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Merge pull request #66 from Julius278/code-cleanup
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Code cleanup
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@Julius278
Julius278 authored May 24, 2024
2 parents 19a29c0 + 881ae7e commit 6aa9c4c
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Showing 29 changed files with 152 additions and 174 deletions.
21 changes: 0 additions & 21 deletions src/main/java/net/finmath/smartcontract/contract/SmartDerivativeContract.java
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This file was deleted.

2 changes: 2 additions & 0 deletions ...ain/java/net/finmath/smartcontract/contract/SmartDerivativeContractScheduleGenerator.java
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Original file line number Diff line number Diff line change
Expand Up @@ -25,6 +25,8 @@
*/
public class SmartDerivativeContractScheduleGenerator {

private SmartDerivativeContractScheduleGenerator(){}

/**
* Simple POJO implementation of <code>SmartDerivativeContractSchedule.EventTimes</code>.
*
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27 changes: 10 additions & 17 deletions src/main/java/net/finmath/smartcontract/demo/VisualiserSDC.java
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Original file line number Diff line number Diff line change
Expand Up @@ -37,9 +37,8 @@
*/
@SuppressWarnings("java:S125")
public class VisualiserSDC {

private static final String COUNTERPART = "Counterpart";
private List<Point2D> seriesMarketValues;

private Plot2DBarFX plotMarginAccounts;
private Plot2DFX plotMarketValue;

Expand All @@ -54,12 +53,10 @@ public static void main(final String[] args) throws Exception {
final LocalDate startDate = LocalDate.of(2008, 1, 1);
final LocalDate maturity = LocalDate.of(2012, 1, 3);
final String fileName = "timeseriesdatamap.json";
//final DateTimeFormatter providedDateFormat = DateTimeFormatter.ofPattern("yyyyMMdd");
final List<CalibrationDataset> scenarioList = CalibrationParserDataItems.getScenariosFromJsonFile(fileName).stream().filter(s -> s.getDate().toLocalDate().isAfter(startDate)).filter(s -> s.getDate().toLocalDate().isBefore(maturity)).toList();
// CSV Method returns same List
// final List<IRMarketDataScenario> scenarioList = IRScenarioGenerator.getScenariosFromCSVFile(fileName,providedDateFormat).stream().filter(S->S.getDate().toLocalDate().isAfter(startDate)).filter(S->S.getDate().toLocalDate().isBefore(maturity)).collect(Collectors.toList());


final double notional = 1.0E7;
final String maturityKey = "5Y";
final String forwardCurveKey = "forward-EUR-6M";
Expand Down Expand Up @@ -126,33 +123,29 @@ public void start() {
frame.setSize(1600, 600);
// frame.setSize(960, 540+22);

Platform.runLater(new Runnable() {
@Override
public void run() {

final FlowPane root = new FlowPane();
root.getChildren().addAll(new Group(plotMarginAccounts.get()), plotMarketValue.get());
Platform.runLater(() -> {
final FlowPane root = new FlowPane();
root.getChildren().addAll(new Group(plotMarginAccounts.get()), plotMarketValue.get());

final Scene scene = new Scene(root, 1600, 600);
scene.getStylesheets().add("barchart.css");
fxPanel.setScene(scene);
}
final Scene scene = new Scene(root, 1600, 600);
scene.getStylesheets().add("barchart.css");
fxPanel.setScene(scene);
});
});
}

void updateWithValue(final LocalDateTime date, final double base, final double x, final Double value, final double increment) throws InterruptedException {
final List<Category2D> marginBase = new ArrayList<>();
marginBase.add(new Category2D("We", base + Math.min(0, +increment)));
marginBase.add(new Category2D("Counterpart", base + Math.min(0, -increment)));
marginBase.add(new Category2D(COUNTERPART, base + Math.min(0, -increment)));

final List<Category2D> marginRemoved = new ArrayList<>();
marginRemoved.add(new Category2D("We", -Math.min(0, +increment)));
marginRemoved.add(new Category2D("Counterpart", -Math.min(0, -increment)));
marginRemoved.add(new Category2D(COUNTERPART, -Math.min(0, -increment)));

final List<Category2D> marginExcessed = new ArrayList<>();
marginExcessed.add(new Category2D("We", Math.max(0, +increment)));
marginExcessed.add(new Category2D("Counterpart", Math.max(0, -increment)));
marginExcessed.add(new Category2D(COUNTERPART, Math.max(0, -increment)));

final List<PlotableCategories> plotables = new ArrayList<>();
plotables.add(new PlotableCategories() {
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19 changes: 10 additions & 9 deletions src/main/java/net/finmath/smartcontract/product/xml/PlainSwapEditorHandler.java
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Original file line number Diff line number Diff line change
Expand Up @@ -55,6 +55,7 @@ public final class PlainSwapEditorHandler { //TODO: this code needs some cleanin

