-Rate") &&
 						datapoint.getSpec().getMaturity().equals("5Y")).mapToDouble(e -> e.getQuote()).findAny().getAsDouble();
 
-		final Swap swap = IRSwapGenerator.generateAnalyticSwapObject(productStartDate, maturityKey, fixRate, false, forwardCurveKey, discountCurveKey);
+		final Swap swap = IRSwapGenerator.generateAnalyticSwapObject(productStartDate, maturityKey, notional, fixRate, false, forwardCurveKey, discountCurveKey);
 
-		final ValuationOraclePlainSwap oracle = new ValuationOraclePlainSwap(swap, notional, scenarioList);
+		final ValuationOraclePlainSwap oracle = new ValuationOraclePlainSwap(Map.of("value",swap), scenarioList);
 		final SmartDerivativeContractSettlementOracle margin = new SmartDerivativeContractSettlementOracle(oracle);
 
 		final List<LocalDateTime> scenarioDates = scenarioList.stream().map(scenario -> scenario.getDate()).sorted().collect(Collectors.toList());
@@ -83,7 +84,7 @@ public static void main(final String[] args) throws Exception {
 		sdcVisual.updateWithValue(scenarioDates.get(0), marginBuffer, 0, null, 0);
 		Thread.sleep(1000);
 		for (int i = 0; i < scenarioDates.size(); i++) {
-			final double marginCall = i > 0 ? margin.getMargin(scenarioDates.get(i - 1), scenarioDates.get(i)) : 0.0;
+			final double marginCall = i > 0 ? margin.getMargin(scenarioDates.get(i - 1), scenarioDates.get(i)).get("value").doubleValue() : 0.0;
 			//			double marginCall = i==0. ? oracle.getValue(scenarioDates.get(0)) :  oracle.getValue(scenarioDates.get(i)) -  oracle.getValue(scenarioDates.get(i-1));//90*(new Random()).nextDouble()-45;
 			System.out.println(i + "\t" + DateTimeFormatter.ofPattern("dd.MM.yyyy").format(scenarioDates.get(i)) + "\t" + marginCall);
 			marketValue += marginCall;

src/main/java/net/finmath/smartcontract/product/IRSwapGenerator.java

@@ -9,10 +9,12 @@
 import java.time.LocalDate;
 import java.time.LocalDateTime;
 import java.time.LocalTime;
+import java.util.Arrays;
 import java.util.Optional;
 
 /**
- * Scenario Generator provides static method for generating an analytic swap object
+ * Generates an interest rate swap. This is used for testing and visualization.
+ * Alternative way to generate the swap is via the parser.
  *
  * @author Peter Kohl-Landgraf
  * @author Christian Fries
@@ -21,17 +23,31 @@ public class IRSwapGenerator {
 
 	private IRSwapGenerator(){}
 
-	public static Swap generateAnalyticSwapObject(final LocalDate startDate, final String maturityLabel, final double fixRate, final boolean isReceiveFix, final String forwardCurveName, final String discountCurveName) {
+	public static Swap generateAnalyticSwapObject(final LocalDate startDate, final String maturityLabel, final double notional, final double fixRate, final boolean isReceiveFix, final String forwardCurveName, final String discountCurveName) {
 
 		final String frequencyLabel = forwardCurveName.contains("3M") ? "quarterly" : forwardCurveName.contains("6M") ? "semiannual" : forwardCurveName.contains("1M") ? "monthly" : "annual";
 
+		// Schedules
 		final Schedule scheduleFloat = ScheduleGenerator.createScheduleFromConventions(startDate, 2, "0D", maturityLabel, frequencyLabel, "act/360", "first", "following", new BusinessdayCalendarExcludingTARGETHolidays(), 0, 0);
 		final Schedule scheduleFix = ScheduleGenerator.createScheduleFromConventions(startDate, 2, "0D", maturityLabel, "annual", "E30/360", "first", "following", new BusinessdayCalendarExcludingTARGETHolidays(), 0, 0);
-		final SwapLeg floatLeg = new SwapLeg(Optional.of(LocalDateTime.of(startDate, LocalTime.of(0, 0))), scheduleFloat, forwardCurveName, 0.0, discountCurveName);
+
+		// TODO Remove hardcoded effective date
+		// TODO Test effective date from parser
+		LocalDateTime cashFlowEffectiveDate = LocalDateTime.of(startDate, LocalTime.of(0, 0));
+		boolean isNotionalExchanged = false;
+
+		final double[] notionalsFloat = new double[scheduleFloat.getNumberOfPeriods()];
+		final double[] spreadsFloat = new double[scheduleFloat.getNumberOfPeriods()];
+		Arrays.fill(notionalsFloat, notional);
+		Arrays.fill(spreadsFloat, 0.0);
+		final SwapLeg floatLeg = new SwapLeg(Optional.of(cashFlowEffectiveDate), scheduleFloat, forwardCurveName, notionalsFloat, spreadsFloat, discountCurveName, isNotionalExchanged);
+
+		final double[] notionalsFix = new double[scheduleFix.getNumberOfPeriods()];
+		final double[] spreadsFix = new double[scheduleFix.getNumberOfPeriods()];
+		Arrays.fill(notionalsFix, notional);
+		Arrays.fill(spreadsFix, fixRate);
 		final SwapLeg fixLeg = new SwapLeg(Optional.of(LocalDateTime.of(startDate, LocalTime.of(0, 0))), scheduleFix, "", fixRate, discountCurveName);
 
