Merge pull request #86 from finmath/feature/627_new_endpoint_for_eval…

…uationtimes

SDC-627, Create new endpoint to enable product valuation at evaluationtimes different from marketdatatime

src/main/java/net/finmath/smartcontract/valuation/implementation/MarginCalculator.java

@@ -153,6 +153,21 @@ public ValueResult getValue(String marketData, String productData) throws Except
 		return new ValueResult().value(BigDecimal.valueOf(value)).currency(currency).valuationDate(valuationDate.toString());
 	}
 
+	public ValueResult getValueAtEvaluationTime(String marketData, String productData, LocalDateTime evaluationTime) throws Exception {
+		SmartDerivativeContractDescriptor productDescriptor = SDCXMLParser.parse(productData);
+
+		String ownerPartyID = productDescriptor.getUnderlyingReceiverPartyID();
+		InterestRateSwapProductDescriptor underlying = (InterestRateSwapProductDescriptor) new FPMLParser(ownerPartyID, FORWARD_EUR_6M, DISCOUNT_EUR_OIS).getProductDescriptor(productDescriptor.getUnderlying());
+
+
+		CalibrationDataset set = CalibrationParserDataItems.getCalibrationDataSetFromXML(marketData,productDescriptor.getMarketdataItemList());
+		double value = calculateValueAtTime(List.of(set),evaluationTime,set.getDate(),productDescriptor,underlying);
+
+		String currency = "EUR";
+
+		return new ValueResult().value(BigDecimal.valueOf(value)).currency(currency).valuationDate(evaluationTime.toString());
+	}
+
 	public ValueResult getValue(MarketDataList marketData, String productData) throws Exception {
 		SmartDerivativeContractDescriptor productDescriptor = SDCXMLParser.parse(productData);
 
@@ -217,4 +232,33 @@ private double calculateMargin(List<CalibrationDataset> marketDataList, LocalDat
 
 		return marginCall;
 	}
+
+	/**
+	 * Calculates values at different valuation times
+	 *
+	 * @param marketDataList    list of market data scenarios.
+	 * @param evaluationTime	the evaluation time
+	 * @param marketDataTime	the marketdata time
+	 * @param productDescriptor The product descriptor (wrapper to the product XML)
+	 * @param underlying        The underlying descriptor (wrapper to the underlying XML)
+	 */
+	private double calculateValueAtTime(List<CalibrationDataset> marketDataList, LocalDateTime evaluationTime, LocalDateTime marketDataTime, SmartDerivativeContractDescriptor productDescriptor, InterestRateSwapProductDescriptor underlying) {
+
+		// Build product
+		LocalDate referenceDate = productDescriptor.getTradeDate().toLocalDate();
+		InterestRateSwapLegProductDescriptor legReceiver = (InterestRateSwapLegProductDescriptor) underlying.getLegReceiver();
+		InterestRateSwapLegProductDescriptor legPayer = (InterestRateSwapLegProductDescriptor) underlying.getLegPayer();
+		InterestRateAnalyticProductFactory productFactory = new InterestRateAnalyticProductFactory(referenceDate);
+		DescribedProduct<? extends ProductDescriptor> legReceiverProduct = productFactory.getProductFromDescriptor(legReceiver);
+		DescribedProduct<? extends ProductDescriptor> legPayerProduct = productFactory.getProductFromDescriptor(legPayer);
+
+		Swap swap = new Swap((SwapLeg) legReceiverProduct, (SwapLeg) legPayerProduct);
+
+		// Build valuation oracle with given market data.
+		final ValuationOraclePlainSwap oracle = new ValuationOraclePlainSwap(swap, 1.0, marketDataList);
+
+		double value = oracle.getValue(evaluationTime,marketDataTime);
+
+		return value;
+	}
 }

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

@@ -15,8 +15,10 @@
 import java.time.LocalDate;
 import java.time.LocalDateTime;
 import java.util.List;
+import java.util.Map;
 import java.util.Optional;
 import java.util.function.DoubleUnaryOperator;
+import java.util.stream.Collectors;
 import java.util.stream.Stream;
 
 /**
@@ -101,5 +103,4 @@ public Double getValue(final LocalDateTime evaluationDate, final LocalDateTime m
 			return null;
 		}
 	}
-
 }

src/main/java/net/finmath/smartcontract/valuation/service/controllers/ValuationController.java

@@ -22,6 +22,8 @@
 import org.xml.sax.SAXException;
 
 import java.nio.charset.StandardCharsets;
+import java.time.LocalDateTime;
+import java.time.format.DateTimeFormatter;
 
 /**
  * Controller for the settlement valuation REST service.
@@ -127,6 +129,25 @@ public ResponseEntity<ValueResult> value(ValueRequest valueRequest) {
 		}
 	}
 
+	@Override
+	public ResponseEntity<ValueResult> valueAtTime(ValueRequest valueRequest) {
+		HttpHeaders responseHeaders = new HttpHeaders();
+		responseHeaders.add(RESPONDED, "valueAtTime");
+		ValueResult value = null;
+		try {
+			MarginCalculator marginCalculator = new MarginCalculator();
+			DateTimeFormatter formatter = DateTimeFormatter.ofPattern("yyyyMMdd-HHmmss");
+			LocalDateTime evaluationTime = LocalDateTime.parse(valueRequest.getValuationDate(), formatter);
+			value = marginCalculator.getValueAtEvaluationTime(valueRequest.getMarketData(), valueRequest.getTradeData(),evaluationTime);
+			logger.info(value.toString());
+			return ResponseEntity.ok(value);
+		} catch (Exception e) {
+			logger.error(FAILED_CALCULATION, e);
+			throw new SDCException(ExceptionId.SDC_MARGIN_CALCULATION_ERROR, e.getMessage());
+		}
+	}
+
+
 	@Override
 	public ResponseEntity<ValueResult> testProductValue(MultipartFile tradeData) {
 		HttpHeaders responseHeaders = new HttpHeaders();

src/main/resources/api.yml

@@ -33,6 +33,29 @@ paths:
               schema:
                 $ref: "#/components/schemas/Error"
 
+  /valuation/valueAtTime:
+    post:
+      summary: Request mapping for the value at specific evaluationTime
+      operationId: valueAtTime
+      requestBody:
+        content:
+          application/json:
+            schema:
+              $ref: "#/components/schemas/ValueRequest"
+      responses:
+        "200":
+          description: Value was calculated
+          content:
+            application/json:
+              schema:
+                $ref: "#/components/schemas/ValueResult"
+        default:
+          description: unexpected error
+          content:
+            application/json:
+              schema:
+                $ref: "#/components/schemas/Error"
+
   /valuation/margin:
     post:
       summary: Request mapping for the value