private static final Logger logger = LoggerFactory.getLogger(PlainSwapEditorHandler.class);
private static final String CONSTANT = "constant";
private static final String FAILED_MODEL_CALIBRATION = "Failed to calibrate model.";
private final Smartderivativecontract smartDerivativeContract;
private final Schema sdcmlSchema;
private final Marshaller marshaller;
Expand Down Expand Up @@ -221,7 +222,7 @@ public PlainSwapEditorHandler(final PlainSwapOperationRequest plainSwapOperation
floatingLeg.paymentDates.paymentFrequency.periodMultiplier = BigInteger.valueOf(plainSwapOperationRequest.getFloatingPaymentFrequency().getPeriodMultiplier().longValue());
logger.info("Reading back floating payment frequency period multiplier: {}", floatingLeg.paymentDates.paymentFrequency.periodMultiplier);
floatingLeg.paymentDates.paymentFrequency.setPeriod(plainSwapOperationRequest.getFloatingPaymentFrequency().getPeriod());
logger.info("Reading back floating payment frequency period: {}", floatingLeg.paymentDates.paymentFrequency.period);
logger.info("Reading back floating payment frequency period: {}", floatingLeg.paymentDates.paymentFrequency.period);
((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();
Expand Down Expand Up @@ -408,9 +409,9 @@ public List<CashflowPeriod> getSchedule(LegSelector legSelector, String marketDa
default -> throw new IllegalArgumentException("Failed to detect leg type");
}
final LocalDate startDate = swapLeg.getCalculationPeriodDates().getEffectiveDate().getUnadjustedDate().getValue().toGregorianCalendar().toZonedDateTime().toLocalDate();
logger.info("Start date detected: {]", startDate.toString());
logger.info("Start date detected: {}", startDate);
final LocalDate maturityDate = swapLeg.getCalculationPeriodDates().getTerminationDate().getUnadjustedDate().getValue().toGregorianCalendar().toZonedDateTime().toLocalDate();
logger.info("Maturity date detected: {}", maturityDate.toString());
logger.info("Maturity date detected: {}", maturityDate);
int fixingOffsetDays = 0;
try {
fixingOffsetDays = swapLeg.getResetDates().getFixingDates().getPeriodMultiplier().intValue();
Expand Down Expand Up @@ -518,9 +519,9 @@ public List<CashflowPeriod> getSchedule(LegSelector legSelector, MarketDataSet m
default -> throw new IllegalArgumentException("Failed to detect leg type");
}
final LocalDate startDate = swapLeg.getCalculationPeriodDates().getEffectiveDate().getUnadjustedDate().getValue().toGregorianCalendar().toZonedDateTime().toLocalDate();
logger.info("Start date detected: {}", startDate.toString());
logger.info("Start date detected: {}", startDate);
final LocalDate maturityDate = swapLeg.getCalculationPeriodDates().getTerminationDate().getUnadjustedDate().getValue().toGregorianCalendar().toZonedDateTime().toLocalDate();
logger.info("Maturity date detected: {}", maturityDate.toString());
logger.info("Maturity date detected: {}", maturityDate);
int fixingOffsetDays = 0;
try {
fixingOffsetDays = swapLeg.getResetDates().getFixingDates().getPeriodMultiplier().intValue();
Expand Down Expand Up @@ -641,13 +642,13 @@ private AnalyticModel getAnalyticModel(String marketData, Schedule schedule, Str
try {
optionalCalibrationResult = calibrator.calibrateModel(allCalibrationItems, new CalibrationContextImpl(referenceDate, 1E-9));
} catch (CloneNotSupportedException e) {
logger.error("Failed to calibrate model.");
logger.error(FAILED_MODEL_CALIBRATION);
throw e;
}
AnalyticModel calibratedModel;
if (optionalCalibrationResult.isPresent())
calibratedModel = optionalCalibrationResult.get().getCalibratedModel();
else throw new IllegalStateException("Failed to calibrate model.");
else throw new IllegalStateException(FAILED_MODEL_CALIBRATION);


Set<CalibrationDataItem> pastFixings = scenario.getFixingDataItems();
Expand Down Expand Up @@ -709,13 +710,13 @@ private AnalyticModel getAnalyticModel(MarketDataSet marketData, Schedule schedu
try {
optionalCalibrationResult = calibrator.calibrateModel(allCalibrationItems, new CalibrationContextImpl(referenceDate, 1E-9));
} catch (CloneNotSupportedException e) {
logger.error("Failed to calibrate model.");
logger.error(FAILED_MODEL_CALIBRATION);
throw e;
}
AnalyticModel calibratedModel;
if (optionalCalibrationResult.isPresent())
calibratedModel = optionalCalibrationResult.get().getCalibratedModel();
else throw new IllegalStateException("Failed to calibrate model.");
else throw new IllegalStateException(FAILED_MODEL_CALIBRATION);
return calibratedModel;
}

