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ART Phase 3 - release #3070

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ART Phase 3 - release #3070

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348f430
3 - ART Phase 3
LionelSG-REGnosys Jul 19, 2024
ebce2b5
Correction to Asset Payout
LionelSG-REGnosys Jul 19, 2024
f8f52bf
Refactoring of Index and FRO
LionelSG-REGnosys Jul 22, 2024
885dc2f
FX updates for P3
LionelSG-REGnosys Jul 24, 2024
d859677
PriceQuantity refactoring
LionelSG-REGnosys Jul 25, 2024
a61a458
Merge master (no fixes yet)
hugohills-regnosys Jul 26, 2024
c69e3b1
Rosetta syntax fixes
hugohills-regnosys Jul 26, 2024
5e8991c
Merge remote-tracking branch 'origin/master' into lionel-art-phase3-r…
hugohills-regnosys Jul 26, 2024
e3a3aa5
Fix compilation issues
hugohills-regnosys Jul 26, 2024
88a6ff2
Make ingestion run
hugohills-regnosys Jul 26, 2024
9bc099f
Update FpML 5.13 rates mappings
hugohills-regnosys Jul 29, 2024
1e16acb
Inflation swaps and ancillaryParty fix
hugohills-regnosys Jul 29, 2024
c6207e1
Merge remote-tracking branch 'origin/master' into lionel-art-phase3-r…
hugohills-regnosys Jul 29, 2024
0ff36c2
Map bond options
hugohills-regnosys Jul 30, 2024
0eea372
Update mappings
hugohills-regnosys Jul 30, 2024
9fe0c3c
Update mappings for equity swaps
hugohills-regnosys Jul 30, 2024
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105 changes: 52 additions & 53 deletions examples/src/main/java/com/regnosys/cdm/example/FxSwapContractCreation.java
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Original file line number Diff line number Diff line change
@@ -1,21 +1,21 @@
package com.regnosys.cdm.example;

import cdm.base.datetime.AdjustableDates;
import cdm.base.math.NonNegativeQuantitySchedule;
import cdm.base.math.UnitType;
import cdm.base.math.metafields.FieldWithMetaNonNegativeQuantitySchedule;
import cdm.base.math.metafields.ReferenceWithMetaNonNegativeQuantitySchedule;
import cdm.base.staticdata.asset.common.Index;
import cdm.base.staticdata.identifier.AssignedIdentifier;
import cdm.base.staticdata.party.*;
import cdm.base.staticdata.party.metafields.ReferenceWithMetaParty;
import cdm.event.common.Trade;
import cdm.event.common.TradeIdentifier;
import cdm.observable.asset.*;
import cdm.observable.asset.metafields.FieldWithMetaPriceSchedule;
import cdm.product.asset.ForeignExchange;
import cdm.product.common.settlement.*;
import cdm.product.template.*;
import cdm.product.common.settlement.Cashflow;
import cdm.product.common.settlement.PriceQuantity;
import cdm.product.common.settlement.ResolvablePriceQuantity;
import cdm.product.template.NonTransferableProduct;
import cdm.product.template.TradeLot;
import com.fasterxml.jackson.core.JsonProcessingException;
import com.regnosys.rosetta.common.hashing.GlobalKeyProcessStep;
import com.regnosys.rosetta.common.hashing.NonNullHashCollector;
Expand Down Expand Up @@ -73,23 +73,23 @@ private Trade createFxSwapContractExample() {

PriceQuantity priceQuantity = createPriceQuantity(currency1Str, quantity1, currency2Str, quantity2, rate);

Product underlier = createForeignExchangeUnderlier(
createExchangeCurrency(CounterpartyRoleEnum.PARTY_1, CounterpartyRoleEnum.PARTY_2),
createExchangeCurrency(CounterpartyRoleEnum.PARTY_2, CounterpartyRoleEnum.PARTY_1));
// Product underlier = createForeignExchangeUnderlier(
// createExchangeCurrency(CounterpartyRoleEnum.PARTY_1, CounterpartyRoleEnum.PARTY_2),
// createExchangeCurrency(CounterpartyRoleEnum.PARTY_2, CounterpartyRoleEnum.PARTY_1));