 		return isReceiveFix ? new Swap(fixLeg, floatLeg) : new Swap(floatLeg, fixLeg);
 	}
-
-
 }

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

@@ -617,8 +617,8 @@ private AnalyticModel getAnalyticModel(String marketData, Schedule schedule, Str
 		List<CalibrationDataset> marketDataSets;
 		try {
 			marketDataSets = CalibrationParserDataItems.getScenariosFromJsonString(marketData);
-		} catch (IOException e) {
-			logger.error("Failed to load market data.");
+		} catch (IllegalArgumentException e) {
+			logger.error("Failed to load market data.", e);
 			throw e;
 		}
 		Validate.isTrue(marketDataSets.size() == 1, "Parameter marketData should be only a single market data set");

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

@@ -1,10 +1,13 @@
 package net.finmath.smartcontract.product.xml;
 
-import jakarta.xml.bind.*;
+import jakarta.xml.bind.JAXBContext;
+import jakarta.xml.bind.JAXBException;
+import jakarta.xml.bind.Marshaller;
+import jakarta.xml.bind.Unmarshaller;
 import net.finmath.smartcontract.model.ExceptionId;
 import net.finmath.smartcontract.model.SDCException;
-import net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationDataItem;
 import net.finmath.smartcontract.product.SmartDerivativeContractDescriptor;
+import net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationDataItem;
 import org.slf4j.Logger;
 import org.slf4j.LoggerFactory;
 import org.w3c.dom.Document;
@@ -13,7 +16,11 @@
 
 import javax.xml.parsers.DocumentBuilderFactory;
 import javax.xml.parsers.ParserConfigurationException;
-import java.io.*;
+import java.io.ByteArrayInputStream;
+import java.io.IOException;
+import java.io.StringReader;
+import java.io.StringWriter;
+import java.math.BigDecimal;
 import java.nio.charset.StandardCharsets;
 import java.time.LocalDateTime;
 import java.util.ArrayList;
@@ -106,7 +113,7 @@ public static SmartDerivativeContractDescriptor parse(String sdcxml) throws Pars
 	public static <T> T unmarshalXml(String xml, Class<T> t) {
 		try {
 			StringReader reader = new StringReader(xml);
-			JAXBContext jaxbContext = JAXBContext.newInstance(t);
+			JAXBContext jaxbContext = JAXBContext.newInstance(t, BigDecimal.class);
 			Unmarshaller unmarshaller = jaxbContext.createUnmarshaller();
 			return (T) unmarshaller.unmarshal(reader);
 		} catch (JAXBException e) {

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

@@ -0,0 +1,24 @@
+package net.finmath.smartcontract.settlement;
+
+import jakarta.xml.bind.annotation.adapters.XmlAdapter;
+
+import java.math.BigDecimal;
+
+public class BigDecimalAdapter extends XmlAdapter<String, BigDecimal> {
+
+	@Override
+	public String marshal(BigDecimal value) throws Exception
+	{
+		if (value!= null)
+		{
+			return value.toString();
+		}
+		return null;
+	}
+
+	@Override
+	public BigDecimal unmarshal(String s) throws Exception
+	{
+		return new BigDecimal(s);
+	}
+}

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

@@ -1,6 +1,9 @@
 package net.finmath.smartcontract.settlement;
 
-import jakarta.xml.bind.annotation.*;
+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 jakarta.xml.bind.annotation.adapters.XmlJavaTypeAdapter;
 import net.finmath.smartcontract.model.MarketDataList;
 
@@ -23,12 +26,9 @@
 @XmlRootElement
 @XmlType(propOrder = {"tradeId", "settlementType", "currency", "marginValue",
 		"marginLimits", "settlementTime", "settlementNPV", "settlementNPVPrevious",
-		"settlementTimeNext", "settlementNPVNext", "marketData"})
+		"settlementTimeNext", "settlementNPVNext", "marketData", "settlementInfos"})
 public class Settlement {
 
-	public Settlement() {
-	}
-
 	public enum SettlementType {
 		INITIAL,
 		REGULAR,
@@ -62,9 +62,12 @@ public enum SettlementType {
 
 	private MarketDataList marketData;
 