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3 changes: 1 addition & 2 deletions src/main/java/net/finmath/smartcontract/settlement/Settlement.java
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Original file line number Diff line number Diff line change
Expand Up @@ -8,7 +8,6 @@
import java.math.BigDecimal;
import java.time.ZonedDateTime;
import java.util.List;
import java.util.Map;

/**
* Describes the result of a single settlement as reported by the valuation oracle.
Expand Down Expand Up @@ -67,7 +66,7 @@ public enum SettlementType {

// Custom additional information (e.g. risk figures or szenario values)

private Map<String, String> info;
//private Map<String, String> info;

public String getTradeId() {
return tradeId;
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35 changes: 16 additions & 19 deletions src/main/java/net/finmath/smartcontract/valuation/client/ValuationClient.java
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Original file line number Diff line number Diff line change
Expand Up @@ -2,8 +2,8 @@

import net.finmath.smartcontract.model.MarginRequest;
import net.finmath.smartcontract.model.MarginResult;
import net.finmath.smartcontract.model.MarketDataList;
import net.finmath.smartcontract.product.xml.SDCXMLParser;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.springframework.http.*;
import org.springframework.web.client.RestTemplate;

Expand All @@ -21,33 +21,32 @@
* @author Peter Kohl-Landgraf
* @author Dietmar Schnabel
*/
@SuppressWarnings("java:S125")
public class ValuationClient {
private static final Logger logger = LoggerFactory.getLogger(ValuationClient.class);
private static final String BASIC = "Basic ";

public static void main(String[] args) throws Exception {
String url = "http://localhost:8080";
String authString = "user1:password1";

if (args.length != 2) {
System.out.println("Usage: ValuationClient <url> <user>:<password>");
logger.info("Usage: ValuationClient <url> <user>:<password>");
}

if (args.length == 2) {
authString = args[1];
} else {
System.out.println("Using default credentials " + authString);
logger.info("Using default credentials {}", authString);
}

if (args.length >= 1) {
url = args[0];
} else {
System.out.println("Using default endpoint " + url);
logger.info("Using default endpoint {}", url);
}

final String marketDataStartXml = new String(Objects.requireNonNull(ValuationClient.class.getClassLoader().getResourceAsStream("net/finmath/smartcontract/valuation/client/md_testset1.xml")).readAllBytes(), StandardCharsets.UTF_8);
//final MarketDataList marketDataStart = SDCXMLParser.unmarshalXml(marketDataStartXml, MarketDataList.class);
final String marketDataEndXml = new String(Objects.requireNonNull(ValuationClient.class.getClassLoader().getResourceAsStream("net/finmath/smartcontract/valuation/client/md_testset2.xml")).readAllBytes(), StandardCharsets.UTF_8);
//final MarketDataList marketDataEnd = SDCXMLParser.unmarshalXml(marketDataEndXml, MarketDataList.class);
final String product = new String(Objects.requireNonNull(ValuationClient.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.product.xml/smartderivativecontract.xml")).readAllBytes(), StandardCharsets.UTF_8);

final MarginRequest marginRequest = new MarginRequest().marketDataStart(marketDataStartXml).marketDataEnd(marketDataEndXml).tradeData(product).valuationDate("");
Expand All @@ -57,14 +56,14 @@ public static void main(String[] args) throws Exception {

// create auth credentials
String base64Creds = Base64.getEncoder().encodeToString(authString.getBytes());
headers.add("Authorization", "Basic " + base64Creds);
headers.add(HttpHeaders.AUTHORIZATION, BASIC + base64Creds);

RequestEntity<MarginRequest> requestEntity = new RequestEntity<MarginRequest>(marginRequest, headers, HttpMethod.POST, new URI(url + "/valuation/margin"), MarginRequest.class);
RequestEntity<MarginRequest> requestEntity = new RequestEntity<>(marginRequest, headers, HttpMethod.POST, new URI(url + "/valuation/margin"), MarginRequest.class);

ResponseEntity<MarginResult> response = new RestTemplate().exchange(requestEntity, MarginResult.class);
MarginResult result = response.getBody();

System.out.println("Received the valuation result:\n" + result);
logger.info("Received the valuation result:\n{}", result);

printInfoGit(url, authString);
printInfoFinmath(url, authString);
Expand All @@ -76,15 +75,14 @@ private static void printInfoGit(String url, String authString) throws URISyntax

// create auth credentials
String base64Creds = Base64.getEncoder().encodeToString(authString.getBytes());
headers.add("Authorization", "Basic " + base64Creds);
headers.add(HttpHeaders.AUTHORIZATION, BASIC + base64Creds);