Date settlementDate = of(2001, 10, 25);

Date tradeDate = of(2001, 10, 23);

ContractualProduct contractualProduct = createContractualProduct(underlier, settlementDate);
// ContractualProduct contractualProduct = createContractualProduct(underlier, settlementDate);

TradeIdentifier citi123 = createIdentifier("CITI123", "http://www.citi.com/fx/trade-id", party1);
TradeIdentifier barc987 = createIdentifier("BARC987", "http://www.barclays.com/fx/trade-id", party2);

List<TradeIdentifier> identifiers = List.of(citi123, barc987);
List<Party> parties = List.of(party1, party2);

return createFxSwapContract(identifiers, parties, priceQuantity, contractualProduct, tradeDate, party1, party2);
return createFxSwapContract(identifiers, parties, priceQuantity, null, tradeDate, party1, party2);
}

private PriceQuantity createPriceQuantity(String currency1Str, long quantity1, String currency2Str, long quantity2, double rate) {
Expand Down Expand Up @@ -125,10 +125,10 @@ private PriceQuantity createPriceQuantity(String currency1Str, long quantity1, S
.setValue(BigDecimal.valueOf(quantity2))
.setUnit(UnitType.builder()
.setCurrencyValue(currency2Str))))
.setObservable(Observable.builder()
.setIndex(Index.builder()
.setForeignExchangeRate(ForeignExchangeRate.builder()
.setQuotedCurrencyPair(QuotedCurrencyPair.builder()
.setObservableValue(Observable.builder()
.setIndexValue(Index.builder()
.setForeignExchangeRateIndex(ForeignExchangeRateIndex.builder()
.setQuotedCurrencyPairValue(QuotedCurrencyPair.builder()
.setCurrency1Value(currency1Str)
.setCurrency2Value(currency2Str)
.setQuoteBasis(QuoteBasisEnum.CURRENCY_2_PER_CURRENCY_1)))))
Expand All @@ -138,37 +138,36 @@ private PriceQuantity createPriceQuantity(String currency1Str, long quantity1, S
private Trade createFxSwapContract(List<TradeIdentifier> identifiers,
List<Party> parties,
PriceQuantity priceQuantity,
ContractualProduct contractualProduct,
NonTransferableProduct product,
Date tradeDate,
Party party1,
Party party2) {
Trade trade = Trade.builder()
.addTradeIdentifier(identifiers)
.setTradableProduct(TradableProduct.builder()
.addCounterparty(Counterparty.builder()
.setPartyReferenceValue(party1)
.setRole(CounterpartyRoleEnum.PARTY_1))
.addCounterparty(Counterparty.builder()
.setPartyReferenceValue(party2)
.setRole(CounterpartyRoleEnum.PARTY_2))
.addTradeLot(TradeLot.builder()
.addPriceQuantity(priceQuantity))
.setProduct(Product.builder().setContractualProduct(contractualProduct)))
.addCounterparty(Counterparty.builder()
.setPartyReferenceValue(party1)
.setRole(CounterpartyRoleEnum.PARTY_1))
.addCounterparty(Counterparty.builder()
.setPartyReferenceValue(party2)
.setRole(CounterpartyRoleEnum.PARTY_2))
.addTradeLot(TradeLot.builder()
.addPriceQuantity(priceQuantity))
.setProduct(product)
.addParty(parties)
.setTradeDate(FieldWithMetaDate.builder().setValue(tradeDate).build())
.build();