-	// Custom additional information (e.g. risk figures or szenario values)
+	/// Custom additional information (e.g. risk figures or szenario values)
+	private List<SettlementInfo> settlementInfos;
 
-	//private Map<String, String> info;
+	/*
+	 * Getter and setters
+	 */
 
 	public String getTradeId() {
 		return tradeId;
@@ -115,14 +118,6 @@ public void setSettlementTime(ZonedDateTime settlementTime) {
 		this.settlementTime = settlementTime;
 	}
 
-	public MarketDataList getMarketData() {
-		return marketData;
-	}
-
-	public void setMarketData(MarketDataList marketData) {
-		this.marketData = marketData;
-	}
-
 	public BigDecimal getSettlementNPV() {
 		return settlementNPV;
 	}
@@ -139,20 +134,6 @@ public void setSettlementNPVPrevious(BigDecimal settlementNPVPrevious) {
 		this.settlementNPVPrevious = settlementNPVPrevious;
 	}
 
-	public Settlement(String tradeId, SettlementType settlementType, String currency, BigDecimal marginValue, List<BigDecimal> marginLimits, ZonedDateTime settlementTime, MarketDataList marketData, BigDecimal settlementNPV, BigDecimal settlementNPVPrevious, ZonedDateTime settlementTimeNext, BigDecimal settlementNPVNext) {
-		this.tradeId = tradeId;
-		this.settlementType = settlementType;
-		this.currency = currency;
-		this.marginValue = marginValue;
-		this.marginLimits = marginLimits;
-		this.settlementTime = settlementTime;
-		this.marketData = marketData;
-		this.settlementNPV = settlementNPV;
-		this.settlementNPVPrevious = settlementNPVPrevious;
-		this.settlementTimeNext = settlementTimeNext;
-		this.settlementNPVNext = settlementNPVNext;
-	}
-
 	@XmlJavaTypeAdapter(ZonedDateTimeAdapter.class)
 	public ZonedDateTime getSettlementTimeNext() {
 		return settlementTimeNext;
@@ -169,5 +150,22 @@ public BigDecimal getSettlementNPVNext() {
 	public void setSettlementNPVNext(BigDecimal settlementNPVNext) {
 		this.settlementNPVNext = settlementNPVNext;
 	}
+	public MarketDataList getMarketData() {
+		return marketData;
+	}
+
+	public void setMarketData(MarketDataList marketData) {
+		this.marketData = marketData;
+	}
+
+	@XmlElementWrapper(name="settlementInfos")
+	@XmlElement(name = "settlementInfo")
+	public List<SettlementInfo> getSettlementInfos() {
+		return settlementInfos;
+	}
+
+	public void setSettlementInfos(List<SettlementInfo> settlementInfos) {
+		this.settlementInfos = settlementInfos;
+	}
 }
 

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

@@ -13,6 +13,7 @@
 import java.time.ZonedDateTime;
 import java.util.Arrays;
 import java.util.List;
+import java.util.Map;
 import java.util.Objects;
 
 public class SettlementGenerator {
@@ -68,6 +69,11 @@ public SettlementGenerator settlementNPVNext(BigDecimal settlementNPVNext){
 		return this;
 	}
 
+	public SettlementGenerator settlementInfo(Map<String, BigDecimal> info){
+		settlement.setSettlementInfos(info.entrySet().stream().map(e -> new SettlementInfo(e.getKey(), e.getValue())).toList());
+		return this;
+	}
+
 	public Settlement buildObject(){
 		String settlementString = SDCXMLParser.marshalClassToXMLString(settlement);
 		if(allFieldsSet(settlement))

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

@@ -0,0 +1,41 @@
+package net.finmath.smartcontract.settlement;
+
+import jakarta.xml.bind.annotation.XmlAttribute;
+import jakarta.xml.bind.annotation.XmlRootElement;
+import jakarta.xml.bind.annotation.XmlValue;
+import jakarta.xml.bind.annotation.adapters.XmlJavaTypeAdapter;
+
+import java.math.BigDecimal;
+
+@XmlRootElement(name="settlementInfo")
+public class SettlementInfo {
+
+	private String key;
+	private BigDecimal value;
+
+	public SettlementInfo() { }
+
+	public SettlementInfo(String key, BigDecimal value) {
+		this.key = key;
+		this.value = value;
+	}
+
+	@XmlAttribute
+	public String getKey() {
+		return key;
+	}
+
+	public void setKey(String key) {
+		this.key = key;
+	}
+
+	@XmlValue
+	@XmlJavaTypeAdapter(BigDecimalAdapter.class)
+	public BigDecimal getValue() {
+		return value;
+	}
+
+	public void setValue(BigDecimal value) {
+		this.value = value;
+	}
+}