RequestEntity<String> requestEntity = new RequestEntity<>(null, headers, HttpMethod.GET, new URI(url + "/info/git"), String.class);

ResponseEntity<String> response = new RestTemplate().exchange(requestEntity, String.class);

System.out.println();
System.out.println("git status");
System.out.println(response.getBody());
logger.info("git status");
logger.info(response.getBody());
}

private static void printInfoFinmath(String url, String authString) throws URISyntaxException {
Expand All @@ -93,14 +91,13 @@ private static void printInfoFinmath(String url, String authString) throws URISy

// create auth credentials
String base64Creds = Base64.getEncoder().encodeToString(authString.getBytes());
headers.add("Authorization", "Basic " + base64Creds);
headers.add(HttpHeaders.AUTHORIZATION, BASIC + base64Creds);

RequestEntity<String> requestEntity = new RequestEntity<>(null, headers, HttpMethod.GET, new URI(url + "/info/finmath"), String.class);

ResponseEntity<String> response = new RestTemplate().exchange(requestEntity, String.class);

System.out.println();
System.out.println("finmath-lib version");
System.out.println(response.getBody());
logger.info("finmath-lib version");
logger.info(response.getBody());
}
}
4 changes: 0 additions & 4 deletions .../net/finmath/smartcontract/valuation/marketdata/curvecalibration/CalibrationDataItem.java
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Original file line number Diff line number Diff line change
Expand Up @@ -11,7 +11,6 @@
public class CalibrationDataItem {
private static final String REGEX = "((?<=[a-zA-Z])(?=[0-9]))|((?<=[0-9])(?=[a-zA-Z]))";


public static class Spec {
private final String key;
private final String curveName;
Expand All @@ -23,10 +22,8 @@ public Spec(final String key, final String curveName, final String productName,
this.curveName = curveName;
this.productName = productName;
this.maturity = maturity;

}


public String getKey() {return key;}

public String getCurveName() {
Expand Down Expand Up @@ -121,7 +118,6 @@ public String getDateString() {
return this.dateTime.format(DateTimeFormatter.ofPattern("yyyy-MM-dd"));
}


public LocalDate getDate() {return dateTime.toLocalDate();}

public LocalDateTime getDateTime(){ return dateTime;}
Expand Down
8 changes: 3 additions & 5 deletions ...a/net/finmath/smartcontract/valuation/marketdata/curvecalibration/CalibrationDataset.java
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Original file line number Diff line number Diff line change
Expand Up @@ -27,7 +27,6 @@ public CalibrationDataset(final Set<CalibrationDataItem> curveDataPointSet, fina
this.scenarioDate = scenarioDate;
this.fixingDataItems = curveDataPointSet.stream().filter(dataItem -> dataItem.getProductName().equals(FIXING)).sorted(Comparator.comparing(CalibrationDataItem::getDate)).collect(Collectors.toCollection(LinkedHashSet::new));
this.calibrationDataItems = curveDataPointSet.stream().filter(dataItem -> !dataItem.getProductName().equals(FIXING)).sorted(Comparator.comparing(CalibrationDataItem::getDaysToMaturity)).collect(Collectors.toCollection(LinkedHashSet::new));

}

public CalibrationDataset getScaled(double scaleFactor) {
Expand All @@ -36,7 +35,6 @@ public CalibrationDataset getScaled(double scaleFactor) {
return new CalibrationDataset(scaledSet, scenarioDate);
}


public Set<CalibrationDataItem> getFixingDataItems() {
return this.fixingDataItems;
}
Expand All @@ -60,9 +58,9 @@ public CalibrationDataset getClonedFixingsAdded(Set<CalibrationDataItem> newFixi
return new CalibrationDataset(clone, this.scenarioDate);
}

public MarketDataList toMarketDataList(){
List<MarketDataPoint> marketDataPointList = calibrationDataItems.stream().map(item->new MarketDataPoint(item.getSpec().getKey(), item.getQuote(), item.getDateTime())).toList();
List<MarketDataPoint> fixings = fixingDataItems.stream().map(item->new MarketDataPoint(item.getSpec().getKey(), item.getQuote(), item.getDateTime())).toList();
public MarketDataList toMarketDataList() {
List<MarketDataPoint> marketDataPointList = calibrationDataItems.stream().map(item -> new MarketDataPoint(item.getSpec().getKey(), item.getQuote(), item.getDateTime())).toList();
List<MarketDataPoint> fixings = fixingDataItems.stream().map(item -> new MarketDataPoint(item.getSpec().getKey(), item.getQuote(), item.getDateTime())).toList();
MarketDataList marketDataList = new MarketDataList();
marketDataPointList.forEach(marketDataList::add);
fixings.forEach(marketDataList::add);
Expand Down
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