return addGlobalKey(Trade.class, trade);
}

private Product createForeignExchangeUnderlier(Cashflow exchangedCurrency1, Cashflow exchangedCurrency2) {
return Product.builder()
.setForeignExchange(ForeignExchange.builder()
.setExchangedCurrency1(exchangedCurrency1)
.setExchangedCurrency2(exchangedCurrency2)
.build())
.build();
}
// private Product createForeignExchangeUnderlier(Cashflow exchangedCurrency1, Cashflow exchangedCurrency2) {
// return Product.builder()
// .setForeignExchange(ForeignExchange.builder()
// .setExchangedCurrency1(exchangedCurrency1)
// .setExchangedCurrency2(exchangedCurrency2)
// .build())
// .build();
// }

private Cashflow createExchangeCurrency(CounterpartyRoleEnum payer, CounterpartyRoleEnum receiver) {
return Cashflow.builder()
Expand All @@ -184,36 +183,36 @@ private Cashflow createExchangeCurrency(CounterpartyRoleEnum payer, Counterparty
}


private ContractualProduct createContractualProduct(Product underlier, Date settlementDate) {
return ContractualProduct.builder()
.setEconomicTerms(EconomicTerms.builder()
.setPayout(Payout.builder()
.addForwardPayout(ForwardPayout.builder()
.setSettlementTerms(SettlementTerms.builder()
.setSettlementDate(SettlementDate.builder()
.setAdjustableDates(AdjustableDates.builder()
.addAdjustedDateValue(settlementDate))))
.setUnderlier(underlier)))
.build());
}
// private ContractualProduct createContractualProduct(Product underlier, Date settlementDate) {
// return ContractualProduct.builder()
// .setEconomicTerms(EconomicTerms.builder()
// .setPayout(Payout.builder()
// .addForwardPayout(ForwardPayout.builder()
// .setSettlementTerms(SettlementTerms.builder()
// .setSettlementDate(SettlementDate.builder()
// .setAdjustableDates(AdjustableDates.builder()
// .addAdjustedDateValue(settlementDate))))
// .setUnderlier(underlier)))
// .build());
// }

private Party createParty(String partyId, String scheme) {
return Party.builder().addPartyId(PartyIdentifier.builder()
.setIdentifierValue(partyId)
.setMeta(MetaFields.builder().setScheme(scheme).build())
.build())
.build())
.build();
}

private TradeIdentifier createIdentifier(String identifier, String scheme, Party issuer) {
return TradeIdentifier.builder().addAssignedIdentifier(
AssignedIdentifier.builder().setIdentifier(
FieldWithMetaString.builder().setValue(identifier)
.setMeta(MetaFields.builder()
.setScheme(scheme)
.build())
AssignedIdentifier.builder().setIdentifier(
FieldWithMetaString.builder().setValue(identifier)
.setMeta(MetaFields.builder()
.setScheme(scheme)
.build())
.build())
.build())
.build())
.setIssuerReference(ReferenceWithMetaParty.builder()
.setGlobalReference(getGlobalReference(issuer))
.build())
Expand Down
18 changes: 10 additions & 8 deletions examples/src/main/java/com/regnosys/cdm/example/InterestRatePayoutCreation.java
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Original file line number Diff line number Diff line change
Expand Up @@ -10,7 +10,8 @@
import cdm.base.staticdata.asset.rates.FloatingRateIndexEnum;
import cdm.base.staticdata.party.CounterpartyRoleEnum;
import cdm.base.staticdata.party.PayerReceiver;
import cdm.observable.asset.FloatingRateOption;
import cdm.observable.asset.FloatingRateIndex;
import cdm.observable.asset.Index;
import cdm.observable.asset.Price;
import cdm.observable.asset.PriceTypeEnum;
import cdm.observable.asset.metafields.ReferenceWithMetaPriceSchedule;
Expand Down Expand Up @@ -75,12 +76,13 @@ public static InterestRatePayout getFloatingRatePayout() {
.setPeriod(PeriodExtendedEnum.M)))

.setRateSpecification(RateSpecification.builder()
.setFloatingRate(FloatingRateSpecification.builder()
.setRateOptionValue(FloatingRateOption.builder()
.setFloatingRateIndexValue(FloatingRateIndexEnum.EUR_LIBOR_BBA)
.setIndexTenor(Period.builder()
.setPeriod(PeriodEnum.M)
.setPeriodMultiplier(6)))))
.setFloatingRateSpecification(FloatingRateSpecification.builder()
.setRateOptionValue(Index.builder()
.setFloatingRateIndex(FloatingRateIndex.builder()
.setFloatingRateIndexValue(FloatingRateIndexEnum.EUR_LIBOR_BBA)
.setIndexTenor(Period.builder()
.setPeriod(PeriodEnum.M)
.setPeriodMultiplier(6))))))

.setPayerReceiver(PayerReceiver.builder()
.setPayer(CounterpartyRoleEnum.PARTY_1)
Expand Down Expand Up @@ -129,7 +131,7 @@ public static InterestRatePayout getFixedRatePayout(BigDecimal fixedRate) {
.build())
.build())
.setRateSpecification(RateSpecification.builder()
.setFixedRate(FixedRateSpecification.builder()
.setFixedRateSpecification(FixedRateSpecification.builder()
.setRateSchedule(RateSchedule.builder()
.setPrice(ReferenceWithMetaPriceSchedule.builder()
.setReference(Reference.builder()
Expand Down
8 changes: 4 additions & 4 deletions examples/src/main/java/com/regnosys/cdm/example/Qualification.java
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Open in desktop
Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
package com.regnosys.cdm.example;

import cdm.product.template.ContractualProduct;
import cdm.product.template.EconomicTerms;
import cdm.product.template.NonTransferableProduct;
import cdm.product.template.Payout;
import cdm.product.template.meta.EconomicTermsMeta;
import com.google.inject.Inject;
Expand Down Expand Up @@ -30,7 +30,7 @@ public class Qualification extends AbstractExample {
public void example() {
// Build an ContractualProduct containing an EconomicTerms with two InterestRatePayouts (e.g. an IRS).
//
var contractualProduct = ContractualProduct.builder()
var nonTransferableProduct = NonTransferableProduct.builder()
.setEconomicTerms(EconomicTerms.builder()
.setPayout(Payout.builder()
.addInterestRatePayout(getFixedRatePayout(BigDecimal.valueOf(0.05)))
Expand All @@ -45,7 +45,7 @@ public void example() {

// Use the QualifyResultsExtractor helper to easily make use of qualification results
//
var qualificationResult = new QualifyResultsExtractor<>(qualifyFunctions, contractualProduct.getEconomicTerms())
var qualificationResult = new QualifyResultsExtractor<>(qualifyFunctions, nonTransferableProduct.getEconomicTerms())
.getOnlySuccessResult()
.map(QualifyResult::getName)
.orElse("Failed to qualify");
Expand All @@ -57,7 +57,7 @@ public void example() {
// Stamp the qualification value in the correct location using the qualification handler
//
EconomicTermsQualificationHandler qualificationHandler = new EconomicTermsQualificationHandler();
var contractualProductBuilder = contractualProduct.toBuilder();
var contractualProductBuilder = nonTransferableProduct.toBuilder();
qualificationHandler.setQualifier(contractualProductBuilder, qualificationResult);
assertThat(qualificationHandler.getQualifier(contractualProductBuilder), is("InterestRate_IRSwap_FixedFloat"));
}
Expand Down
41 changes: 18 additions & 23 deletions examples/src/test/java/com/regnosys/cdm/example/TestObjectsFactory.java
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Original file line number Diff line number Diff line change
Expand Up @@ -4,20 +4,16 @@
import cdm.base.math.NonNegativeQuantitySchedule;
import cdm.base.math.UnitType;
import cdm.base.math.metafields.FieldWithMetaNonNegativeQuantitySchedule;
import cdm.base.staticdata.asset.common.*;
import cdm.base.staticdata.identifier.AssignedIdentifier;
import cdm.base.staticdata.party.*;
import cdm.base.staticdata.party.metafields.ReferenceWithMetaParty;
import cdm.event.common.*;
import cdm.legaldocumentation.common.ClosedState;
import cdm.observable.asset.Money;
import cdm.observable.asset.Observable;
import cdm.observable.asset.Price;
import cdm.observable.asset.PriceTypeEnum;
import cdm.observable.asset.metafields.FieldWithMetaPriceSchedule;
import cdm.product.common.settlement.*;
import cdm.product.template.Product;
import cdm.product.template.TradableProduct;
import cdm.product.template.TradeLot;
import com.regnosys.rosetta.common.hashing.GlobalKeyProcessStep;
import com.regnosys.rosetta.common.hashing.NonNullHashCollector;
Expand Down Expand Up @@ -70,11 +66,10 @@ public TradeState getTradeState(int tradeId, LocalDate tradeDate, String cusip,
.setExecutionVenue(LegalEntity.builder().setName(FieldWithMetaString.builder().setValue("Tradeweb").build()).build()))
.addTradeIdentifier(getIdentifier("tradeId" + tradeId, executingBrokerParty.getMeta().getExternalKey()))
.setTradeDate(FieldWithMetaDate.builder().setValue(Date.of(tradeDate)).build())
.setTradableProduct(TradableProduct.builder()
.setProduct(getProduct(cusip))
.addTradeLot(TradeLot.builder()
.addPriceQuantity(getPriceQuantity(quantity, cusip, cleanPrice, tradedCurrency,
getSettlementTerms(settlementDate, dirtyPrice, quantity, tradedCurrency)))))
// .setProduct(getProduct(cusip))
.addTradeLot(TradeLot.builder()
.addPriceQuantity(getPriceQuantity(quantity, cusip, cleanPrice, tradedCurrency,
getSettlementTerms(settlementDate, dirtyPrice, quantity, tradedCurrency))))
.addParty(clientParty)
.addParty(executingBrokerParty)
.addParty(counterpartyBrokerParty)
Expand Down Expand Up @@ -146,23 +141,23 @@ private PriceQuantity getPriceQuantity(double notional, String productIdentifier
.setValue(BigDecimal.valueOf(notional))
.setUnit(UnitType.builder()
.setCurrencyValue(tradedCurrency))))
.setObservable(Observable.builder()
.addProductIdentifierValue(ProductIdentifier.builder()
.setIdentifierValue(productIdentifier)
.setSource(ProductIdTypeEnum.CUSIP)))
.setSettlementTerms(settlementTerms)
// .setObservable(Observable.builder()
// .addProductIdentifierValue(ProductIdentifier.builder()
// .setIdentifierValue(productIdentifier)
// .setSource(ProductIdTypeEnum.CUSIP)))
// .setSettlementTerms(settlementTerms)
.build();
}

private Product getProduct(String productId) {
return Product.builder()
.setSecurity(Security.builder()
.addIdentifier(AssetIdentifier.builder()
.setIdentifierValue(productId)
.setIdentifierType(AssetIdTypeEnum.CUSIP))
.setSecurityType(SecurityTypeEnum.DEBT))
.build();
}
// private Product getProduct(String productId) {
// return Product.builder()
// .setSecurity(Security.builder()
// .addIdentifier(AssetIdentifier.builder()
// .setIdentifierValue(productId)
// .setIdentifierType(AssetIdTypeEnum.CUSIP))
// .setSecurityType(SecurityTypeEnum.DEBT))
// .build();
// }

private SettlementTerms getSettlementTerms(LocalDate settlementDate, double dirtyPrice, long quantity, String settlementCurrency) {
return SettlementTerms.builder()
Expand Down
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